FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3138348701> ?p ?o ?g. }

• W3138348701 endingPage "912" @default.
• W3138348701 startingPage "875" @default.
• W3138348701 abstract "The paper examines the effect of conditional heteroskedasticity on least squares inference in stochastic regression models of unknown integration order and proposes an inference procedure that is robust to models within the (near) I(0)–(near) I(1) range with GARCH innovations. We show that a regressor signal of exact order $O_{p}left ( nkappa _{n}right ) $ for arbitrary $,kappa _{n}rightarrow infty $ is sufficient to eliminate stationary GARCH effects from the limit distributions of least squares based estimators and self-normalized test statistics. The above order dominates the $O_{p}left ( nright ) $ signal of stationary regressors but may be dominated by the $O_{p}left ( n^{2}right ) $ signal of I(1) regressors, thereby showing that least squares invariance to GARCH effects is not an exclusively I(1) phenomenon but extends to processes with persistence degree arbitrarily close to stationarity. The theory validates standard inference for self normalized test statistics based on the ordinary least squares estimator when $kappa _{n}rightarrow infty $ and $kappa _{n}/nrightarrow 0$ and the IVX estimator (Phillips and Magdalinos (2009a), Econometric Inference in the Vicinity of Unity. Working paper, Singapore Management University; Kostakis, Magdalinos, and Stamatogiannis, 2015a, Review of Financial Studies 28(5), 1506–1553.) when $kappa _{n}rightarrow infty $ and the innovation sequence of the system is a covariance stationary vec-GARCH process. An adjusted version of the IVX–Wald test is shown to also accommodate GARCH effects in purely stationary regressors, thereby extending the procedure’s validity over the entire (near) I(0)–(near) I(1) range of regressors under conditional heteroskedasticity in the innovations. It is hoped that the wide range of applicability of this adjusted IVX–Wald test, established in Theorem 4.4, presents an advantage for the procedure’s suitability as a tool for applied research." @default.
• W3138348701 created "2021-03-29" @default.
• W3138348701 creator A5085725228 @default.
• W3138348701 date "2021-03-23" @default.
• W3138348701 modified "2023-09-27" @default.
• W3138348701 title "LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS" @default.
• W3138348701 cites W1979575715 @default.
• W3138348701 cites W1999996900 @default.
• W3138348701 cites W2012431222 @default.
• W3138348701 cites W2026580305 @default.
• W3138348701 cites W2048575689 @default.
• W3138348701 cites W2079930038 @default.
• W3138348701 cites W2091369032 @default.
• W3138348701 cites W2093718718 @default.
• W3138348701 cites W2108818539 @default.
• W3138348701 cites W2124120883 @default.
• W3138348701 cites W2124345587 @default.
• W3138348701 cites W2143053136 @default.
• W3138348701 cites W2165321616 @default.
• W3138348701 cites W2172248403 @default.
• W3138348701 cites W3121373826 @default.
• W3138348701 cites W3121874347 @default.
• W3138348701 cites W3123499142 @default.
• W3138348701 cites W3124358192 @default.
• W3138348701 cites W3125469818 @default.
• W3138348701 cites W3125682134 @default.
• W3138348701 cites W4244792406 @default.
• W3138348701 cites W573801292 @default.
• W3138348701 cites W747911303 @default.
• W3138348701 doi "https://doi.org/10.1017/s0266466621000086" @default.
• W3138348701 hasPublicationYear "2021" @default.
• W3138348701 type Work @default.
• W3138348701 sameAs 3138348701 @default.
• W3138348701 citedByCount "2" @default.
• W3138348701 countsByYear W31383487012022 @default.
• W3138348701 countsByYear W31383487012023 @default.
• W3138348701 crossrefType "journal-article" @default.
• W3138348701 hasAuthorship W3138348701A5085725228 @default.
• W3138348701 hasBestOaLocation W31383487012 @default.
• W3138348701 hasConcept C101104100 @default.
• W3138348701 hasConcept C105795698 @default.
• W3138348701 hasConcept C134306372 @default.
• W3138348701 hasConcept C149782125 @default.
• W3138348701 hasConcept C151201525 @default.
• W3138348701 hasConcept C178650346 @default.
• W3138348701 hasConcept C185429906 @default.
• W3138348701 hasConcept C23922673 @default.
• W3138348701 hasConcept C28826006 @default.
• W3138348701 hasConcept C33923547 @default.
• W3138348701 hasConcept C91602232 @default.
• W3138348701 hasConcept C9936470 @default.
• W3138348701 hasConcept C99656134 @default.
• W3138348701 hasConceptScore W3138348701C101104100 @default.
• W3138348701 hasConceptScore W3138348701C105795698 @default.
• W3138348701 hasConceptScore W3138348701C134306372 @default.
• W3138348701 hasConceptScore W3138348701C149782125 @default.
• W3138348701 hasConceptScore W3138348701C151201525 @default.
• W3138348701 hasConceptScore W3138348701C178650346 @default.
• W3138348701 hasConceptScore W3138348701C185429906 @default.
• W3138348701 hasConceptScore W3138348701C23922673 @default.
• W3138348701 hasConceptScore W3138348701C28826006 @default.
• W3138348701 hasConceptScore W3138348701C33923547 @default.
• W3138348701 hasConceptScore W3138348701C91602232 @default.
• W3138348701 hasConceptScore W3138348701C9936470 @default.
• W3138348701 hasConceptScore W3138348701C99656134 @default.
• W3138348701 hasIssue "5" @default.
• W3138348701 hasLocation W31383487011 @default.
• W3138348701 hasLocation W31383487012 @default.
• W3138348701 hasOpenAccess W3138348701 @default.
• W3138348701 hasPrimaryLocation W31383487011 @default.
• W3138348701 hasRelatedWork W1978494725 @default.
• W3138348701 hasRelatedWork W2061485352 @default.
• W3138348701 hasRelatedWork W2078869916 @default.
• W3138348701 hasRelatedWork W2086116372 @default.
• W3138348701 hasRelatedWork W2123570733 @default.
• W3138348701 hasRelatedWork W2977868990 @default.
• W3138348701 hasRelatedWork W3123276743 @default.
• W3138348701 hasRelatedWork W3124371062 @default.
• W3138348701 hasRelatedWork W3125102244 @default.
• W3138348701 hasRelatedWork W3125865058 @default.
• W3138348701 hasVolume "38" @default.
• W3138348701 isParatext "false" @default.
• W3138348701 isRetracted "false" @default.
• W3138348701 magId "3138348701" @default.
• W3138348701 workType "article" @default.