Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past
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Other versions of this item:
- 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.
References listed on IDEAS
- Elliott, Graham & Muller, Ulrich K., 2006. "Minimizing the impact of the initial condition on testing for unit roots," Journal of Econometrics, Elsevier, pages 285-310.
- Ulrich K. M¸ller & Graham Elliott, 2003. "Tests for Unit Roots and the Initial Condition," Econometrica, Econometric Society, pages 1269-1286.
- Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, December.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009.
"Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition,"
Cambridge University Press, vol. 25(03), pages 587-636, June.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- repec:cup:cbooks:9780521822893 is not listed on IDEAS
- Phillips, Peter C.B. & Magdalinos, Tassos, 2008. "Limit Theory For Explosively Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 24(04), pages 865-887, August.
More about this item
- 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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