Limit theory for explosively cointegrated systems

Econometric Theory

Volumn 24, Issue 4, 2008, Pages 865-887

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

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

^d UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 45249099745     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466608080353     Document Type: Article

References (9)

1. Abadir, K.M. & J.R. Magnus (2005) Matrix Algebra. Econometric Exercises, vol. 1. Cambridge University Press.
2. Anderson, T.W. (1959) On asymptotic distributions of estimates of parameters of stochastic difference equations. Annals of Mathematical Statistics 30, 676-687.
3. Hall, P. & C.C. Heyde (1980) Martingale Limit Theory and Its Application. Academic Press.
4. Magdalinos, T. & P.C.B. Phillips (2006) Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors. Working paper, Yale University.
5. Mijnheer, J. (2002) Asymptotic inference for AR(1) processes with (nonnormal) stable innovations, part V: The explosive case. Journal of Mathematical Sciences 111, 3854-3856.
6. Park, J.Y. & P.C.B. Phillips (1988) Statistical inference in regressions with integrated processes, part 1. Econometric Theory 4, 468-497.
7. Park, J.Y. & P.C.B. Phillips (1989) Statistical inference in regressions with integrated processes, part 2. Econometric Theory 5, 95-131.
8. Phillips, P.C.B. (1985) The distribution of matrix quotients. Journal of Multivariate Analysis 16, 157-161.
9. White, J.S. (1958) The limiting distribution of the serial correlation coefficient in the explosive case. Annals of Mathematical Statistics 29, 1188-1197.