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Greek Debt and American Debt: Graduation Speech at the University of Athens Economics and Business School

Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2011

This is the graduation speech I gave on receiving an honorary doctorate at the University of Athens Economics and Business School. I talk about my Greek family, about how I got interested in economics, and then how in the 1990s I came to think about default, collateral, and leverage as the...

Persistent link: https://www.econbiz.de/10009368555

Understanding Recent Trends in House Prices and Home Ownership

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2007

This paper looks at a broad array of evidence concerning the recent boom in home prices, and considers what this means for future home prices and the economy. It does not appear possible to explain the boom in terms of fundamentals such as rents or construction costs. A psychological theory,...

Persistent link: https://www.econbiz.de/10005593595

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

cointegration models with time varying coefficients and provide sharp convergence rates in that case. For the fixed design models …

Persistent link: https://www.econbiz.de/10010817211

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time … nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this …

Persistent link: https://www.econbiz.de/10010895635

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

used in applied econometric work. Nonparametric and semiparametric estimation methods are proposed to estimate the varying …

Persistent link: https://www.econbiz.de/10010895669

Statistical Inference in Regressions with Integrated Processes: Part 1

Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1986

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...

Persistent link: https://www.econbiz.de/10005762497

Unidentified Components in Reduced Rank Regression Estimation of ECM's

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991

Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration … space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration …

Persistent link: https://www.econbiz.de/10005762598

Cointegration and Tests of Present Value Models

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1986

In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model...

Persistent link: https://www.econbiz.de/10005762611

Regression Theory for Near-Integrated Time Series

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1986

The concept of a near-integrated vector random process is introduced. Such processes help us to work towards a general asymptotic theory of regression for multiple time series in which some series may be integrated processes of the ARIMA type, others may be stable ARMA processes with near unit...

Persistent link: https://www.econbiz.de/10005762702

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