Limit theory for moderate deviations from a unit root

Journal of Econometrics

Volumn 136, Issue 1, 2007, Pages 115-130

  Phillips, Peter C B ^a,b   Magdalinos, Tassos ^c  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Central limit theory; Explosive autoregression; Local to unity; Moderate deviations; Unit root distribution

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; CORRELATION METHODS; ERROR ANALYSIS; PROBLEM SOLVING; REGRESSION ANALYSIS;

CENTRAL LIMIT THEORY; EXPLOSIVE AUTOREGRESSION; LOCAL TO UNITY; MODERATE DEVIATIONS; UNIT ROOT DISTRIBUTION;

TIME SERIES ANALYSIS;

EID: 33748621203     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.08.002     Document Type: Article

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