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
model selectionpersistencelocal to unitycommon rootsmildly explosivemixed rootstests of common roots
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)
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