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

• المؤلفون الرئيسيون: Magdalinos, Tassos, Peter C. B. PHILLIPS
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Central limit theory; Cointegration; Di⁄usion; Explosive process; Invariance principle; Mixed normality; Moderate deviations; Unit root distribution; Weak dependence; Econometrics
• الوصول للمادة أونلاين: 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

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...