Inference in continuous systems with mildly explosive regressors

• 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
• Institution: Singapore Management University

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...