000			02146nam a22002417a 4500
003			ZW-GwMSU
005			20240404070919.0
008			240404b |||||||| |||| 00| 0 eng d
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aMagdalinos Tassos _eauthor
245	1	0	_aLimit theory for cointegrated systems with moderately integrated and moderately explosive regressors _ccreated by Tassos Magdalinos and Peter C.B. Phillips
264	1		_aCambridge: _bCambridge University Press, _c2009
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 2
520	3		_aAn asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form ρni = 1 + ci/nα, involving moderate deviations from unity when α ∈ (0, 1) and ci ∈ ℝ are constant parameters. When the data are moderately integrated in the stationary direction (with ci < 0), it is shown that least squares regression is consistent and asymptotically normal but suffers from significant bias, related to simultaneous equations bias. In the moderately explosive case (where ci > 0) the limit theory is mixed normal with Cauchy-type tail behavior, and the rate of convergence is explosive, as in the case of a moderately explosive scalar autoregression (Phillips and Magdalinos, 2007, Journal of Econometrics 136, 115–130). Moreover, the limit theory applies without any distributional assumptions and for weakly dependent errors under conventional moment conditions, so an invariance principle holds, unlike the well-known case of an explosive autoregression. This theory validates inference in cointegrating regression with mildly explosive regressors. The special case in which the regressors themselves have a common explosive component is also considered.
650			_aCointegration _xTheory
700	1		_aPhillips, Peter C. B _eco-author
856			_u10.1017/S0266466608090154
942			_2lcc _cJA
999			_c164647 _d164647