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
• LIMITED TIME SERIES WITH A UNIT ROOT
• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Perpetual learning and apparent long memory
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• A new robust inference for predictive quantile regression
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• Hypothesis testing in a fractional Ornstein-Uhlenbeck model
• Book review of: U. Hassler, Stochastische Integration und Zeitreihenmodellierung
• Near-integration and deterministic trends
• Sensitivity of the Hermite rank
• On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
• Maximum likelihood estimators in regression models with infinite variance innovations
• Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
• Inference on stochastic time-varying coefficient models
• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• Unified asymptotic theory for nearly unstable AR(\(p\)) processes
• ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
• Uniform asymptotic normality in stationary and unit root autoregression
• Time series regression on integrated continuous-time processes with heavy and light tails
• Nearly unstable AR models with coefficient matrices in Jordan normal form
• Unit root testing
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Asymptotic inference for \(\mathrm{AR}(1)\) panel data
• The power of unit root tests under local-to-finite variance errors
• Hypotheses testing: Poisson versus stress-release
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• Durbin-Hausman tests for cointegration
• Testing the null of stationarity for multiple time series
• On the asymptotic distribution of the Dickey Fuller-GLS test statistic
• Nonparametric predictive regression
• Smoothing local-to-moderate unit root theory
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Asymptotic properties of nearly unstable multivariate AR processes.
• Asymptotic inference for semimartingale models with singular parameter points
• Inference in a similarity-based spatial autoregressive model
• Spurious spatial regression with equal weights
• UNIT ROOT TESTS WITH WAVELETS
• Asymptotic inference in time series regressions with a unit root and infinite variance errors
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Generic results for establishing the asymptotic size of confidence sets and tests
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Analytical evaluation of the power of tests for the absence of cointegration
• Asymptotic minimax results for stochastic process families with critical points
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• Testing a Unit Root Based on Aggregate Time Series

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