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Optimal bandwidth choice for interval estimation in GMM regression
Sun, Yixiao (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767435
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Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing
Sun, Yixiao (contributor); Phillips, Peter C. B. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003468430
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Uniform asymptotic normality in stationary and unit root autoregression
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu - 2010
Persistent link: https://www.econbiz.de/10003925361
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Approximately median-unbiased estimation of autoregressive models with applications to US macroeconomic and financial time series
Andrews, Donald W. K.; Chen, Hong-yuan - 1992
Persistent link: https://www.econbiz.de/10000843671
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Norming rates and limit theory for some time-varying coefficient autoregressions
Lieberman, Offer; Phillips, Peter C. B. - 2013
Persistent link: https://www.econbiz.de/10010190201
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IV and GMM estimation and testing of multivariate stochastic unit root models
Lieberman, Offer; Phillips, Peter C. B. - 2016
Persistent link: https://www.econbiz.de/10011647403
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...
Persistent link: https://www.econbiz.de/10011948760
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Limit theory for moderate deviations from a unit root
Phillips, Peter C. B.; Magdalinos, Tassos - 2004
Persistent link: https://www.econbiz.de/10002148141
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Limit theory for moderate deviations from a unit root under weak dependence
Phillips, Peter C. B.; Magdalinos, Tassos - 2005
Persistent link: https://www.econbiz.de/10002969709