Limit Theory For Explosively Cointegrated Systems
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Other versions of this item:
- Peter C.B. Phillips & Tassos Magdalinos, 2007. "Limit Theory for Explosively Cointegrated Systems," Cowles Foundation Discussion Papers 1614, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017.
"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Wang, Xiaohu & Yu, Jun, 2015.
"Limit theory for an explosive autoregressive process,"
Economics Letters, Elsevier, vol. 126(C), pages 176-180.
- Xiaohu Wang & Jun Yu, 2013. "Limit Theory for an Explosive Autoregressive Process," Working Papers 08-2013, Singapore Management University, School of Economics.
- Jian Li & Jean-Paul Chavas & Xiaoli L. Etienne & Chongguang Li, 2017.
"Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets,"
Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 755-768, November.
- Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Extensions to IVX methods of inference for return predictability,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Paulo M.M. Rodrigues & Matei Demetrescu, 2021. "Extensions to IVX methods of inference for return predictability," Working Papers w202104, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Extensions to IVX Methods of Inference for Return Predictability," Essex Finance Centre Working Papers 29779, University of Essex, Essex Business School.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2013.
"Inconsistent Var Regression With Common Explosive Roots,"
Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
- Peter C.B. Phillips & Tassos Magdalinos, 2011. "Inconsistent VAR Regression with Common Explosive Roots," Cowles Foundation Discussion Papers 1777, Cowles Foundation for Research in Economics, Yale University.
- Norbert Christopeit & Michael Massmann, 2013.
"Estimating Structural Parameters in Regression Models with Adaptive Learning,"
Tinbergen Institute Discussion Papers
13-111/III, Tinbergen Institute.
- Norbert Christopeit & Michael Massmann, 2015. "Estimating Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers 15-106/III, Tinbergen Institute.
- Peter C.B. Phillips & Ji Hyung Lee, 2012. "VARs with Mixed Roots Near Unity," Cowles Foundation Discussion Papers 1845, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Sainan Jin, 2014.
"Testing the Martingale Hypothesis,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
- Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2009.
"Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1682-1715, December.
- Peter C.B. Phillips & Tassos Magdalinos, 2008. "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past," Cowles Foundation Discussion Papers 1655, Cowles Foundation for Research in Economics, Yale University.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- HORIE, Tetsushi & 堀江, 哲史 & YAMAMOTO, Yohei & 山本, 庸平, 2016. "Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets," Discussion Papers 2016-04, Graduate School of Economics, Hitotsubashi University.
- White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
- Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
- Bent Nielsen, 2008. "Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination," Economics Series Working Papers 2008-W14, University of Oxford, Department of Economics.
More about this item
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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