INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS

DOI10.1017/S0266466612000709zbMath1283.62187OpenAlexW3124969523MaRDI QIDQ5403111

Peter C. B. Phillips, Tassos Magdalinos

Publication date: 25 March 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466612000709

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

Related Items (4)

Estimating smooth structural change in cointegration models ⋮ Inference in continuous systems with mildly explosive regressors ⋮ Testing for explosive bubbles: a review ⋮ Limit Theory for VARs with Mixed Roots Near Unity

Cites Work

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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Exogeneity
• The Exact Distribution of LIML: I
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

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