UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST

DOI10.1017/S0266466609990296zbMath1179.62128OpenAlexW3121373826MaRDI QIDQ3652623

Tassos Magdalinos, Peter C. B. Phillips

Publication date: 15 December 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466609990296

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites Work

• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Limit theory for moderate deviations from a unit root
• Minimizing the impact of the initial condition on testing for unit roots
• Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
• Asymptotics for linear processes
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• Multiple Time Series Regression with Integrated Processes
• Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
• Time Series Regression with a Unit Root
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• Tests for Unit Roots and the Initial Condition

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