REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- An Asymtotic Theory of Bayesian Inference for Time Series
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Cited in
(31)- Norming rates and limit theory for some time-varying coefficient autoregressions
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Understanding temporal aggregation effects on kurtosis in financial indices
- Weak convergence to stochastic integrals for econometric applications
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- The Phillips unit root tests for polynomials of integrated processes
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- Nonlinear cointegrating regression under weak identification
- Nonstationary nonlinear quantile regression
- Nonlinear regressions with nonstationary time series
- A note on nonlinear cointegration, misspecification, and bimodality
- Convergence of some quadratic forms used in regression analysis
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
- On convergence to stochastic integrals
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- Limit theorems for stochastic integrals with long memory processes
- Nonlinearity induced weak instrumentation
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- Regression analysis of stochastic fatigue crack growth model in a martingale difference framework
- Cointegrating polynomial regressions: robustness of fully modified OLS
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- When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
- New robust inference for predictive regressions
- Stationarity against integration in the autoregressive process with polynomial trend
- Robust inference for near-unit root processes with time-varying error variances
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