LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS

DOI10.1017/S0266466621000086OpenAlexW3138348701MaRDI QIDQ5051517

Tassos Magdalinos

Publication date: 23 November 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466621000086

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotics for linear processes
• Generalized autoregressive conditional heteroscedasticity
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
• Towards a unified asymptotic theory for autoregression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Regression Theory for Near-Integrated Time Series
• Time Series Regression with a Unit Root
• GARCH Models

This page was built for publication: LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS