arXiv 2 Aug 2023 · Econometrics
arXiv:2308.01418 · PDF · DOI · OpenAlex · Extracted main text
These lecture notes represent supplementary material for a short course on time series econometrics and network econometrics. We give emphasis on limit theory for time series regression models as well as the use of the local-to-unity parametrization when modeling time series nonstationarity. Moreover, we present various non-asymptotic theory results for moderate deviation principles when considering the eigenvalues of covariance matrices as well as asymptotics for unit root moderate deviations in nonstationary autoregressive processes. Although not all applications from the literature are covered we also discuss some open problems in the time series and network econometrics literature.
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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 | Kojevnikov, D., Marmer, V., and Song, K (2021) Limit theorems for network dependent random variables | 0.693 | 9 | 1 | 100% |
| 2 | Lee, J. H. and Song, K (2019) Stable limit theorems for empirical processes under conditional neighborhood dependence | 0.693 | 6 | 1 | 100% |
| 3 | Andrews, D. W (1993) Tests for parameter instability and structural change with unknown change point | 0.644 | 4 | 1 | 100% |
| 4 | Grnneberg, S. and Holcblat, B (2019) On partial-sum processes of armax residuals | 0.644 | 4 | 1 | 100% |
| 5 | Magdalinos, T. and Phillips, P. C (2009) Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors | 0.644 | 4 | 1 | 100% |
| 6 | Phillips, P. C (1987) Time series regression with a unit root | 0.644 | 4 | 1 | 100% |
| 7 | Stock, J. H (1991) Confidence intervals for the largest autoregressive root in us macroeconomic time series | 0.644 | 3 | 2 | 67% |
| 8 | Grama, I. and Haeusler, E (2006) An asymptotic expansion for probabilities of moderate deviations for multivariate martingales | 0.644 | 2 | 2 | 100% |
| 9 | Jansson, M. and Moreira, M. J (2006) Optimal inference in regression models with nearly integrated regressors | 0.585 | 3 | 1 | 100% |
| 10 | Katsouris, C (2023) Predictability tests robust against parameter instability self | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 120 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Optimal Estimation Methodologies for Panel Data Regression Models | 0.644 | 3 | 2 |
| 2 | Structural Analysis of Vector Autoregressive Models | 0.644 | 2 | 2 |
| 3 | Robust Estimation in Network Vector Autoregression with Nonstationary Regressors | 0.644 | 2 | 2 |