Uniform Inference for Cointegrated Vector Autoregressive Processes
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"Limit theory for moderate deviations from a unit root,"
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Cited by:
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2023-07-10 (Econometrics)
- NEP-ETS-2023-07-10 (Econometric Time Series)
- NEP-MFD-2023-07-10 (Microfinance)
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