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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972

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

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Sun, Yixiao - 2006

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …

Persistent link: https://www.econbiz.de/10012783449

Unit Root Model Selection

Phillips, Peter C. B. - 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/10012771858

Testing Mean Stability of Heteroskedastic Time Series

Dalla, Violetta - 2015

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Persistent link: https://www.econbiz.de/10013020466

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

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

Boosting the Hodrick-Prescott Filter

Phillips, Peter C. B. - 2019

economic theory or prior trend speciﬁcation. Like all nonparametric methods, the HP ﬁlter depends critically on a tuning … limit theory to show that the boosted HP ﬁlter asymptotically recovers trend mechanisms that involve unit root processes …

Persistent link: https://www.econbiz.de/10012863611

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Yonghui, Zhang; Su, Liangjun; Phillips, Peter C. B. - 2011

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based on a measure of nonparametric goodness-of-fit (R^2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain...

Persistent link: https://www.econbiz.de/10014176065

Long Memory and Long Run Variation

Phillips, Peter C. B. - 2008

A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a fractional pole in the spectrum at the origin. The methods...

Persistent link: https://www.econbiz.de/10014217976