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Sul, Donggyu; Phillips, Peter C.B.; Choi, Chi-Young - Cowles Foundation for Research in Economics, Yale University - 2003

applications, small sample bias in the estimation of autoregressive coefficients is transmitted to the recoloring filter, leading … the effects of small sample autoregressive bias. Moreover, a commonly-used restriction rule on the prewhitening estimates …

Persistent link: https://www.econbiz.de/10005464039

HAC Estimation by Automated Regression

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

A simple regression approach to HAC and LRV estimation is suggested. The method exploits the fact that the quantities of interest relate to only one point of the spectrum (the origin). The new estimator is simply the explained sum of squares in a linear regression whose regressors are a set of...

Persistent link: https://www.econbiz.de/10005593628

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

bias of the robust standard error estimator. This approach contrasts with the conventional bandwidth choice rule for … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is …

Persistent link: https://www.econbiz.de/10005087368

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

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Persistent link: https://www.econbiz.de/10005762824

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

Long Run Covariance Matrices for Fractionally Integrated Processes

Phillips, Peter C.B.; Kim, Chang Sik - Cowles Foundation for Research in Economics, Yale University - 2007

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

Persistent link: https://www.econbiz.de/10005463993

Improved HAR Inference

Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005

Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...

Persistent link: https://www.econbiz.de/10005464005

Long Run Variance Estimation Using Steep Origin Kernels without Truncation

Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2003

limit normal distributions, and formulae for the asymptotic bias and variance are derived. With steep origin kernel …

Persistent link: https://www.econbiz.de/10004990684

Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?

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

The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null...

Persistent link: https://www.econbiz.de/10005593506

Bias in Estimating Multivariate and Univariate Diffusions

Wang, Xiaohu; Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2011

and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the … discretization bias and its relationship to estimation bias in both multivariate and in univariate settings. In the univariate … bias and variance for the Vasicek process. The bias and the variance of the Euler method are found to be smaller than the …

Persistent link: https://www.econbiz.de/10008790284