ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
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Publication:3632392
DOI10.1017/S0266466608080249zbMath1284.62554MaRDI QIDQ3632392
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
Related Items (5)
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables ⋮ Bootstrapping non-stationary stochastic volatility ⋮ ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
Cites Work
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- Asymptotics for linear processes
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- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
- Long memory and regime switching
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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