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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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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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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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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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Money demand during hyperinflation : cointegration, rational expectations, and the importance of money demand shocks
Engsted, Tom - 1997
Persistent link: https://www.econbiz.de/10000959730
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Estimating the LQAC model with I(2) variables
Engsted, Tom; Haldrup, Niels - 1998
Persistent link: https://www.econbiz.de/10000986316
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Measuring noise in the permanent income hypothesis
Engsted, Tom - 2000
Persistent link: https://www.econbiz.de/10001493815
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Present value models and non-stationary time-series : an introduction, and a summary of the thesis
Engsted, Tom - 1993
Persistent link: https://www.econbiz.de/10000859623