REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (Q3632405)

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English	REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS	scientific article

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scholarly article

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REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (English)

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Peter C. B. Phillips

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Rustam Ibragimov

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Econometric Theory

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publication date

11 June 2009

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MaRDI profile type

MaRDI publication profile

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Towards a unified asymptotic theory for autoregression

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Time Series Regression with a Unit Root

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Nonlinear Regressions with Integrated Time Series

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Asymptotic inference for nearly nonstationary AR(1) processes

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Distribution function inequalities for martingales

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WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS

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Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales

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Invariance principle for symmetric statistics

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On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Convergence of functionals of sums of r.v.s to local times of fractional stable motions.

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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Bounds on moments of symmetric statistics

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Uniform Limit Theory for Stationary Autoregression

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Symmetric statistics, Poisson point processes, and multiple Wiener integrals

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COINTEGRATING SMOOTH TRANSITION REGRESSIONS

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Weak convergence of financial markets.

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Asymptotics for linear processes

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An Asymtotic Theory of Bayesian Inference for Time Series

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On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms

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Testing for a unit root in time series regression

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Limit theory for moderate deviations from a unit root

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On the functional central limit theorem for stationary processes

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Unit root log periodogram regression

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Necessary and sufficient conditions for the conditional central limit theorem

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full work available at URL

https://doi.org/10.1017/s0266466608080365

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Identifiers

zbMATH Open document ID

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10.1017/S0266466608080365

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Mathematics Subject Classification ID

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zbMATH DE Number

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