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Persistent link: https://www.econbiz.de/10011377248
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...
Persistent link: https://www.econbiz.de/10011189545