Smoothing local-to-moderate unit root theory
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Publication:736676
DOI10.1016/j.jeconom.2010.01.009zbMath1431.62413OpenAlexW2089227445MaRDI QIDQ736676
Tassos Magdalinos, Peter C. B. Phillips, Liudas Giraitis
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1818
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items (11)
Asymptotic theory for a stochastic unit root model ⋮ Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1) ⋮ ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS ⋮ Testing for explosive bubbles: a review ⋮ Unnamed Item ⋮ Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ Least Squares Bias in Time Series with Moderate Deviations from a Unit Root ⋮ M-estimation for Moderate Deviations From a Unit Root ⋮ Robust block bootstrap panel predictability tests ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
Cites Work
- Limit theory for moderate deviations from a unit root
- Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Uniform Limit Theory for Stationary Autoregression
- Towards a unified asymptotic theory for autoregression
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- Convergence of stochastic processes
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