Smoothing local-to-moderate unit root theory
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
References listed on IDEAS
- Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
- Liudas Giraitis & Peter C. B. Phillips, 2006.
"Uniform Limit Theory for Stationary Autoregression,"
Journal of Time Series Analysis,
Wiley Blackwell, pages 51-60.
- L Giraitis & P C B Phillips, "undated". "Uniform limit theory for stationary autoregression," Discussion Papers 05/23, Department of Economics, University of York.
- Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, 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.
- 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.
- Satchell, Stephen Ellwood, 1984. "Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations," Econometrica, Econometric Society, vol. 52(5), pages 1271-1289, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
- Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
- Sun, Yixiao, 2014. "Fixed-smoothing Asymptotics and Asymptotic F and t TestsÂ in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series qt8479f4s2, Department of Economics, UC San Diego.
- Westerlund J. & Smeekes S., 2013. "Robust block bootstrap panel predictability tests," Research Memorandum 060, Maastricht University, Graduate School of Business and Economics (GSBE).
- Yabe, Ryota, 2017. "Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 220-226.
More about this item
KeywordsEdgeworth expansion Local to unity Moderate deviations Unit root distribution;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:158:y:2010:i:2:p:274-279. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jeconom .