Mildly explosive autoregression under weak and strong dependence
DOI10.1016/J.JECONOM.2012.01.024zbMATH Open1443.62278OpenAlexW2238061309MaRDI QIDQ527993FDOQ527993
Authors: Tassos Magdalinos 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/08-05.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05)
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Cited In (22)
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Mildly explosive autoregression with mixing innovations
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Double asymptotics for explosive continuous time models
- Mildly explosive autoregression under weak and strong dependence
- Quantile inference for moderate deviations from a unit root model with infinite variance
- Limit theory for explosive autoregression under conditional heteroskedasticity
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- Robust testing for explosive behavior with strongly dependent errors
- Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
- Inference in continuous systems with mildly explosive regressors
- Periodogram ordinate: spatial model with near unit roots and dependent errors
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
- Weakly adaptive estimators in explosive autoregression
- Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
- A limit theorem for mildly explosive autoregression with stable errors
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Asymptotic theory for rough fractional Vasicek models
- Mildly explosive autoregression under stationary conditional heteroskedasticity
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
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