Null recurrent unit root processes

DOI10.1017/S0266466611000119MaRDI QIDQ3224037zbMATH OpenFDO

Authors Terje Myklebust, Hans A. Karlsen, Dag Tjøstheim

Publication date 29 March 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466611000119

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov processes (60J99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(16)

• Nonparametric estimation in null recurrent time series.
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Robust nonlinear regression estimation in null recurrent time series
• Specification testing for nonlinear multivariate cointegrating regressions
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Asymptotics for recurrent diffusions with application to high frequency regression
• Robust estimation and inference for threshold models with integrated regressors
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• A New Class of Bivariate Threshold Cointegration Models
• Tail index estimation for discrete heavy-tailed distributions with application to statistical inference for regular Markov chains
• Regenerative bootstrap for -null recurrent Markov chains
• Nonparametric regression estimation in a null recurrent time series
• Nonparametric estimation in a nonlinear cointegration type model

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