On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors
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More about this item
Keywords
Local to unity; mildly explosive; panel; weak dependence; Wald test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-01-21 (Econometrics)
- NEP-ETS-2019-01-21 (Econometric Time Series)
- NEP-ORE-2019-01-21 (Operations Research)
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