Abstract :
We discuss the limiting behavior of the serial correlation coefficient in mildly
explosive autoregression, where the error sequence is in the domain of attraction
of an a-stable law, a ~0,2# + Therein, the autoregressive coefficient r rn 1
is assumed to satisfy the condition rn r 1 such that n~rn 1! r ` as n r `+ In
contrast to the vast majority of existing literature in the area, no specific form of
r is required+ We show that the serial correlation coefficient converges in distribution
to a ratio of two independent stable random variables+
