The University of Southampton
University of Southampton Institutional Repository

Inference for continuous time systems with mildly explosive regressors

Inference for continuous time systems with mildly explosive regressors
Inference for continuous time systems with mildly explosive regressors
New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double asymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The methods are implemented in the US real estate market for an empirical application, illustrating the usefulness of double asymptotics in practical work.
0304-4076
1-17
Chen, Ye
42b24968-5aaf-4108-ab70-1aebc81d291d
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Yu, Jun
3c46e8fc-ce06-4a1d-b666-96d5acd6828b
Chen, Ye
42b24968-5aaf-4108-ab70-1aebc81d291d
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Yu, Jun
3c46e8fc-ce06-4a1d-b666-96d5acd6828b

Chen, Ye, Phillips, Peter C.B. and Yu, Jun (2017) Inference for continuous time systems with mildly explosive regressors. Journal of Econometrics, 1-17. (doi:10.1016/j.jeconom.2017.08.016).

Record type: Article

Abstract

New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double asymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The methods are implemented in the US real estate market for an empirical application, illustrating the usefulness of double asymptotics in practical work.

Text
continuous cointegrated systems_final_F - Accepted Manuscript
Download (466kB)

More information

Accepted/In Press date: 19 July 2017
e-pub ahead of print date: 26 August 2017

Identifiers

Local EPrints ID: 414780
URI: http://eprints.soton.ac.uk/id/eprint/414780
ISSN: 0304-4076
PURE UUID: 1aa01bd1-c077-4406-a192-894b2f38bee7
ORCID for Peter C.B. Phillips: ORCID iD orcid.org/0000-0003-2341-0451

Catalogue record

Date deposited: 11 Oct 2017 16:31
Last modified: 17 Dec 2019 05:51

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×