Empirical Limits for Time Series Econometric Models
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Publication:5472964
DOI10.1111/1468-0262.00419zbMATH Open1142.91719OpenAlexW2167166239MaRDI QIDQ5472964FDOQ5472964
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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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