Limit theory for moderate deviations from a unit root

DOI10.1016/j.jeconom.2005.08.002zbMath1418.62348OpenAlexW3121874347MaRDI QIDQ278238

Tassos Magdalinos, Peter C. B. Phillips

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d14/d1471.pdf

zbMATH Keywords

moderate deviations local to unity central limit theory explosive autoregression unit root distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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