Towards a unified asymptotic theory for autoregression

DOI10.1093/BIOMET/74.3.535zbMATH Open0654.62073OpenAlexW2093718718MaRDI QIDQ3800934FDOQ3800934

Authors: Peter C. B. Phillips 

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0782-r.pdf

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zbMATH Keywords

asymptotic theorylocal alternativesmoment conditionsBrownian motiondiffusion processunit rootnoncentrality parameterfirst-order autoregressionweak dependence conditionsasymptotic power of testscontinuous time estimationnear-integrated process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cited In (only showing first 100 items - show all)

• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• Understanding the effect of technology shocks in SVARs with long-run restrictions
• Finite-sample size control of IVX-based tests in predictive regressions
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Random coefficient continuous systems: testing for extreme sample path behavior
• Understanding temporal aggregation effects on kurtosis in financial indices
• Point optimal testing with roots that are functionally local to unity
• A reexamination of stock return predictability
• Hybrid stochastic local unit roots
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Wavelet variance ratio cointegration test and wavestrapping
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• Unit root tests for seasonal models with deterministic trends
• Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
• Expectations hypotheses tests at Long Horizons
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• A score statistic for testing the presence of a stochastic trend in conditional variances
• New distribution theory for the estimation of structural break point in mean
• M-estimation for near unit roots in spatial autoregression with infinite variance
• Low-frequency robust cointegration testing
• Limit theory for explosive autoregression under conditional heteroskedasticity
• Nonparametric transformation regression with nonstationary data
• Testing for a unit root in Lee-Carter mortality model
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Inference for the Lee-Carter model with an AR(2) process
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Asymptotics for stationary very nearly unit root processes
• NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Fractional cointegration in the presence of linear trends
• On the long-run fluctuations of inheritance in two-sector OLG models
• Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions
• Asymptotic normality of the instrumental variable estimates for ARIMA(\(p,m,q\)) processes
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• Temporal aggregation and the power of tests for a unit root
• Predictive quantile regressions under persistence and conditional heteroskedasticity
• The uniform validity of impulse response inference in autoregressions
• Inference on a structural break in trend with mildly integrated errors
• Asymptotic theory and unified confidence region for an autoregressive model
• A covariate residual-based cointegration test applied to the CDS-bond basis
• Tapered block bootstrap for unit root testing
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• Estimating multiple breaks in nonstationary autoregressive models
• Rank test of unit‐root hypothesis with AR‐GARCH errors
• Robust inference for near-unit root processes with time-varying error variances
• Asymptotic accuracy of the least-squares estimates in nearly nonstationary autoregressive models
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• How to estimate autoregressive roots near unity
• A CLT for second difference estimators with an application to volatility and intensity
• A unified test for predictability of asset returns regardless of properties of predicting variables
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• A fixed-\(b\) perspective on the Phillips-Perron unit root tests
• A simple test for nonstationarity in mixed panels: a further investigation
• Heteroskedastic time series with a unit root
• Size and power of tests of stationarity in highly autocorrelated time series
• Robust inference in autoregressions with multiple outliers
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Efficient tests of the seasonal unit root hypothesis
• A specification test for nonlinear nonstationary models
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Testing for unit roots with flow data and varying sampling frequency
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Limit theory for moderate deviations from a unit root with a break in variance
• Parameter estimation in a spatial unilateral unit root autoregressive model
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Confidence intervals for autoregressive coefficients near one
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Double asymptotics for explosive continuous time models
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• On the variances of a spatial unit root model
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
• An invariant sign test for random walks based on recursive median adjustment
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Asymptotic theory for linear diffusions under alternative sampling schemes
• A theory of robust long-run variance estimation
• Unit root quantile autoregression testing using covariates
• Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
• Testing for a unit root in panels with dynamic factors
• Minimizing the impact of the initial condition on testing for unit roots
• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• Asymptotic inference for unit roots in spatial triangular autoregression
• A multivariate stochastic unit root model with an application to derivative pricing
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Asymptotic inference for near unit roots in spatial autoregression
• Optimal jackknife for unit root models
• Limiting power of unit-root tests in time-series regression
• Nonparametric tests for unit roots and cointegration.
• Cointegration tests in the presence of structural breaks
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• Trends and random walks in macroeconomic time series
• Effects of data aggregation on the power of tests for a unit root. A simulation study
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• Differencing transformations and inference in predictive regression models
• On the choice of test for a unit root when the errors are conditionally heteroskedastic
• The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap

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