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Econometric Reviews Volume 34, 2015 - Issue 6-10: Special Issue in Honor of Aman Ullah
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Original Articles

Limit Theory for VARs with Mixed Roots Near Unity

Peter C. B. Phillips Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut, USASchool of Business and Economics, University of Auckland, Auckland, New Zealand; Department of Economics, University of Southampton, Southampton, UK; and School of Economics, Singapore Management University, SingaporeCorrespondence[email protected]
&
Ji Hyung Lee Department of Economics, University of Washington, Seattle, Washington, USA
Pages 1035-1056 | Published online: 03 Sep 2014

Citations (11)

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Read on this site (2)

Yundong Tu & Xinling Xie. (2023) Forecasting vector autoregressions with mixed roots in the vicinity of unity. Econometric Reviews 42:7, pages 556-585.
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Esfandiar Maasoumi & Qi Li. (2015) The Special Issue in Honor of Aman Ullah: An Overview. Econometric Reviews 34:6-10, pages 653-658.
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Articles from other publishers (9)

Marie Badreau & Frédéric Proïa. (2023) Consistency and asymptotic normality in a class of nearly unstable processes. Statistical Inference for Stochastic Processes 26:3, pages 619-641.
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Ye Chen, Jian Li & Qiyuan Li. (2023) Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots*. Oxford Bulletin of Economics and Statistics 85:4, pages 910-937.
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Ovidijus Stauskas. (2020) On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors. Journal of Time Series Analysis 41:6, pages 892-898.
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Frédéric Proïa. (2020) Moderate deviations in a class of stable but nearly unstable processes. Journal of Statistical Planning and Inference 208, pages 66-81.
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Peter C.B. Phillips & Ji Hyung Lee. (2016) Robust econometric inference with mixed integrated and mildly explosive regressors. Journal of Econometrics 192:2, pages 433-450.
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Peter C. B. Phillips. (2015) Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression. Journal of Financial Econometrics 13:3, pages 521-555.
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Yubo Tao & Jun Yu. (2017) Model Selection for Explosive Models. SSRN Electronic Journal.
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Peter C. B. Phillips. (2015) Pitfalls and Possibilities in Predictive Regression. SSRN Electronic Journal.
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Peter C. B. Phillips. (2012) On Confidence Intervals for Autoregressive Roots and Predictive Regression. SSRN Electronic Journal.
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