ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS

Cites Work

Title not available (Why is that?)
Asymptotics for linear processes
Empirical Processes with Applications to Statistics
Title not available (Why is that?)
Asymptotic inference for nearly nonstationary AR(1) processes
Limit theory for moderate deviations from a unit root
Towards a unified asymptotic theory for autoregression
On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
Regression Theory for Near-Integrated Time Series
Time Series Regression with a Unit Root
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
Dating the timeline of financial bubbles during the subprime crisis
Uniform Limit Theory for Stationary Autoregression
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
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Folklore theorems, implicit maps, and indirect inference
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
Uniform Inference in Autoregressive Models
Normalizing transformations of some statistics in multivariate analysis
An angular transformation for the serial correlation coefficient
Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
Smoothing local-to-moderate unit root theory
Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
One-dimensional inference in autoregressive models with the potential presence of a unit root
Edgeworth expansions in Gaussian autoregression

Cited In (7)

Testing for explosive bubbles: a review
Robust testing for explosive behavior with strongly dependent errors
Inference in Linear Time Series Models with some Unit Roots
Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
Jackknife estimation with a unit root
Robust inference with stochastic local unit root regressors in predictive regressions

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