Limit theory for moderate deviations from a unit root
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Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
- Asymptotic inference for nearly nonstationary AR(1) processes
- Convergence of stochastic processes
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Stopping times and tightness
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Towards a unified asymptotic theory for autoregression
- Uniform Limit Theory for Stationary Autoregression
Cited in
(only showing first 100 items - show all)- When bubbles burst: econometric tests based on structural breaks
- Limit theory for random coefficient first-order autoregressive process
- Quantile inference for moderate deviations from a unit root model with infinite variance
- Deviation inequalities for stochastic approximation by averaging
- Generic results for establishing the asymptotic size of confidence sets and tests
- Mildly explosive autoregression under weak and strong dependence
- Limit theory for moderate deviations from a unit root with a break in variance
- Inference in a similarity-based spatial autoregressive model
- Perpetual learning and apparent long memory
- Inference on stochastic time-varying coefficient models
- Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
- A multivariate stochastic unit root model with an application to derivative pricing
- Double asymptotics for explosive continuous time models
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
- X-differencing and dynamic panel model estimation
- Testing for randomness in a random coefficient autoregression model
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- Spatial autoregressions with an extended parameter space and similarity-based weights
- CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
- Explosive strong periodic autoregression with multiplicity one
- Smoothing local-to-moderate unit root theory
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- Asymptotic inference for \(\mathrm{AR}(1)\) panel data
- Mildly explosive autoregression with mixing innovations
- A limit theorem for mildly explosive autoregression with stable errors
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Weak convergence in the near unit root setting
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Testing for mild explosivity and bubbles in LME non-ferrous metals prices
- Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
- Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
- Mean and autocovariance function estimation near the boundary of stationarity
- Inference in continuous systems with mildly explosive regressors
- Differencing transformations and inference in predictive regression models
- Limit theory for VARs with mixed roots near unity
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Unit root and cointegrating limit theory when initialization is in the infinite past
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- Predictive regression under various degrees of persistence and robust long-horizon regression
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Unit root log periodogram regression
- Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
- Dynamic panel Anderson-Hsiao estimation with roots near unity
- M-estimation for moderate deviations from a unit root
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
- Enhancing the local power of IVX-based tests in predictive regressions
- Optimal estimation under nonstandard conditions
- Random walk or chaos: a formal test on the Lyapunov exponent
- Asymptotic normality for weighted sums of linear processes
- 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
- Limit theory for explosive autoregression under conditional heteroskedasticity
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Asymptotic theory for rough fractional Vasicek models
- Instrumental variable and variable addition based inference in predictive regressions
- Moderate deviations in a class of stable but nearly unstable processes
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Testing for the extent of instability in nearly unstable processes
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Asymptotic theory for a stochastic unit root model
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Econometric estimates of Earth's transient climate sensitivity
- Point optimal testing with roots that are functionally local to unity
- Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
- Robust inference for predictability in smooth transition predictive regressions
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Unified Tests for a Dynamic Predictive Regression
- A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
- The available information for invariant tests of a unit root
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Inference on a structural break in trend with mildly integrated errors
- Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
- Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Estimating multiple breaks in nonstationary autoregressive models
- Asymptotic theory and unified confidence region for an autoregressive model
- A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
- New robust inference for predictive regressions
- OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
- Asymptotic properties of bubble monitoring tests
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- Diversification benefits in the cryptocurrency market under mild explosivity
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
- Empirical likelihood-based unified confidence region for a predictive regression model
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