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Citations for "Uniform Limit Theory for Stationary Autoregression"

by Liudas Giraitis & Peter C.B. Phillips

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  1. Sun, Yixiao, 2014. "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series qt8479f4s2, Department of Economics, UC San Diego.
  2. Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
  3. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.
  4. Magdalinos, Tassos, 2012. "Mildly explosive autoregression under weak and strong dependence," Journal of Econometrics, Elsevier, vol. 169(2), pages 179-187.
  5. 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.
  6. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University.
  7. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
  8. Giraitis, Liudas & Phillips, Peter C.B., 2012. "Mean and autocovariance function estimation near the boundary of stationarity," Journal of Econometrics, Elsevier, vol. 169(2), pages 166-178.
  9. Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis, 2008. "Smoothing Local-to-Moderate Unit Root Theory," Cowles Foundation Discussion Papers 1659, Cowles Foundation for Research in Economics, Yale University.
  10. Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation for Research in Economics, Yale University.
  11. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Centre de Recherche en Economie et Statistique.
  12. Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009. "Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors," Journal of Econometrics, Elsevier, vol. 149(2), pages 118-135, April.
  13. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation for Research in Economics, Yale University.
  14. Patrik Guggenberger, . "Asymptotics for Stationary Very Nearly Unit Root Processes (joint with D.W.K. Andrews), this version November 2006," UCLA Economics Online Papers 402, UCLA Department of Economics.
  15. Tassos Magdalinos, 2008. "Mildly explosive autoregression under weak and strong dependence," Discussion Papers 08/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  16. Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics.
  17. YABE, Ryota, 2014. "Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)," Discussion Papers 2014-19, Graduate School of Economics, Hitotsubashi University.
  18. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation for Research in Economics, Yale University.
  19. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
  20. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  21. Bailey, N. & Giraitis, L., 2013. "Weak convergence in the near unit root setting," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1411-1415.
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