Mildly explosive autoregression under weak and strong dependence

By Tassos Magdalinos. 2012

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/88f60cb14814e6790e83fa160377ddb46674e9d8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Weilin Xiao
2. Alisa Yusupova
3. David Peel
4. Adrienne Mack
5. Enrique Martínez-García
6. Valerie Grossman
7. I. Paya
8. Efthymios Pavlidis

In Finance

1. Weilin Xiao
2. Alisa Yusupova
3. Adrienne Mack
4. Enrique Martínez-García
5. Valerie Grossman
6. I. Paya
7. David Peel
8. Efthymios Pavlidis

In Statistics and Probability

1. Weilin Xiao
2. David Peel
3. Jun Yu

Citations in the corpus

• Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, background): “Phillips and Magdalinos (2007a), Phillips and Magdalinos (2007b) and Phillips and Magdalinos (2012) provide a large sample asymptotic theory for this class of processes that enables econometric inference in this case, unlike for purely explosive processes.”
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018, methodology): “This model is closely related to a model considered in Magdalinos (2012) where it is assumed that d ∈ (0, 1/2). Developing double asymptotic theory based on discretely sampled data will allow one to extend the results of Magdalinos (2012) to the case where d ∈ (−1/2, 0).”