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Linear regression limit theory for nonstationary panel data

Phillips, Peter C. B.; Moon, Hyungsik Roger - 1997

Persistent link: https://www.econbiz.de/10000966051

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C. B. - 1997

Persistent link: https://www.econbiz.de/10000966052

New unit root asymptotics in the presence of deterministic trends

Phillips, Peter C. B. - 1998

Persistent link: https://www.econbiz.de/10000997933

Discrete Fourier transforms of fractional processes

Phillips, Peter C. B. - 1999

Persistent link: https://www.econbiz.de/10001404200

Forecasting New Zealand's real GDP

Schiff, Aaron F.; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001513379

Exact Gaussian estimation of continuous time models of the term structure of interest rates

Phillips, Peter C. B.; Yu, Jun - 2000

Persistent link: https://www.econbiz.de/10001558290

Jackknifing bond option prices

Phillips, Peter C. B.; Yu, Jun - 2002

Persistent link: https://www.econbiz.de/10001727120

Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

Phillips, Peter C. B.; Sul, Donggyu - 2003

Persistent link: https://www.econbiz.de/10001873256

Prewhitening bias in HAC estimation

Sul, Donggyu; Phillips, Peter C. B.; Choi, Chi-young - 2003

Persistent link: https://www.econbiz.de/10001873297

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Shi, Shuping - 2013

left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …

Persistent link: https://www.econbiz.de/10013092751