Boundary Limit Theory for Functional Local to Unity Regression

DOI10.1111/jtsa.12285zbMath1391.60057OpenAlexW2757557252MaRDI QIDQ4577083

Peter C. B. Phillips, Anna Bykhovskaya

Publication date: 11 July 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12285

zbMATH Keywords

local to unityunit root modelsequential limitssimultaneous limitsboundary asymptoticsfunctional local unit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

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