distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a … for the t ratio. This amounts to the tail of the unit root process wagging the dog of the unit root limit theory. These … simple results apply in the case of a univariate autoregression with no intercept. The limit theory for vector unit root …

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of … an exponential rate of convergence and a mixed normal limit distribution. No central limit theory is applicable here and …

. The limit theory combines a functional law to a diffusion on D[0,infinity) and a central limit theorem. For c > 0, the … limit theory of the first order serial correlation coefficient is Cauchy and is invariant to both the distribution and the … shown to induce a bias in the limit distribution, analogous to that of the local to unity case. Linkages to the limit theory …

A limit theory is developed for mildly explosive autoregression under both weakly and strongly dependent innovation …

represents moderate deviations from unity when alpha in (0,1). The limit theory is obtained using a combination of a functional …

First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the … autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit … theory by allowing for values of stationary rho that include neighbourhoods of unity provided they are wider than O(n^{1 …

In this note we show that the feasible central limit theory for realised volatility and realised covariation recently … experiment suggest that the feasible version of the limit theory performs well in practice. …