On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors
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Publication:5135328
DOI10.1111/jtsa.12530zbMath1456.62218OpenAlexW2910143365MaRDI QIDQ5135328
Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://project.nek.lu.se/publications/workpap/papers/wp19_2.pdf
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Causal inference from observational studies (62D20)
Cites Work
- Limit theory for moderate deviations from a unit root
- Robust econometric inference with mixed integrated and mildly explosive regressors
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- Mean and autocovariance function estimation near the boundary of stationarity
- Asymptotics for linear processes
- Limit theory for mildly integrated process with intercept
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
- Towards a unified asymptotic theory for autoregression
- Linear Regression Limit Theory for Nonstationary Panel Data
- Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
- Testing for moderate explosiveness
- Limit Theory for VARs with Mixed Roots Near Unity
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