Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables

DOI10.1016/j.jeconom.2010.03.005zbMath1431.62376MaRDI QIDQ736554

Iliyan Georgiev

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.005

zbMATH Keywords

rare events; cointegration; impulse response; vector autoregression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Cites Work

• Unnamed Item
• Econometric specification of stochastic discount factor models
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for likelihood ratio tests under loss of identifiability
• A survey of exact inference for contingency tables. With comments and a rejoinder by the author
• BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
• Outliers in multivariate time series
• TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Hypothesis Testing in Mixture Regression Models
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• A mixture‐distribution factor model for multivariate outliers