Smoothing local-to-moderate unit root theory
DOI10.1016/J.JECONOM.2010.01.009zbMATH Open1431.62413OpenAlexW2089227445MaRDI QIDQ736676FDOQ736676
Authors: Peter C. B. Phillips, Tassos Magdalinos, L. Giraitis 
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1818
Recommendations
- Limit theory for moderate deviations from a unit root
- Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
- Time Series Regression with a Unit Root
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- Asymptotic theory for LAD estimation of moderate deviations from a unit root
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Cites Work
- Convergence of stochastic processes
- Limit theory for moderate deviations from a unit root
- Towards a unified asymptotic theory for autoregression
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Uniform Limit Theory for Stationary Autoregression
- Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
Cited In (15)
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Testing for explosive bubbles: a review
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- Smoothing techniques applied to a key economic issue: The ``convergence hypothesis
- Robust block bootstrap panel predictability tests
- Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
- Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
- Boundary limit theory for functional local to unity regression
- Least Squares Bias in Time Series with Moderate Deviations from a Unit Root
- Title not available (Why is that?)
- M-estimation for moderate deviations from a unit root
- Asymptotic theory for a stochastic unit root model
- Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
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