Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors

• Main Authors: Magdalinos, Tassos, Peter C. B. PHILLIPS
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Central limit theory; Cointegration; Di⁄usion; Explosive process; Invariance principle; Mixed normality; Moderate deviations; Unit root distribution; Weak dependence; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1808; https://ink.library.smu.edu.sg/context/soe_research/article/2807/viewcontent/Limit_theory_Moderately_Regressors_sv.pdf
• Institution: Singapore Management University

An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form rho(ni) = 1 + c(i)/n(alpha), involving moderate deviations from unity when alpha is an...