Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asymptotic distributions related to mildly-explosive second order
  autoregressive models   In this paper, we consider the normalized least squares estimator of the
parameter in a mildly-explosive first-order autoregressive model with dependent
errors which are modeled as a mildly-explosive AR(1) process. We prove that the
estimator has a Cauchy limit law which provides a bridge between moderate
deviation asymptotics and the earlier results on the local to unity and
explosive autoregressive models. In particular, the results can be applied to
understand the near-integrated second order autoregressive processes.
Simulation studies are also carried out to assess the performance of least
squares estimation in finite samples.

11
The categories of this paper are: hep-lat
0
The categories of this paper are: hep-ph
10
The categories of this paper are: q-bio
36
The categories of this paper are: cmp-lg
6
The categories of this paper are: astro-ph
28
The categories of this paper are: alg-geom
17
The categories of this paper are: q-fin
13
The categories of this paper are: quant-ph
30
The categories of this paper are: q-alg
8
The categories of this paper are: hep-ex
12
The categories of this paper are: nucl-th
3
The categories of this paper are: physics
35
The categories of this paper are: mtrl-th
37
The categories of this paper are: supr-con
33
The categories of this paper are: plasm-ph
7
The categories of this paper are: hep-th