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Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.; Leirvik, Thomas; Storelvmo, Trude - In: Journal of econometrics 214 (2020) 1, pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
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Asymptotic theory for near integrated processes driven by tempered linear processes
Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B. - In: Journal of econometrics 216 (2020) 1, pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
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The spurious effect of unit roots on exogeneity tests in vector autoregressions : an analytical study
Toda, Hiro Y.; Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828077
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Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?
Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991
Persistent link: https://www.econbiz.de/10000828125
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Unit roots
Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828947
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Estimation and inference with near unit roots
Phillips, Peter C. B. - 2021
Persistent link: https://www.econbiz.de/10012807742
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which …
Persistent link: https://www.econbiz.de/10011948760
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
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Smoothing local-to-moderate unit root theory
Phillips, Peter C. B.; Magdalinos, Tassos; Giraitis, Liudas - In: Journal of econometrics 158 (2010) 2, pp. 274-279
Persistent link: https://www.econbiz.de/10008839955
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Specification testing for nonlinear cointegrating regression
Wang, Qiying; Phillips, Peter C. B. - 2011
We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification … cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …
Persistent link: https://www.econbiz.de/10008826041