Inference in continuous systems with mildly explosive regressors

Inference in continuous systems with mildly explosive regressors

New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial co...

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Bibliographic Details
Main Authors: CHEN, Ye, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Cointegrated system
Explosive process
Moderate deviations from unity
Double asymptotics
Real estate market
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2111
https://ink.library.smu.edu.sg/context/soe_research/article/3111/viewcontent/1_s20_S0304407617301689_main.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2111
https://ink.library.smu.edu.sg/context/soe_research/article/3111/viewcontent/1_s20_S0304407617301689_main.pdf

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