New unit root asymptotics in the presence of deterministic trends.

DOI10.1016/S0304-4076(02)00109-4zbMath1051.62084OpenAlexW2041307237MaRDI QIDQ1867744

Peter C. B. Phillips

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00109-4

zbMATH Keywords

Deterministic trendsDivergent critical valuesLarge \(K\) asymptoticsNormal limit distributionUnit root distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (5)

Incidental trends and the power of panel unit root tests ⋮ Challenges of trending time series econometrics ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS ⋮ LINEAR NONSTATIONARY MODELS—A REVIEW OF THE WORK OF PROFESSOR P.C.B. PHILLIPS

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