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Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
Phillips, Peter C. B. - 2011
theory relies on a sequence-based delta method in the stationary case and a sequence-based implicit continuous mapping … theorem in unit root and local to unity cases. The new limit theory shows that the IIE achieves much more than bias correction …. It changes the limit theory of the maximum likelihood estimator (MLE) when the autoregressive coefficient is in the …
Persistent link: https://www.econbiz.de/10013131586
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Nonparametric Predictive Regression
Kasparis, Ioannis - 2012
. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …
Persistent link: https://www.econbiz.de/10013100418
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Non-Linearity Induced Weak Instrumentation
Kasparis, Ioannis - 2012
In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...
Persistent link: https://www.econbiz.de/10013101153
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Testing for Multiple Bubbles
Phillips, Peter C. B. - 2013
Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...
Persistent link: https://www.econbiz.de/10013091850
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Testing for Multiple Bubbles : Limit Theory of Real Time Detectors
Phillips, Peter C. B. - 2013
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in …
Persistent link: https://www.econbiz.de/10013075934
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Testing the Martingale Hypothesis
Phillips, Peter C. B. - 2013
develops limit theory for the tests under the null and shows that the tests are consistent against a wide class of nonlinear …
Persistent link: https://www.econbiz.de/10013075942
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VARs with Mixed Roots Near Unity
Phillips, Peter C. B. - 2012
Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity …
Persistent link: https://www.econbiz.de/10013112716
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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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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Han, Chirok - 2009
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on Lv(1) estimation asymptotics in conjunction with non-parametric kernel density...
Persistent link: https://www.econbiz.de/10013159229
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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