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Nonlinear Cointegrating Regression under Weak Identification

Shi, Xiaoxia; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2010

nonlinear estimation with integrated processes and unlike stationary process asymptotics, the properties of the nonlinear …

Persistent link: https://www.econbiz.de/10008548962

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2006

only linear instrumental variables estimation, and is a straightforward one step procedure with no loss of degrees of … freedom in estimation. Simulations reveal that the procedure works well in practice, having little finite sample bias and less … modified least squares, and dynamic OLS. The procedure is shown to be a form of maximum likelihood estimation where the …

Persistent link: https://www.econbiz.de/10005463872

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2006

In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors that involve some smoothing function over the sample autocorrelations. The underlying smoothing parameter b, which can be defined as the ratio...

Persistent link: https://www.econbiz.de/10005093965

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation …

Persistent link: https://www.econbiz.de/10005593277

Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution

Muller, Nicholas Z.; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2006

This paper demonstrates how parsimonious models of sinusoidal functions can be used to fit spatially variant time series in which there is considerable variation of a periodic type. A typical shortcoming of such tools relates to the difficulty in capturing idiosyncratic variation in periodic...

Persistent link: https://www.econbiz.de/10005593285

Refined Inference on Long Memory in Realized Volatility

Lieberman, Offer; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2006

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et. al. (2001), Martens et al. (2004)). The present paper provides some analytical explanations for this evidence and shows...

Persistent link: https://www.econbiz.de/10005593334

Gaussian Inference in AR(1) Time Series with or without a Unit Root

Phillips, Peter C. B.; Han, Chirok - Cowles Foundation for Research in Economics, Yale University - 2006

This note introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The …

Persistent link: https://www.econbiz.de/10005593468

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Giraitis, Liudas; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

focus of the present paper is on estimation of the the mean, autocovariance and autocorrelation functions within the broad … parameter measuring the proximity of the model to the unit root boundary. An asymptotic result on the estimation of the …

Persistent link: https://www.econbiz.de/10005593612

Bootstrapping I(1) Data

Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

Persistent link: https://www.econbiz.de/10005762605

Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity

Hong, Seung Hyun; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2005

This paper develops a linearity test that can be applied to cointegrating relations. We consider the widely used RESET specification test and show that when this test is applied to nonstationary time series its asymptotic distribution involves a mixture of noncentral chi^2 distributions, which...

Persistent link: https://www.econbiz.de/10005762803