On the Limit Theory of Mixed to Unity VARs: Panel Setting with Weakly Dependent Errors
In this article, we re‐visit a recent idea of Phillips and Lee (2015. Econometric Reviews 34: 1035 ‐ 1056). They examine an empirically relevant situation when two time series exhibit different degrees of non‐stationarity and one need to learn whether their persistence properties are the same. By bridging the asymptotic theory of local to unity and mildly explosive processes, they construct a Wald
