Inference in continuous systems with mildly explosive regressors
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Publication:1676388
DOI10.1016/J.JECONOM.2017.08.016zbMath1377.62177OpenAlexW2749586918MaRDI QIDQ1676388
Jun Yu, Ye Chen, Peter C. B. Phillips
Publication date: 7 November 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/414780/1/continuous_cointegrated_systems_final_F.pdf
double asymptoticsmoderate deviations from unityreal estate marketcointegrated systemfinite sample distributionexplosive process
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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