UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST

Peter C.B. Phillips, Tassos Magdalinos

Type: Article

Publication Date: 2009-10-26

Citations: 63

DOI: https://doi.org/10.1017/s0266466609990296

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Econometric Theory - View

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Works Cited by This (16)

Action	Title	Year	Authors
+	Partially Identified Econometric Models	1989	Peter C.B. Phillips
+	On Jeffreys Prior when Using the Exact Likelihood Function	1994	Harald Uhlig
+	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
+	Weak convergence to the matrix stochastic integral ∫01 B dB′	1988	Peter C.B. Phillips
+	Asymptotic Results for Generalized Wald Tests	1987	Donald W. K. Andrews
+ PDF Chat	UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION	2009	David I. Harvey Stephen J. Leybourne Robert Taylor
+ PDF Chat	Tests for Unit Roots and the Initial Condition	2003	Ulrich K. Müller Graham Elliott