arXiv 26 Jul 2023 · Econometrics
arXiv:2307.14463 · PDF · DOI · OpenAlex · Extracted main text
We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by Phillips and Magdalinos (2009) for the predictive regression model parameter based on a local-to-unity specification of the autoregressive coefficient which covers both nearly nonstationary and nearly stationary processes. A mixed Gaussian limit distribution is obtained for the bootstrap-based IVX estimator. The statistical validity of the theoretical results are illustrated by Monte Carlo experiments for various statistical inference problems.
appendix boundary found by appendix_titled_section at “Supplementary Limit Theorems.” · 68% of the source is main text. Read the extracted text to check this.
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 | Phillips, P. C. B. and Magdalinos, T (2009) Econometric inference in the vicinity of unity | 1.000 | 7 | 4 | 100% |
| 2 | Paparoditis, E. and Politis, D. N (2003) Residual-based block bootstrap for unit root testing | 0.928 | 5 | 4 | 80% |
| 3 | Phillips, P. C. B (1987) Time series regression with a unit root | 0.928 | 5 | 3 | 80% |
| 4 | Bose, A (1988) Edgeworth correction by bootstrap in autoregressions | 0.928 | 4 | 3 | 100% |
| 5 | Georgiev, I., Demetrescu, M., Rodrigues, P. M., and Taylor, A (2021) Extensions to ivx methods of inference for return predictability | 0.928 | 4 | 3 | 100% |
| 6 | Phillips, P. C. B (1987) Towards a unified asymptotic theory for autoregression | 0.874 | 5 | 2 | 100% |
| 7 | Li, H. and Xiao, Z (2001) Bootstrapping time series regressions with integrated processes | 0.737 | 3 | 3 | 67% |
| 8 | Chan, N. H. and Wei, C.-Z (1987) Asymptotic inference for nearly nonstationary ar (1) processes | 0.737 | 3 | 2 | 100% |
| 9 | Phillips, P. C. B. and Magdalinos, T (2007) Limit theory for moderate deviations from a unit root | 0.737 | 3 | 2 | 100% |
| 10 | Phillips, P. C. B. and Hansen, B. E (1990) Statistical inference in instrumental variables regression with i (1) processes | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 100 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Limit Theory under Network Dependence and Nonstationarity | 0.405 | 1 | 1 |
| 2 | Optimal Estimation Methodologies for Panel Data Regression Models | 0.000 | 1 | 1 |