LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS

DOI10.1017/S0266466608080353MaRDI QIDQ3632404zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Tassos Magdalinos

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080353

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for an explosive autoregressive process
• Inference in continuous systems with mildly explosive regressors
• Limit theory for explosive autoregression under conditional heteroskedasticity
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

Cites work

• Asymptotic inference for AR(1) processes with (non-normal) stable innovations. V: The explosive case.
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The distribution of matrix quotients
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(8)

• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Inference in continuous systems with mildly explosive regressors
• Double asymptotics for explosive continuous time models
• Estimating smooth structural change in cointegration models
• Analysis of coexplosive processes
• Estimating structural parameters in regression models with adaptive learning
• Limit theory for VARs with mixed roots near unity
• Extensions to IVX methods of inference for return predictability

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