References
- Chan, N. H. 1988. The parameter inference for nearly nonstationary time series. Journal of the American Statistical Association 83:857–62. doi: 10.2307/2289317.
- Chan, N. H., and C. Z. Wei. 1987. Asymptotic inference for nearly non-stationary AR(1) processes. The Annals of Statistics 15 (3):1050–63. doi: 10.1214/aos/1176350492.
- Dzhaparidze, K., J. Kormos, T. Van Der Meer, and M. C. A. Van Zuijlen. 1994. Parameter estimation for nearly nonstationary AR(1) processes. Mathematical and Computer Modelling 19 (2):29–41. doi: 10.1016/0895-7177(94)90047-7.
- Fuller, W. A. 1996. Introduction to statistical time series. 2nd ed. New York: Wiley.
- Hwang, S. Y., and I. V. Basawa. 2005. Explosive random coefficient AR(1) processes and related asymptotics for least squares estimation. Journal of Time Series Analysis 26 (6):807–24. doi: 10.1111/j.1467-9892.2005.00432.x.
- Hwang, S. Y. 2013. Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors. Statistics & Probability Letters 83:127–34. doi: 10.1016/j.spl.2012.08.022.
- Kim, T. Y., J. Ha, S. Y. Hwang, C. Park, and Z. Luo. 2013. Central limit theorems for reduced U-statistics under dependence and their usefulness. Australian & New Zealand Journal of Statistics 55 (4):387–99. doi: 10.1111/anzs.12045.
- Oh, H., S. Lee, and N. H. Chan. 2018. Mildly explosive autoregression with mixing innovations. Journal of the Korean Statistical Society 47 (1):41–53. doi: 10.1016/j.jkss.2017.09.001.
- Phillips, P. C. B., and T. Magdalinos. 2007. Limit theory for moderate deviations from a unit root. Journal of Econometrics 136 (1):115–30. doi: 10.1016/j.jeconom.2005.08.002.
- Phillips, P. C. B., Y. Wu, and J. Yu. 2011. Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? International Economic Review 52 (1):201–26. doi: 10.1111/j.1468-2354.2010.00625.x.
- Taqqu, M. S. 1975. Weak convergence to fractional Brownian motion and to the Rosenblatt process. Zeitschrift für Wahrscheinlichkeitstheorie Und Verwandte Gebiete 31 (4):287–302. doi: 10.1007/BF00532868.