Limit theory for mildly integrated process with intercept

DOI10.1016/j.econlet.2017.12.008zbMath1401.62149OpenAlexW2774015209MaRDI QIDQ1787286

Yijie Fei

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2169

zbMATH Keywords

bubbleautoregressionlimit theoryinterceptmoderate deviation from unity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Empirical likelihood-based unified confidence region for a predictive regression model ⋮ On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors ⋮ A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

Cites Work

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• Limit theory for moderate deviations from a unit root
• Limit theory for an explosive autoregressive process
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
• TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS

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