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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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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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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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Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
Han, Chirok - 2010
While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly...
Persistent link: https://www.econbiz.de/10013148982
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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
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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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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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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