Similar Search Results

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

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

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

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

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

Semiparametric estimation in multivariate nonstationary time series models

Gao, Jiti; Phillips, Peter C. B. - 2011

A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly...