Limit Theory under Network Dependence and Nonstationarity

• Tác giả: Christis Katsouris
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2023
• Bộ sưu tập: Metadata
• ID: 197895

Tóm tắt

Comment: arXiv admin note: text overlap with arXiv:1705.08413 by other authorsThese 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.