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Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
nonparametric estimation where the focus is the nonparametric quantity itself and the choice rule balances asymptotic variance with … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is … typically substantially larger than the optimal bandwidth for point estimation of the standard errors. The new approach to …
Persistent link: https://www.econbiz.de/10005087368
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Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
Phillips, Peter C.B.; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1991
This paper offers a general approach to time series modeling that attempts to reconcile classical and methods. The central idea put forward to achieve reconciliation is that the Bayesian approach relies implicitly a frame of reference for the data generating mechanism that is quite different...
Persistent link: https://www.econbiz.de/10005087400
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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
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 … limit theory for untruncated kernels is provided using a new proof based on Mercer's theorem that allows for kernels which …
Persistent link: https://www.econbiz.de/10005762824
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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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Unit Roots
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic and financial time series. It therefore seems appropriate that this feature of the data be seriously addressed both in econometric methodology and in empirical practice. However, until recently...
Persistent link: https://www.econbiz.de/10005093958
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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
tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …
Persistent link: https://www.econbiz.de/10005093965
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Improved HAR Inference
Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005
-run parameters. The new methods improve the size properties of heteroskedastic and autocorrelation robust (HAR) tests in comparison … theory are developed in terms of the usual limiting chi-squared distribution, and corresponding large sample size and large …
Persistent link: https://www.econbiz.de/10005464005
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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
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Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1991
This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically …
Persistent link: https://www.econbiz.de/10005593509
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The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
This paper reports an empirical application of new Baynesian methodology to Australian data on consumption, income, liquid assets and inflation. The methods involve the use of objective model based reference priors and objective posterior odds test criteria. The paper provides an overview of...
Persistent link: https://www.econbiz.de/10005634716