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Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1992

unit roots in the system, and for integrated series the presence of cointegration and the rank of the cointegration space …

Persistent link: https://www.econbiz.de/10005249158

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

Statistical Inference in Regressions with Integrated Processes: Part 1

Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1986

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...

Persistent link: https://www.econbiz.de/10005762497

Unidentified Components in Reduced Rank Regression Estimation of ECM's

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991

Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration … space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration …

Persistent link: https://www.econbiz.de/10005762598

Cointegration and Tests of Present Value Models

Campbell, John Y.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1986

In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model...

Persistent link: https://www.econbiz.de/10005762611

Regression Theory for Near-Integrated Time Series

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1986

The concept of a near-integrated vector random process is introduced. Such processes help us to work towards a general asymptotic theory of regression for multiple time series in which some series may be integrated processes of the ARIMA type, others may be stable ARMA processes with near unit...

Persistent link: https://www.econbiz.de/10005762702

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 … to offer an alternative development of the asymptotic theory for non-parametric estimation of a non-linear cointegrating …

Persistent link: https://www.econbiz.de/10005464027

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

twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation …

Persistent link: https://www.econbiz.de/10005593277

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

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