Limit Theory for Explosively Cointegrated Systems
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- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
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"Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past,"
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"Inconsistent Var Regression With Common Explosive Roots,"
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- Peter C.B. Phillips & Ji Hyung Lee, 2012. "VARs with Mixed Roots Near Unity," Cowles Foundation Discussion Papers 1845, Cowles Foundation for Research in Economics, Yale University.
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- repec:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9628-6 is not listed on IDEAS
More about this item
KeywordsCentral limit theory; Exposive cointegration; Explosive process; Mixed normality;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-23 (All new papers)
- NEP-ECM-2007-06-23 (Econometrics)
- NEP-ETS-2007-06-23 (Econometric Time Series)
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