Empirical limits for time series econometric models

Econometrica

Volumn 71, Issue 2, 2003, Pages 627-673

  Ploberger, Werner ^a,b   Phillips, Peter C B ^c,d,e  

^a UNIVERSITY OF ROCHESTER   (United States)

^b UNIVERSITY OF ST ANDREWS   (United Kingdom)

^c YALE UNIVERSITY   (United States)

^d UNIVERSITY OF AUCKLAND   (New Zealand)

^e UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Data generating process; Empirical measures; Fisher information; Lebesgue measure; Minimal information loss; Optimal predictor; Path dependence; Proximity bounds; Trends; Unit roots

Indexed keywords

FORECASTING; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

EMPIRICAL MEASURES; RISSANEN THEORY; TIME SERIES ECONOMETRIC MODELS; TIME SERIES REGRESSION;

ECONOMICS;

EID: 0037241213     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00419     Document Type: Article

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