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Improved Estimates of Using Luminosity as a Proxy for Economic Statistics: New Results and Estimates of Precision

Nordhaus, William D.; Chen, Xi - Cowles Foundation for Research in Economics, Yale University - 2012

Previous work has analyzed whether luminosity data contain useful information for estimating economic output and concluded that there was significant promise for regions with poor quality economic statistics. The present paper examines alternative measures of the precision of the estimates using...

Persistent link: https://www.econbiz.de/10010686929

The Value of Luminosity Data as a Proxy for Economic Statistics

Chen, Xi; Nordhaus, William D. - Cowles Foundation for Research in Economics, Yale University - 2010

One of the pervasive issues in social and environmental research has been to improve the quality of socioeconomic data in developing countries. Because of the shortcoming of standard data sources, the present study examines luminosity (measures of nighttime lights) as a proxy for standard...

Persistent link: https://www.econbiz.de/10008462009

Unit Root Model Selection

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

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...

Persistent link: https://www.econbiz.de/10005463847

Limit Theory for Moderate Deviations from a Unit Root

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

An asymptotic theory is given for autoregressive time series with a root of the form rho_{n} = 1+c/n^{alpha}, which represents moderate deviations from unity when alpha in (0,1). The limit theory is obtained using a combination of a functional law to a diffusion on D[0,infinity) and a central...

Persistent link: https://www.econbiz.de/10005463868

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

Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001

The maximum likelihood estimator (MLE) of the fractional difference parameter in the Gaussian ARFIMA(0,d,0) model is well known to be asymptotically N(0,6/pi2). This paper develops a second order asymptotic expansion to the distribution of this statistic. The correction term for the density is...

Persistent link: https://www.econbiz.de/10005463881

Incidental Trends and the Power of Panel Unit Root Tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...

Persistent link: https://www.econbiz.de/10005463889

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near …

Persistent link: https://www.econbiz.de/10005463904

Uniform Limit Theory for Stationary Autoregression

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

First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that...

Persistent link: https://www.econbiz.de/10005463913

Comment on 'To Criticize the Critics,' by Peter C. B. Phillips

Sims, Christopher A. - Cowles Foundation for Research in Economics, Yale University - 1991

In his paper "To Criticize the Critics" (1991), Peter Phillips discusses Bayesian methodology for time series models. The main point that Uhlig and I set out to make, however, was that careful consideration of the implications of the likelihood principle suggests that much of the recent work...

Persistent link: https://www.econbiz.de/10005463934