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New unit root asymptotics in the presence of deterministic trends
Phillips, Peter C. B. - 1998
Persistent link: https://www.econbiz.de/10000997933
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Exact Gaussian estimation of continuous time models of the term structure of interest rates
Phillips, Peter C. B.; Yu, Jun - 2000
Persistent link: https://www.econbiz.de/10001558290
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Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process
Sabzikar, Farzad - 2018
This paper develops an asymptotic theory for near-integrated random processes and some associated regressions when the … memory, semi-long memory, and short memory processes. The paper develops asymptotic theory for such processes and associated … tempered fractional diffusions. The theory is extended to provide the limiting distribution for autoregressions with such …
Persistent link: https://www.econbiz.de/10012919164
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Log Periodogram Regression : The Nonstationary Case
Kim, Chang Sik - 2006
Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d gt; (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 lt; d lt; 2 and is consistent when (1/2) lt; d = 1. For d gt; 1, the...
Persistent link: https://www.econbiz.de/10012779219
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A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
Lieberman, Offer - 2014
multivariate case including a comprehensive asymptotic theory for estimation of the model's parameters. The extensions are useful …
Persistent link: https://www.econbiz.de/10013043166
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Hybrid Stochastic Local Unit Roots
Lieberman, Offer - 2018
theory and asymptotic expansions for the process and document how inference in LUR and STUR autoregressions is affected …
Persistent link: https://www.econbiz.de/10012931700
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Bootstrapping I(1) Data
Phillips, Peter C. B. - 2009
A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null
Persistent link: https://www.econbiz.de/10012765275
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Structural Nonparametric Cointegrating Regression
Wang, Qiying; Phillips, Peter C. B. - 2008
distribution theory is mixed normal, giving simple usable asymptotics in practical work. The results provide a convenient basis for …
Persistent link: https://www.econbiz.de/10014217972
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Local Limit Theory and Spurious Nonparametric Regression
Phillips, Peter C. B. - 2008
time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric … applications of the limit theory to models of nonlinear functional relations and cointegrating regressions are given. The methods …
Persistent link: https://www.econbiz.de/10014217978
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Cavaliere, Giuseppe - 2012
A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...
Persistent link: https://www.econbiz.de/10013112718