scientific article; zbMATH DE number 4100451

MaRDI QIDQ3825972zbMATH OpenFDO

Authors Peter C. B. Phillips

Publication date 1988

zbMATH Keywords

ARIMA processescointegrated seriesfinancial seriesGaussian AR(1)integrated processesLAMN familiesLANlimiting Gaussian functionalsmacroeconomic time seriesnear integrated time seriesreviewweak convergence methods

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(13)

• Asymptotic minimax results for stochastic process families with critical points
• Index models with integrated time series
• Kernel-based inference in time-varying coefficient cointegrating regression
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Multiple Time Series Regression with Integrated Processes
• scientific article; zbMATH DE number 1538096 (Why is no real title available?)
• When is a time-series I(0)?
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• M‐Estimation for regressions with integrated regressors and arma errors
• Regression with Nonstationary Volatility
• Time series regression on integrated continuous-time processes with heavy and light tails
• Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors

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