Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors
An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form ρ = 1 + c /n , involving moderate deviations from unity when α null (0, 1) and c null null are constant parameters. When the data are moderately integrated in the stationary direction (with c
Volume (Year): 25 (2009)
Issue (Month): 02 (April)
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