Unit roots in white noise

DOI10.1017/S0266466611000636zbMATH Open1239.62108OpenAlexW3021660924MaRDI QIDQ2890701FDOQ2890701

Authors: Alexei Onatski, Harald Uhlig 

Publication date: 11 June 2012

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

Full work available at URL: https://doi.org/10.1017/s0266466611000636

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Cites Work

• Title not available (Why is that?)
• Consistent autoregressive spectral estimates
• Error Correction and Long-Run Equilibrium in Continuous Time
• Prediction of multivariate time series by autoregressive model fitting
• The zeros of random polynomials cluster uniformly near the unit circle
• Asymptotic behavior of roots of random polynomial equations
• On the distribution of roots of polynomials
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
• Testing Models of Low-Frequency Variability
• Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
• The large sample distribution of the roots of the second order autoregressive polynomial

Cited In (4)

• A multicointegration model of global climate change
• Limit theory for VARs with mixed roots near unity
• Second order expansion of the \(T\)-statistic in AR(1) models
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

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