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ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS (Q6042893)

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scientific article; zbMATH DE number 7682010

Language	Label	Description	Also known as
English	ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS	scientific article; zbMATH DE number 7682010

Statements

scholarly article

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ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS (English)

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Peter C. B. Phillips

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Econometric Theory

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publication date

4 May 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/s0266466622000342

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Asymptotic inference for nearly nonstationary AR(1) processes

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Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes

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On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

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Uniform Limit Theory for Stationary Autoregression

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UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION

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An angular transformation for the serial correlation coefficient

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Normalizing transformations of some statistics in multivariate analysis

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root

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Edgeworth expansions in Gaussian autoregression

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Uniform Inference in Autoregressive Models

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One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root

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Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

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Time Series Regression with a Unit Root

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Towards a unified asymptotic theory for autoregression

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Regression Theory for Near-Integrated Time Series

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Folklore Theorems, Implicit Maps, and Indirect Inference

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On Confidence Intervals for Autoregressive Roots and Predictive Regression

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Limit theory for moderate deviations from a unit root

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Smoothing local-to-moderate unit root theory

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TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS

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Asymptotics for linear processes

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Dating the timeline of financial bubbles during the subprime crisis

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Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations

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Empirical Processes with Applications to Statistics

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Identifiers

10.1017/s0266466622000342

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6042893

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