Limit Theory for VARs with Mixed Roots Near Unity

DOI10.1080/07474938.2014.956617zbMath1491.62125OpenAlexW1971272323MaRDI QIDQ5863571

Peter C. B. Phillips, Ji Hyung Lee

Publication date: 3 June 2022

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1838

zbMATH Keywords

model selectionpersistencelocal to unitycommon rootsmildly explosivemixed rootstests of common roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (5)

Robust econometric inference with mixed integrated and mildly explosive regressors ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Consistency and asymptotic normality in a class of nearly unstable processes ⋮ On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors ⋮ The Special Issue in Honor of Aman Ullah: An Overview

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