LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS

Tassos Magdalinos, Peter C.B. Phillips

Type: Article

Publication Date: 2009-01-30

Citations: 91

DOI: https://doi.org/10.1017/s0266466608090154

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Locations

Singapore Management University Institutional Knowledge (InK) (Singapore Management University) - View
Econometric Theory - View

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+ PDF Chat	Asymptotic Conditional Inference for Regular Nonergodic Models with an Application to Autoregressive Processes	1984	I. V. Basawa Peter J. Brockwell
+	Statistical Inference in Instrumental Variables Regression with I(1) Processes	1990	Peter C.B. Phillips Bruce E. Hansen
+ PDF Chat	The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case	1958	John S. White
+ PDF Chat	On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations	1959	T. W. Anderson
+ PDF Chat	Asymptotics for Linear Processes	1992	Peter C.B. Phillips Victor Solo
+	Efficient IV Estimation in Nonstationary Regression	1995	Yuichi Kitamura Peter C.B. Phillips
+	Unit root log periodogram regression	2006	Peter C.B. Phillips
+	Identifying restrictions of linear equations with applications to simultaneous equations and cointegration	1995	Søren Johansen
+	Asymptotic Results for Generalized Wald Tests	1987	Donald W. K. Andrews
+	The distribution of matrix quotients	1985	P. C. B. Phillips