The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Integrated functionals of normal and fractional processes
Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Predictors for the first-order autoregressive process
Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Forecasting and testing in co-integrated systems
On attainable Cramèr-Rao type lower bounds for weighted loss functions
The exact moments of OLS in dynamic regression models with non-normal errors
Nearly unstable AR models with coefficient matrices in Jordan normal form
Priors for unit root models
Asymptotic properties of dynamic stochastic parameter estimates. III
Convergence theorems on the least square estimators of the structural parameters of a linear explosive model
Asymptotic properties of dynamic stochastic parameter estimates
The distribution of the Durbin-Watson statistic in integrated and near-integrated models
Parameter estimation for nearly nonstationary AR(1) processes
Asymptotic inference for semimartingale models with singular parameter points
Large sample estimation in nonstationary autoregressive processes with multiple observations
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
Asymptotic inference for near unit roots in spatial autoregression
On the non-existence of a Bartlett correction for unit root tests
On convergence of multivariate Laplace transforms
On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
Adjusted estimates and Wald statistics for the AR(1) model with constant
Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Curved exponential families of stochastic processes and their envelope families
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
Maximum likelihood estimators in regression models with infinite variance innovations
Limit theory and bootstrap for explosive and partially explosive autoregression
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
Gauss-Newton estimation of parameters for a spatial autoregression model
Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
On parameter estimation for critical affine processes
Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
Asymptotic properties of nearly unstable multivariate AR processes.
Deviation probability bound for martingales with applications to statistical estimation
Asymptotic properties of mildly explosive processes with locally stationary disturbance
CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Periodogram ordinate: spatial model with near unit roots and dependent errors
Hybrid stochastic local unit roots
Sequential fixed accuracy estimation for nonstationary autoregressive processes
Semiparametrically point-optimal hybrid rank tests for unit roots
New insights on concentration inequalities for self-normalized martingales
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
Explosive strong periodic autoregression with multiplicity one
Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
Information quantities in non-classical settings
Methods of analyzing nonstationary time series with implicit changes in their properties
Asymptotic distributions of some robust scale estimators in explosive AR(1) model
Instability detection of ARMA systems based on AR system identification
Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Weighted Dickey-Fuller processes for detecting stationarity
An exponential inequality for autoregressive processes in adaptive tracking
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
A note on unit root tests with heavy-tailed GARCH errors
Summability of stochastic processes -- a generalization of integration for non-linear processes
Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
Asymptotics of regressions with stationary and nonstationary residuals.
Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Decomposition of an autoregressive process into first order processes
Limit theory for moderate deviations from a unit root
Unit root testing in the presence of heavy-tailed GARCH errors
Double asymptotics for explosive continuous time models
Unit roots: a selective review of the contributions of Peter C. B. Phillips
A limit theorem for mildly explosive autoregression with stable errors
Model selection for volatility prediction
Clive W. J. Granger and cointegration
Overlapping subsampling and invariance to initial conditions
Uniform asymptotic normality in stationary and unit root autoregression
Least squares bias in time series with moderate deviations from a unit root
A new estimator for the unit root
Tests for nonlinear cointegration
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Unit root and cointegrating limit theory when initialization is in the infinite past
Asymptotic results for polygonal processes related to an autoregression
The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
A comparison of LS/ML and GMM estimation in a simple AR(1) model
A general framework for the parametrization of hierarchical models
On the bias of the OLS estimator in a nonstationary dynamic panel data model
Estimating structural parameters in regression models with adaptive learning
Asymptotic theory for estimating drift parameters in the fractional Vasicek model
Asymptotic inference for an unstable spatial AR model
Inference About the First-Order Autoregressive Coefficient
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
Editor's introduction: Analysis of financial data
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process
Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
Limit theory for an explosive autoregressive process

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