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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- Distribution function inequalities for martingales
- Invariance principle for symmetric statistics
- Limit theory for moderate deviations from a unit root
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- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Time Series Regression with a Unit Root
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- Uniform Limit Theory for Stationary Autoregression
- Unit root log periodogram regression
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- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(28)- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- Econometric estimates of Earth's transient climate sensitivity
- Norming rates and limit theory for some time-varying coefficient autoregressions
- Robust inference for near-unit root processes with time-varying error variances
- Nonlinear regressions with nonstationary time series
- Understanding temporal aggregation effects on kurtosis in financial indices
- Regression analysis of stochastic fatigue crack growth model in a martingale difference framework
- The Phillips unit root tests for polynomials of integrated processes
- Stationarity against integration in the autoregressive process with polynomial trend
- New robust inference for predictive regressions
- When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
- Spurious functional-coefficient regression models and robust inference with marginal integration
- MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
- Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
- scientific article; zbMATH DE number 2096882 (Why is no real title available?)
- A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
- Comment on ``Weak convergence to a matrix stochastic integral with stable processes
- Nonstationary nonlinear quantile regression
- Nonlinearity induced weak instrumentation
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Hybrid stochastic local unit roots
- LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
- On convergence to stochastic integrals
- Weak convergence to stochastic integrals for econometric applications
- Nonlinear cointegrating regression under weak identification
- A note on nonlinear cointegration, misspecification, and bimodality
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Convergence of some quadratic forms used in regression analysis
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