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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Cites Work
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- Limit theory for moderate deviations from a unit root
- Towards a unified asymptotic theory for autoregression
- Title not available (Why is that?)
- Time Series Regression with a Unit Root
- Dating the timeline of financial bubbles during the subprime crisis
- 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
- Finite Sample Econometrics
- Semiparametric cointegrating rank selection
- LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Empirical Limits for Time Series Econometric Models
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
- On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors
- Consistency and asymptotic normality in a class of nearly unstable processes
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Limit theory for moderate deviations from a unit root
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