LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS

DOI10.1017/s0266466608090154zbMath1279.62188OpenAlexW2165321616MaRDI QIDQ132724

Tassos Magdalinos, Peter C.B. Phillips, Tassos Magdalinos, Peter C. B. Phillips

Publication date: April 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090154

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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