ANALYSIS OF COEXPLOSIVE PROCESSES

DOI10.1017/S0266466609990144zbMath1191.62150MaRDI QIDQ3577705

Bent Nielsen

Publication date: 23 July 2010

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H15: Hypothesis testing in multivariate analysis

62M07: Non-Markovian processes: hypothesis testing

Uses Software

• PcGive

Cites Work

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