Asymptotics of an Explosive Autoregression under Dependence (opens in new tab)

We generalize the convergence results of an explosive autoregression, pioneered in Anderson (1959), in three ways: First, we demonstrate that the centered least-squares estimator converges geometrically to a ratio of limits, even in settings where the innovations are correlated and not centered around zero. Secondly, we demonstrate that the requirement of independent innovations in Anderson (1959), Theorem 2.3, can be relaxed to $\alpha$-mixing....