Christian Holberg, Susanne Ditlevsen
arXiv 6 Jun 2023 · Mathematics — Statistics Theory · publishedJournal of Econometrics (2025)
arXiv:2306.03632 · PDF · DOI · OpenAlex · Extracted main text
Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from the univariate case to multiple dimensions and show how inference can be based on these results. Furthermore, we show that lag augmentation and a recent instrumental variable procedure can also yield uniformly valid tests and confidence regions. We verify the theoretical findings and investigate finite sample properties in simulation experiments for two specific examples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Anna Mikusheva (2007) Uniform inference in autoregressive models | 1.000 | 9 | 4 | 100% |
| 2 | Peter CB Phillips, Tassos Magdalinos, et al (2009) Econometric inference in the vicinity of unity | 1.000 | 9 | 3 | 100% |
| 3 | Anton Rask Lundborg, Rajen D Shah, and Jonas Peters (2022) Conditional independence testing in Hilbert spaces with applications to functional data analysis | 1.000 | 8 | 6 | 100% |
| 4 | Tassos Magdalinos and Peter Charles Bonest Phillips (2020) Econometric inference in matrix vicinities of unity and stationarity | 1.000 | 6 | 3 | 100% |
| 5 | John Y Campbell and Motohiro Yogo (2006) Efficient tests of stock return predictability | 0.811 | 4 | 2 | 100% |
| 6 | Bruce E Hansen (1999) The grid bootstrap and the autoregressive model | 0.737 | 3 | 2 | 100% |
| 7 | Hiroaki Kaido, Francesca Molinari, and Jörg Stoye (2019) Confidence intervals for projections of partially identified parameters | 0.737 | 3 | 2 | 100% |
| 8 | Peter CB Phillips and Tassos Magdalinos (2007) Limit theory for moderate deviations from a unit root | 0.737 | 3 | 2 | 100% |
| 9 | Christophe Cuny, Jérôme Dedecker, and Florence Merlevède (2021) Rates of convergence in invariance principles for random walks on linear groups via martingale methods | 0.693 | 5 | 1 | 100% |
| 10 | Donald WK Andrews (1993) Exactly median-unbiased estimation of first order autoregressive/unit root models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 28 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Estimation in Network Vector Autoregression with Nonstationary Regressors | 0.511 | 2 | 1 |