Limit theory for VARs with mixed roots near unity
DOI10.1080/07474938.2014.956617zbMATH Open1491.62125OpenAlexW1971272323MaRDI QIDQ5863571FDOQ5863571
Authors: Peter C. B. Phillips, Ji Hyung Lee 
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1838
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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Cited In (9)
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components
- Tests against stationary and explosive alternatives in vector autoregressive models
- Robust econometric inference with mixed integrated and mildly explosive regressors
- The Special Issue in Honor of Aman Ullah: An Overview
- Consistency and asymptotic normality in a class of nearly unstable processes
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- Limit theory for moderate deviations from a unit root
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