Weak \(\sigma\)-convergence: theory and applications

DOI10.1016/j.jeconom.2018.12.022zbMath1452.62933OpenAlexW2580266062MaRDI QIDQ1740291

Peter C. B. Phillips, Donggyu Sul, Jianning Kong

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2284

zbMATH Keywords

cross section dependenceasymptotics under misspecified trend regressionevaporating trendrelative convergencetrend regressionweak \(\sigma\)-convergence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Testing linearity using power transforms of regressors
• Understanding spurious regressions in econometrics
• Asymptotic theory of nonlinear least squares estimation
• Asymptotics for linear processes
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• REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• New Tools for Understanding Spurious Regressions
• SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
• Identifying Latent Structures in Panel Data
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Transition Modeling and Econometric Convergence Tests
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• The Consistency of Nonlinear Regressions
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• HAC ESTIMATION BY AUTOMATED REGRESSION
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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