Asymptotics for Stationary Very Nearly Unit Root Processes (joint with D.W.K. Andrews), this version November 2006
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Bibliographic InfoPaper provided by UCLA Department of Economics in its series UCLA Economics Online Papers with number 402.
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-09 (All new papers)
- NEP-ECM-2006-12-09 (Econometrics)
- NEP-ETS-2006-12-09 (Econometric Time Series)
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"Uniform limit theory for stationary autoregression,"
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- Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, vol. 71(4), pages 1269-1286, 07.
- Peter C.B. Phillips & Tassos Magdalinos, 2004.
"Limit Theory for Moderate Deviations from a Unit Root,"
Cowles Foundation Discussion Papers
1471, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
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