Unit roots in white noise

DOI10.1017/S0266466611000636MaRDI QIDQ2890701zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Asymptotic behavior of roots of random polynomial equations
• Consistent autoregressive spectral estimates
• Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
• Error Correction and Long-Run Equilibrium in Continuous Time
• On the distribution of roots of polynomials
• Prediction of multivariate time series by autoregressive model fitting
• Testing Models of Low-Frequency Variability
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
• The large sample distribution of the roots of the second order autoregressive polynomial
• The zeros of random polynomials cluster uniformly near the unit circle

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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