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Specification Testing for Nonlinear Cointegrating Regression
Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2011
We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...
Persistent link: https://www.econbiz.de/10008790283
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Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
Yu, Jun; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite...
Persistent link: https://www.econbiz.de/10005762660
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Partially Linear Models with Unit Roots
Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...
Persistent link: https://www.econbiz.de/10005762744
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Efficient Estimation of Copula-based Semiparametric Markov Models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - Cowles Foundation for Research in Economics, Yale University - 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … geometrically ergodic. We then propose a sieve maximum likelihood estimation (MLE) for the copula parameter, the invariant …
Persistent link: https://www.econbiz.de/10005762792
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Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2003
variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel … asymptotic mean squared error of estimation is considered, leading to a rate of convergence of the kernel estimate of T^{1 … framework, untruncated kernel estimation can be regarded as a form of conventional kernel estimation in which the usual …
Persistent link: https://www.econbiz.de/10005762824
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Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions
Ai, Chunrong; Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2009
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restriction...
Persistent link: https://www.econbiz.de/10008479205
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Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
Sun, Yixiao; Phillips, Peter C.B.; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2010
Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...
Persistent link: https://www.econbiz.de/10008493456
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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
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Fully Nonparametric Estimation of Scalar Diffusion Models
Bandi, Federico M.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001
We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete … vicinity of a spatial point. The estimation method and asymptotic results apply to both stationary and nonstationary processes. …
Persistent link: https://www.econbiz.de/10005593306
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Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...
Persistent link: https://www.econbiz.de/10005593344