INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS

DOI10.1017/S0266466612000709MaRDI QIDQ5403111zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Tassos Magdalinos

Publication date 25 March 2014

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466612000709

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Cointegration rank testing under conditional heteroskedasticity
• Dating the timeline of financial bubbles during the subprime crisis
• Exogeneity
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Exact Distribution of LIML: I
• Weak exogeneity and dynamic stability in cointegrated VARs

Cited in

(5)

• Analysis of coexplosive processes
• Testing for explosive bubbles: a review
• Limit theory for VARs with mixed roots near unity
• Inference in continuous systems with mildly explosive regressors
• Estimating smooth structural change in cointegration models

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