Limit theory for VARs with mixed roots near unity

DOI10.1080/07474938.2014.956617zbMATH1491.62125OpenAlexW1971272323MaRDI 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

zbMATH Keywords

model selectionpersistencelocal to unitycommon rootsmildly explosivemixed rootstests of common roots

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Dating the timeline of financial bubbles during the subprime crisis
• Empirical Limits for Time Series Econometric Models
• Finite Sample Econometrics
• INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
• Limit theory for moderate deviations from a unit root
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Semiparametric cointegrating rank selection
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for multiple bubbles: limit theory of real-time detectors
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

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
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Robust econometric inference with mixed integrated and mildly explosive regressors
• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• Tests against stationary and explosive alternatives in vector autoregressive models
• The Special Issue in Honor of Aman Ullah: An Overview
• Limit theory for moderate deviations from a unit root
• Consistency and asymptotic normality in a class of nearly unstable processes

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