REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS

DOI10.1017/S0266466608080365zbMATH Open1284.60053OpenAlexW3123380452MaRDI QIDQ3632405FDOQ3632405

Authors: Peter C. B. Phillips, Rustam Ibragimov 

Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608080365

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Martingales and classical analysis (60G46)

Cites Work

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• Unit root log periodogram regression
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• Weak limit theorems for stochastic integrals and stochastic differential equations
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• On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
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Cited In (26)

• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Understanding temporal aggregation effects on kurtosis in financial indices
• Nonlinearity Induced Weak Instrumentation
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Hybrid stochastic local unit roots
• The Phillips unit root tests for polynomials of integrated processes
• Title not available (Why is that?)
• Nonlinear cointegrating regression under weak identification
• Nonstationary nonlinear quantile regression
• Nonlinear regressions with nonstationary time series
• Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
• Spurious functional-coefficient regression models and robust inference with marginal integration
• On convergence to stochastic integrals
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
• Comment on ``Weak convergence to a matrix stochastic integral with stable processes
• Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
• Econometric estimates of Earth's transient climate sensitivity
• NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS
• A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
• Regression analysis of stochastic fatigue crack growth model in a martingale difference framework
• 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
• WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS
• A Note on Nonlinear Cointegration, Misspecification, and Bimodality

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