Search Results - subject:"Mixed-Gaussianity"

Uniform inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Petrova - 2025

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

Persistent link: https://www.econbiz.de/10015396070

Uniform and distribution-free inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Katerina - 2022

Persistent link: https://www.econbiz.de/10013365457

Uniform and distribution-free inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Katerina - 2022

Persistent link: https://www.econbiz.de/10013366052

A Gaussian IV estimator of cointegrating relations

Bårdsen, Gunnar; Haldrup, Niels - School of Economics and Management, University of Aarhus - 2006

large samples. Keywords: Cointegration, Instrumental variables, Mixed Gaussianity. JEL Classification: C2,C22,C32 1 … Gaussian distribution and hence we cannot conduct standard inference based on this. Mixed Gaussianity. If it occurs that y 2t … autocorrelation a Newey-West based estimator can be adopted in the estimation of ω 11 . The main requirement for the mixed gaussianity …

Persistent link: https://www.econbiz.de/10005439926