Smoothing local-to-moderate unit root theory

DOI10.1016/J.JECONOM.2010.01.009MaRDI QIDQ736676zbMATHOpenAlexFDO

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

zbMATH Keywords

Edgeworth expansionmoderate deviationslocal to unityunit root distribution

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) Central limit and other weak theorems (60F05)

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Cites work

• Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Convergence of stochastic processes
• Limit theory for moderate deviations from a unit root
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Towards a unified asymptotic theory for autoregression
• Uniform Limit Theory for Stationary Autoregression

Cited in

(15)

• scientific article; zbMATH DE number 7387619 (Why is no real title available?)
• Asymptotic theory for a stochastic unit root model
• Boundary limit theory for functional local to unity regression
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
• Smoothing techniques applied to a key economic issue: The ``convergence hypothesis
• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• Least squares bias in time series with moderate deviations from a unit root
• Robust block bootstrap panel predictability tests
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• M-estimation for moderate deviations from a unit root
• Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Testing for explosive bubbles: a review
• Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

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