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Efficiency gains from quasi-differencing under nonstationarity

Phillips, Peter C. B.; Lee, Chin Chin - 1996

Persistent link: https://www.econbiz.de/10001589738

Discrete fourier transforms of fractional processes with econometric applications

Phillips, Peter C. B. - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 3-71). 2023

Persistent link: https://www.econbiz.de/10014313196

Comments on "Econometric analysis of Fisher's equation"

Rust, John - In: Celebrating Irving Fisher : the legacy of a great economist, (pp. 169-184). 2005

Persistent link: https://www.econbiz.de/10003297131

Econometric analysis of Fisher's equation

Phillips, Peter C. B. - In: Celebrating Irving Fisher : the legacy of a great economist, (pp. 125-168). 2005

Persistent link: https://www.econbiz.de/10003297134

Rissanen's theorem and econometric time series

Ploberger, Werner; Phillips, Peter C. B. - In: Simplicity, inference and modeling : keeping it …, (pp. 165-180). 2001

Persistent link: https://www.econbiz.de/10001651909

Limit theory for moderate deviations from a unit root under weak dependence

Phillips, Peter C. B.; Magdalinos, Tassos - In: The refinement of econometric estimation and test …, (pp. 123-162). 2007

Persistent link: https://www.econbiz.de/10003461842

Density forecasting

Bassetti, Federico; Casarin, Roberto; Ravazzolo, Francesco - In: Macroeconomic forecasting in the era of big data : …, (pp. 465-494). 2020

This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript...

Persistent link: https://www.econbiz.de/10012160010

Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment

Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023

Persistent link: https://www.econbiz.de/10014282545