The role of Skorokhod space in the development of the econometric analysis of time series
This paper discusses the fundamental role played by the Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was...
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| Datum: | 2008 |
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| Sprache: | Englisch |
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Інститут математики НАН України
2008
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4539 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | The role of Skorokhod space in the development of the econometric analysis of time series / J.R. Mccrorie // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 82–94. — Бібліогр.: 113 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862570499715891200 |
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| author | Mccrorie, J.R. |
| author_facet | Mccrorie, J.R. |
| citation_txt | The role of Skorokhod space in the development of the econometric analysis of time series / J.R. Mccrorie // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 82–94. — Бібліогр.: 113 назв.— англ. |
| collection | DSpace DC |
| description | This paper discusses the fundamental role played by the Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was recognized by the award of the Nobel Memorial Prize in Economic Sciences to Robert F. Engle and Clive W.J. Granger in 2003. Here, we focus on how P.C.B. Phillips and others used the Skorokhod topology to establish a limiting distribution theory that underpinned and facilitated the development of methods of estimation and testing of single equations and systems of equations with possibly integrated regressors. This approach has spawned a large body of work that can be traced back to Skorokhod’s conception of fifty years ago. Much of this work is surprisingly confined to the econometrics literature.
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| first_indexed | 2025-11-26T02:44:54Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4539 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-26T02:44:54Z |
| publishDate | 2008 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Mccrorie, J.R. 2009-11-25T11:05:39Z 2009-11-25T11:05:39Z 2008 The role of Skorokhod space in the development of the econometric analysis of time series / J.R. Mccrorie // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 82–94. — Бібліогр.: 113 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4539 519.21 This paper discusses the fundamental role played by the Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was recognized by the award of the Nobel Memorial Prize in Economic Sciences to Robert F. Engle and Clive W.J. Granger in 2003. Here, we focus on how P.C.B. Phillips and others used the Skorokhod topology to establish a limiting distribution theory that underpinned and facilitated the development of methods of estimation and testing of single equations and systems of equations with possibly integrated regressors. This approach has spawned a large body of work that can be traced back to Skorokhod’s conception of fifty years ago. Much of this work is surprisingly confined to the econometrics literature. en Інститут математики НАН України The role of Skorokhod space in the development of the econometric analysis of time series Article published earlier |
| spellingShingle | The role of Skorokhod space in the development of the econometric analysis of time series Mccrorie, J.R. |
| title | The role of Skorokhod space in the development of the econometric analysis of time series |
| title_full | The role of Skorokhod space in the development of the econometric analysis of time series |
| title_fullStr | The role of Skorokhod space in the development of the econometric analysis of time series |
| title_full_unstemmed | The role of Skorokhod space in the development of the econometric analysis of time series |
| title_short | The role of Skorokhod space in the development of the econometric analysis of time series |
| title_sort | role of skorokhod space in the development of the econometric analysis of time series |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4539 |
| work_keys_str_mv | AT mccroriejr theroleofskorokhodspaceinthedevelopmentoftheeconometricanalysisoftimeseries AT mccroriejr roleofskorokhodspaceinthedevelopmentoftheeconometricanalysisoftimeseries |