Asymptotic theory for LAD estimation of moderate deviations from a unit root
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References listed on IDEAS
- Aue, Alexander & HorvÃ¡th, Lajos, 2007. "A Limit Theorem For Mildly Explosive Autoregression With Stable Errors," Econometric Theory, Cambridge University Press, vol. 23(2), pages 201-220, April.
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- Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
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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.
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More about this item
KeywordsAutoregressive model; Moderate deviations; LAD estimation;
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