ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS

DOI10.1017/S0266466608080249zbMath1284.62554MaRDI QIDQ3632392

Iliyan Georgiev

Publication date: 11 June 2009

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

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

60F05: Central limit and other weak theorems

Related Items

Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series, HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT, Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables, Bootstrapping non-stationary stochastic volatility, ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS

Cites Work

• Measurement errors and outliers in seasonal unit root testing
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Asymptotics for linear processes
• An introduction to the theory of point processes
• Tests of cointegrating rank with trend-break
• Long memory and stochastic trend.
• Residual-based tests for cointegration in models with regime shifts
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Long memory and regime switching
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models