Asymptotics for Linear Processes

Keywords

Mathematics, Range (aeronautics), Applied mathematics, Simple (philosophy), Homogeneous

References

• Estimating Long Run Economic EquilibriaPeter C.B. Phillips, Mico Loretan — 1991
• The direct estimation of the equilibrium response in a linear dynamic modelRonald Bewley — 1979
• A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆Stephen Beveridge, Charles R. Nelson — 1981
• Optimal Inference in Cointegrated SystemsPeter C.B. Phillips — 1991

Cited by

• Infinite variance stable limits for sums of dependent random variablesKatarzyna Bartkiewicz, Adam Jakubowski, Thomas Mikosch — 2009
• Modelling nonlinear economic time seriesTimo Teräsvirta, Dag Tjøstheim, Clive W. J. Granger — 2010
• An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countriesYiannis Kassimatis — 1994
• Topics on Threshold Estimation, Multistage Methods and Random Fields.Atul Mallik — 2013
• A New Class of Bivariate Threshold Cointegration ModelsBiqing Cai, Jiti Gao, Dag Tjøstheim — 2017
• Asymptotics for Panel Models with Common Shocks - Extended VersionChihwa Kao, Lorenzo Trapani, Giovanni Urga — 2010
• Series Estimation of Stochastic Processes: Recent Developments and Econometric ApplicationsPeter C.B. Phillips, Zhipeng Liao — 2012
• Local Structural Trend Break in Stationarity TestingAnton Skrobotov — 2013
• Panel Unit Root Tests: A ReviewLaura Barbieri — 2006
• Asymptotic and finite-sample properties of a new simple estimator of cointegrating regressions under near cointegrationJulio A. Afonso Rodríguez — 2013
• Multivariate variance ratio statisticsSeok Young Hong, Oliver Linton, Hui Jun Zhang — 2014
• Estimation and Inference in Autoregressive Models with Trending Innovation VarianceNikolaos Kourogenis, Nikitas Pittis — 2008
• ALMOST SURE CONVERGENCE FOR LINEAR PROCESS GENERATED BY ASYMPTOTICALLY LINEAR NEGATIVE QUADRANT DEPENDENCE PROCESSESGuanghui Cai — 2005
• Testing the unit root hypothesis in nonlinear time series and panel modelsRickard Sandberg — 2004
• Co-movement between two processes with local persistenceLuiz Renato Lima — 2001
• A Weak Convergence of the Linear Random Field Generated by Associated Randomvariables ℤ 2Tae Sung Kim, Mi-Hwa Ko, Hyun-Chull Kim — 2008
• Pitfalls and Possibilities in Predictive RegressionPeter C.B. Phillips — 2015
• Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes☆James Davidson, Xiaoyu Li — 2016
• Long-Horizon Regressions When the Predictor is Slowly VaryingHyungsik Roger Moon, Antonio Rubia, Rossen Valkanov — 2004
• Specification Testing for Nonlinear Cointegrating RegressionQiying Wang, Peter C.B. Phillips — 2011

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