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This paper develops an asymptotic theory for a general class of nonlinear nonstationary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1)...
Persistent link: https://www.econbiz.de/10005593576
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011995478
This paper investigates the statistical properties of the Kalman filter for state space models including integrated time series. In particular, we derive the full asymptotics of maximum likelihood estimation for some prototypical class of such models, i.e., the models with a single latent common...
Persistent link: https://www.econbiz.de/10005002300
In this paper we introduce a new view on the distributions of unit root tests. Taking a contour given by the fixed sum of squares instead of the fixed sample size, we show that the null distributions of most commonly used unit root tests such as the ones by Dickey-Fuller (1979, 1981) and...
Persistent link: https://www.econbiz.de/10005818999
This paper investigates the statistical properties of the Kalman filter for state space models including integrated time series. In particular, we derive the full asymptotics of maximum likelihood estimation for some prototypical class of such models, i.e., the models with a single latent common...
Persistent link: https://www.econbiz.de/10005184900
Persistent link: https://www.econbiz.de/10001612277
Persistent link: https://www.econbiz.de/10001618853
Persistent link: https://www.econbiz.de/10001823127
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