Analysis of coexplosive processes

DOI10.1017/S0266466609990144zbMATH Open1191.62150MaRDI QIDQ3577705FDOQ3577705

Bent Nielsen

Publication date: 23 July 2010

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

Recommendations

• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• Tests against stationary and explosive alternatives in vector autoregressive models
• LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
• Statistical analysis of cointegration vectors
• Testing for rational bubbles in a coexplosive vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Statistical analysis of cointegration vectors
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Trend stationarity in the \(I(2)\) cointegration model.
• The empirical process of autoregressive residuals
• Likelihood Analysis of the I(2) Model
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• The cointegrated VAR model: Methodology and applications.
• Correlograms for Non-Stationary Autoregressions
• Time-Series Analysis of the German Hyperinflation
• The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS

Cited In (4)

• Testing for explosive bubbles: a review
• Finite time identification in unstable linear systems
• On causal and non‐causal cointegrated vector autoregressive time series
• Tests of Variance Bounds Implied by Cagan's Hyperinflation Model

Uses Software

• PcGive

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