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Persistent link: https://www.econbiz.de/10003968457

Uniform consistency of nonstationary Kernel-Weighted sample covariances for nonparametric regression

Li, Degui; Phillips, Peter C. B.; Gao, Jiti - 2013

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Testing instability in a predictive regression model with nonstationary regressors

Cai, Zongwu; Wang, Yunfei; Wang, Yonggang - In: Econometric theory 31 (2015) 5, pp. 953-980

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Non- and semiparametric identification of seasonal nonlinear autoregression models

Yang, Lijian; Tschernig, Rolf - In: Econometric theory 18 (2002) 6, pp. 1408-1448

Persistent link: https://www.econbiz.de/10001716911

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjøstheim, Dag; Yang, Lijian - In: Econometric theory 18 (2002) 2, pp. 197-251

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Functional coefficient nonstationary regression

Gao, Jiti; Phillips, Peter C. B. - 2013

Persistent link: https://www.econbiz.de/10010190228

Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression

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Inconsistent VAR regression with common explosive roots

Phillips, Peter C. B.; Magdalinos, Tassos - 2011

Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a co-explosive system extension and an illustrative example that helps to explain the finding, gives a...

Persistent link: https://www.econbiz.de/10008826046

Inconsistent VAR regression with common explosive roots

Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric theory 29 (2013) 4, pp. 808-837

Persistent link: https://www.econbiz.de/10010210160

Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations

Magdalinos, Tassos - In: Econometric theory 38 (2022) 5, pp. 875-912

Persistent link: https://www.econbiz.de/10013469682