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Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence
4 references·16 citing·44 second hop
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References

  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 1988Regression Theory for Near-Integrated Time Series366 cited

Cited by

  • 2013Bubbles in food commodity markets: Four decades of evidence167 cited
  • 2017FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION161 cited
  • 2015Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun155 cited
  • 2006Unit root log periodogram regression126 cited
  • 2013Predictive regression under various degrees of persistence and robust long-horizon regression109 cited
  • 2015Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression63 cited
  • 2008Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors49 cited
  • 2016Robust econometric inference with mixed integrated and mildly explosive regressors49 cited
  • 2012Regime-Specific Predictability in Predictive Regressions45 cited
  • 2022ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS44 cited
  • 2009Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

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40 cited
  • 2015The financial econometrics of price discovery and predictability34 cited
  • 2020Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root17 cited
  • 2019Hybrid stochastic local unit roots17 cited
  • 2014Limit Theory for VARs with Mixed Roots Near Unity16 cited
  • 2017STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS15 cited