Limit theory for mildly integrated process with intercept

DOI10.1016/J.ECONLET.2017.12.008MaRDI QIDQ1787286zbMATH OpenOpenAlexFDO

Authors Yijie Fei

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/2169

zbMATH Keywords

autoregressionbubblelimit theoryinterceptmoderate deviation from unity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Limit theory for an explosive autoregressive process
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• Regression Theory for Near-Integrated Time Series
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• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Limit theory for an explosive autoregressive process
• Limit theory for moderate deviations from a unit root
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for multiple bubbles: limit theory of real-time detectors

Cited in

(6)

• A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
• Limit theory for an explosive autoregressive process
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• Asymptotic theory and unified confidence region for an autoregressive model
• Empirical likelihood-based unified confidence region for a predictive regression model

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