LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS

DOI10.1017/S0266466608080353zbMath1284.62358OpenAlexW3124926031MaRDI QIDQ3632404

Peter C. B. Phillips, Tassos Magdalinos

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080353

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (4)

Estimating smooth structural change in cointegration models ⋮ Extensions to IVX methods of inference for return predictability ⋮ ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING ⋮ Limit Theory for VARs with Mixed Roots Near Unity

Cites Work

• The distribution of matrix quotients
• Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Unnamed Item

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