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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
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Testing mean stability of heteroskedastic time series
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2015
series. Application of the new methods to analyze the volatility properties of stock market returns leads to some unexpected …
Persistent link: https://www.econbiz.de/10011405222
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Refined inference on long memory in realized volatility
Lieberman, Offer; Phillips, Peter C. B. - In: Econometric reviews 27 (2008) 1/3, pp. 254-267
Persistent link: https://www.econbiz.de/10003761227
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
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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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Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - In: Journal of econometrics 238 (2024) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10015073913
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Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim; Phillips, Peter C. B.; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542210
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Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
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When bias contributes to variance : true limit theory in functional coefficient cointegrating regression
Phillips, Peter C. B.; Wang, Ying - In: Journal of econometrics 232 (2023) 2, pp. 469-489
Persistent link: https://www.econbiz.de/10014340035
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Mean and autocovariance function estimation near the boundary of stationarity
Giraitis, Liudas; Phillips, Peter C. B. - In: Journal of econometrics 169 (2012) 2, pp. 166-178
Persistent link: https://www.econbiz.de/10009671325