Regression Theory for Near-Integrated Time Series

DOI10.2307/1911357MaRDI QIDQ4711625zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 25 June 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d07/d0781-r.pdf

zbMATH Keywords

ARIMA processesasymptotic theoryconvergence propertiesleast squares estimateslocal alternativesmildly explosive processesmodels with driftmultiple discrete-time stochastic processesnear integrated processesnoncentral distributions of multivariate tests for unit rootsPitman approachsample momentsstationary ARMA processesstrongly mixing innovationstime series regressionsunit rootsvector autoregression

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(94)

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• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
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• Inference in a nearly integrated autoregressive model with nonnormal innovations
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• Stability tests in error correction models
• Portmanteau-type tests for unit-root and cointegration
• Testing for randomness in a random coefficient autoregression model
• Limit theory for mildly integrated process with intercept
• Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
• Index models with integrated time series
• Cointegration tests in the presence of structural breaks
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Unit root econometrics and economic nonlinearities
• Asymptotic filtering theory for multivariate ARCH models
• Deviation inequalities for stochastic approximation by averaging
• Point optimal testing with roots that are functionally local to unity
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Nonparametric rank tests for non-stationary panels
• Explosive strong periodic autoregression with multiplicity one
• New tools for understanding the local asymptotic power of panel unit root tests
• Testing predictive regression models with nonstationary regressors
• Variance ratio tests of the seasonal unit root hypothesis
• Ordering the dispersion of ordinary least squares under near-integration
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• How to estimate autoregressive roots near unity
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Recursive adjustment, unit root tests and structural breaks
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• A limit theorem for mildly explosive autoregression with stable errors
• Testing for unit roots in autoregressions with multiple level shifts
• Long-run risk-return trade-offs
• Kernel Density Estimation and Local Time
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• Estimating smooth structural change in cointegration models
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• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
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• Multiple Time Series Regression with Integrated Processes
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• On LM-type tests for seasonal unit roots in the presence of a break in trend
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• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS
• Random autoregressive models: a structured overview
• Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs
• Econometric analysis of present value models when the discount factor is near one
• Phoebus J. Dhrymes (1932–2016)
• Regulated fractionally integrated processes
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Representation of I(1) and I(2) autoregressive Hilbertian processes
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Durbin-Hausman tests for cointegration
• A simple cointegrating rank test without vector autoregression
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Latent local-to-unity models
• Least absolute deviation estimation for AR(1) processes with roots close to unity
• Moderate deviations for the mildly stationary autoregressive model with dependent errors
• Central limit theory for combined cross section and time series with an application to aggregate productivity shocks
• Modeling long cycles
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
• Spurious factors in data with local-to-unit roots
• Asymptotic properties of the estimators in mildly stable unit root process
• Limit theory and inference in non-cointegrated functional coefficient regression
• Uniform inference for cointegrated vector autoregressive processes
• Ridge regularized estimation of VAR models for inference
• Averaging estimators for autoregressions with a near unit root
• Limiting power of unit-root tests in time-series regression
• A measure of dependence for cryptographic primitives relative to ideal functions
• Analytical evaluation of the power of tests for the absence of cointegration
• Portfolio diversification under local and moderate deviations from power laws

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