Limit theory for mildly integrated process with intercept

DOI10.1016/J.ECONLET.2017.12.008zbMATH Open1401.62149OpenAlexW2774015209MaRDI QIDQ1787286FDOQ1787286

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

Recommendations

• Limit theory for an explosive autoregressive process
• Asymptotic inference for nearly nonstationary AR(1) processes
• Regression Theory for Near-Integrated Time Series
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

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)

Cites Work

• Title not available (Why is that?)
• Limit theory for moderate deviations from a unit root
• Limit theory for an explosive autoregressive process
• 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

This page was built for publication: Limit theory for mildly integrated process with intercept

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1787286)