Regression Theory for Near-Integrated Time Series

DOI10.2307/1911357zbMath0744.62128MaRDI QIDQ4711625

Peter C. B. Phillips

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0781-r.pdf

zbMATH Keywords

convergence properties; local alternatives; asymptotic theory; unit roots; vector autoregression; mildly explosive processes; sample moments; least squares estimates; time series regressions; stationary ARMA processes; ARIMA processes; models with drift; multiple discrete-time stochastic processes; near integrated processes; noncentral distributions of multivariate tests for unit roots; Pitman approach; strongly mixing innovations

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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