Asymptotic theory for a stochastic unit root model

DOI10.1080/03610926.2020.1764582MaRDI QIDQ5079874zbMATH OpenOpenAlexFDO

Authors Lingjie Du, Tian-Xiao Pang

Publication date 30 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1764582

zbMATH Keywords

asymptotic distributionstochastic unit rootnon-stationarynonlinear least squares estimator

Mathematics Subject Classification ID

Statistics (62-XX) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)

Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A multivariate stochastic unit root model with an application to derivative pricing
• An introduction to stochastic unit-root processes
• Asymptotic inference for nearly nonstationary AR(1) processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation of autoregressive roots near unity using panel data
• Financial bubble implosion and reverse regression
• Hybrid stochastic local unit roots
• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Limit theory for moderate deviations from a unit root
• Norming rates and limit theory for some time-varying coefficient autoregressions
• Probability inequalities.
• Smoothing local-to-moderate unit root theory
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Testing for a unit root by frequency domain regression
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Towards a unified asymptotic theory for autoregression

Cited in

(3)

• IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• STOCHASTIC UNIT ROOT MODELS

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