HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
From MaRDI portal
Publication:2716435
DOI10.1017/S0266466601171021zbMath0997.62071MaRDI QIDQ2716435
Peter C. B. Phillips, Hyungsik Roger Moon, Zhijie Xiao
Publication date: 1 November 2001
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (11)
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Tempered fractional Brownian motion: wavelet estimation, modeling and testing ⋮ Inference in continuous systems with mildly explosive regressors ⋮ Hypothesis testing in a fractional Ornstein-Uhlenbeck model ⋮ Model checks for nonlinear cointegrating regression ⋮ Extreme Spectra of Var Models and Orders of Near‐Cointegration ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes ⋮ Lag truncation and the local asymptotic distribution of the ADF test for a unit root ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ Testing the Null of Co-integration in the Presence of Variance Breaks ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
This page was built for publication: HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
