Empirical Limits for Time Series Econometric Models

DOI10.1111/1468-0262.00419MaRDI QIDQ5472964zbMATH OpenOpenAlexFDO

Authors Werner Ploberger, Peter C. B. Phillips

Publication date 19 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d12/d1220.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(18)

• Challenges of trending time series econometrics
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• Price probabilities: a class of Bayesian and non-Bayesian prediction rules
• Hybrid stochastic local unit roots
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Lag length selection in panel autoregression
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• On LASSO for predictive regression
• Market selection in large economies: a matter of luck
• Limit theory for VARs with mixed roots near unity
• New unit root asymptotics in the presence of deterministic trends.
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
• Information criteria for impulse response function matching estimation of DSGE models
• The available information for invariant tests of a unit root
• Simple bounds on the most predictable component of a stochastic model
• Nonparametric risk bounds for time-series forecasting
• Model selection using information criteria and genetic algorithms

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