ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS

DOI10.1017/S0266466608080249MaRDI QIDQ3632392zbMATH OpenFDO

Authors Iliyan Georgiev

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466608080249

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Cointegration analysis in the presence of outliers
• Cointegrated processes with infinite variance innovations
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• On some new results for cointegrated processes with infinite variance innovations
• Estimation of stochastic processes with stationary increments and cointegrated sequences
• On cointegration for processes integrated at different frequencies

Cites work

• An introduction to the theory of point processes
• Asymptotics for linear processes
• Behavior of Dickey-Fuller \(t\)-tests when there is a break under the alternative hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Long memory and regime switching
• Long memory and stochastic trend.
• Measurement errors and outliers in seasonal unit root testing
• Residual-based tests for cointegration in models with regime shifts
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Tests of cointegrating rank with trend-break
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(7)

• Bootstrapping non-stationary stochastic volatility
• The effects of ignoring level shifts on systems cointegration tests
• Cointegration analysis in the presence of outliers
• Robust inference in autoregressions with multiple outliers
• Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
• Heteroskedastic time series with a unit root
• Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

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