Stochastic Limit Theory

DOI10.1093/0198774036.001.0001zbMATH Open0904.60002OpenAlexW2496601513MaRDI QIDQ4393441FDOQ4393441

Authors:

Publication date: 9 June 1998

Full work available at URL: https://doi.org/10.1093/0198774036.001.0001

Recommendations

Stochastic limit theory. An introduction for econometricians
Limit theorems for individual-based models in economics and finance
scientific article; zbMATH DE number 7228943
Weak convergence to stochastic integrals for econometric applications
A limit theorem for random matrices with a multiparameter and its application to a stochastic model of a large economy
scientific article; zbMATH DE number 44037
scientific article; zbMATH DE number 699434
scientific article; zbMATH DE number 3858099
Stochastic methods in economics and finance

Applications of statistics to economics (62P20) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Limit theorems in probability theory (60Fxx)

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

Testing serial independence with functional data
Estimation of impulse response functions using long autoregression
Nonparametric regression with warped wavelets and strong mixing processes
Testing the Null of Co-integration in the Presence of Variance Breaks
Testing for common breaks in a multiple equations system
On asymptotic normality of certain linear rank statistics
Testing for a unit root in a stationary ESTAR process
Efficient estimation of heterogeneous coefficients in panel data models with common shocks
Partially adaptive estimation of autoregressive processes via a normal mixture
Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
Spectral analysis of multifractional LRD functional time series
Weak convergence of stochastic processes. With applications to statistical limit theorems
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
Alternative tests for correct specification of conditional predictive densities
Stable convergence and stable limit theorems
Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
\(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables
A consistent nonparametric test of affiliation in auction models
Consistency of kernel variance estimators for sums of semiparametric linear processes
Nonstationary-volatility robust panel unit root tests and the great moderation
Variable screening for high dimensional time series
Mixing sequences, and mixingales in quantum probability spaces
Quantifying the data-dredging bias in structural break tests
Rate of convergence for a class of RCA estimators
Nonparametric M-estimation for functional stationary ergodic data
The portmanteau tests and the LM test for ARMA models with uncorrelated errors
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
Leave-one-out cross-validation is risk consistent for Lasso
A central limit theorem for strong near-epoch dependent random variables
Method for simulating non-linear stochastic differential equations in ℝ¹
Potential well spectrum and hitting time in renewal processes
Neighbourhood GMM estimation of dynamic panel data models
Block bootstrap consistency under weak assumptions
Robust estimation for order of hidden Markov models based on density power divergences
M-estimator based unit root tests in the ESTAR framework
A residual-based multivariate constant correlation test
Dating multiple change points in the correlation matrix
Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models
TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
Estimating a gradual parameter change in an AR(1)-process
Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle
Partially adaptive estimation of nonlinear models via a normal mixture
Diversification benefits in the cryptocurrency market under mild explosivity
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
A new test for checking the equality of the correlation structures of two time series
Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
A likelihood ratio test for spatial model selection
A test of the long memory hypothesis based on self-similarity
Parametric and semi-parametric efficient tests for parameter instability
Stochastic limit theory. An introduction for econometricians
Semiparametric tests of conditional moment restrictions under weak or partial identification
Cointegrating regressions with messy regressors and an application to mixed-frequency series
On testing changes in autoregressive parameters of a VAR model
Unit root tests for cross-sectionally dependent panels: the influence of observed factors
Robust estimation and inference of spatial panel data models with fixed effects
Simultaneous confidence bands for functional data using the Gaussian kinematic formula
Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
Nonparametric estimation for dependent data
Bootstrap entropy test for general location-scale time series models with heteroscedasticity
Myopic loss aversion and margin of safety: the risk of value investing
High-dimensional CLTs for individual Mahalanobis distances
Estimation and inference of the vector autoregressive process under heteroscedasticity
Inferences in panel data with interactive effects using large covariance matrices
Title not available (Why is that?)
Estimation of variances in a heteroscedastic RCA(1) model.
Infinitely stochastic micro reserving
Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
Asymptotic properties of conditional least-squares estimators for array time series
A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
Conditional least squares and copulae in claims reserving for a single line of business
Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
Monitoring changes in RCA models
Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
Tests for linearity in star models: SupWald and LM-type tests
Interval estimation for the Sortino ratio and the Omega ratio
Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
Use of additional information for current status data with two competing risks and missing failure types
Permutation‐based tests for discontinuities in event studies
Nonparametric density forecast based on time- and state-domain
PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
A new consistency proof for HAC variance estimators
Weak convergence and its application
Spurious regression due to neglected of non-stationary volatility
On asymptotic normality of the local polynomial regression estimator with stochastic bandwidths
Mixing conditions, central limit theorems, and invariance principles: A survey of the literature with some new results on heteroscedastic sequences
Bootstrap in nonstationary autoregression.
Quasi score-driven models
Fast reaction limits via \(\Gamma\)-convergence of the flux rate functional
Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Testing for structural change in conditional models
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
Many instruments asymptotic approximations under nonnormal error distributions
Weak and strong cross-section dependence and estimation of large panels
Parameter estimation in nonlinear AR-GARCH models
Testing for parameter constancy in non-Gaussian time series
Limit theorems for network dependent random variables

This page was built for publication: Stochastic Limit Theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4393441)