Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Strict Stationarity Testing and GLAD Estimation of Double Autoregressive
  Models   In this article we develop a tractable procedure for testing strict
stationarity in a double autoregressive model and formulate the problem as
testing if the top Lyapunov exponent is negative. Without strict stationarity
assumption, we construct a consistent estimator of the associated top Lyapunov
exponent and employ a random weighting approach for its variance estimation,
which in turn are used in a t-type test. We also propose a GLAD estimation for
parameters of interest, relaxing key assumptions on the commonly used QMLE. All
estimators, except for the intercept, are shown to be consistent and
asymptotically normal in both stationary and explosive situations. The
finite-sample performance of the proposed procedures is evaluated via Monte
Carlo simulation studies and a real dataset of interest rates is analyzed.

17
The categories of this paper are: q-fin
29
The categories of this paper are: funct-an
12
The categories of this paper are: nucl-th
13
The categories of this paper are: quant-ph
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The categories of this paper are: dg-ga
32
The categories of this paper are: atom-ph
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
7
The categories of this paper are: hep-th
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The categories of this paper are: econ
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The categories of this paper are: solv-int
34
The categories of this paper are: chem-ph
6
The categories of this paper are: astro-ph
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
28
The categories of this paper are: alg-geom