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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
nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical …
Persistent link: https://www.econbiz.de/10005634716
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Specification Tests for Nonlinear Dynamic Models
Kheifets, Igor - Cowles Foundation for Research in Economics, Yale University - 2014
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher...
Persistent link: https://www.econbiz.de/10010937901
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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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New Goodness-of-fit Diagnostics for Conditional Discrete Response Models
Kheifets, Igor; Velasco, Carlos - Cowles Foundation for Research in Economics, Yale University - 2013
This paper proposes new specification tests for conditional models with discrete responses. In particular, we can test the static and dynamic ordered choice model specifications, which is key to apply efficient maximum likelihood methods, to obtain consistent estimates of partial effects and to...
Persistent link: https://www.econbiz.de/10010817232
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End-of-Sample Cointegration Breakdown Tests
Andrews, Donald W.K.; Kim, Jae-Young - Cowles Foundation for Research in Economics, Yale University - 2003
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …
Persistent link: https://www.econbiz.de/10005593528
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Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2008
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10005087357
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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 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 regression and autoregression. Our treatment directly...
Persistent link: https://www.econbiz.de/10005464027
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Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities...
Persistent link: https://www.econbiz.de/10005593277
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Bootstrapping Spurious Regression
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001
correlation coefficient of the residuals in the bootstrap regression does not converge to unity, so the bootstrap is not even … first order consistent. The block bootstrap serial correlation coefficient does converge to unity and is therefore first … serial correlation coefficient. The analysis covers spurious regressions involving both deterministic trends and stochastic …
Persistent link: https://www.econbiz.de/10005593430
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A New Approach to Robust Inference in Cointegration
Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005
A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....
Persistent link: https://www.econbiz.de/10005593449