Similar Search Results

Causal change detection in possibly integrated Systems : revisiting the money-income relationship

Shi, Shuping; Hurn, Stan; Phillips, Peter C. B. - 2016

Persistent link: https://www.econbiz.de/10011647390

An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

Xiao, Zhijie; Phillips, Peter C. B. - 1997

Persistent link: https://www.econbiz.de/10000974391

Descriptive econometrics for nonstationary time series with empirical illustrations

Phillips, Peter C. B. - 1999

Persistent link: https://www.econbiz.de/10001389305

Weak [sigma]-convergence : theory and applications

Kong, Jianning; Phillips, Peter C. B.; Sul, Donggyu - 2017

Persistent link: https://www.econbiz.de/10011647640

Descriptive econometrics for non-stationary time series with empirical illustrations

Phillips, Peter C. B. - In: Journal of applied econometrics 16 (2001) 3, pp. 389-413

Persistent link: https://www.econbiz.de/10001592353

Casual change detection in possibly integrated systems : revisiting the money-income relationship

Shi, Shuping; Hurn, Stan; Phillips, Peter C. B. - 2016

Persistent link: https://www.econbiz.de/10011777165

Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?

Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991

Persistent link: https://www.econbiz.de/10000828125

A multivariate stochastic unit root model with an application to derivative pricing

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10011743783

Estimating smooth structural change in cointegration models

Phillips, Peter C. B.; Li, Degui; Gao, Jiti - In: Journal of econometrics 196 (2017) 1, pp. 180-195

Persistent link: https://www.econbiz.de/10011743793

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760