Similar Search Results - EconBiz

Bias in estimating multivariate and univariate diffusions

Wang, Xiaohu; Phillips, Peter C. B.; Yu, Jun - 2011

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

Persistent link: https://www.econbiz.de/10008826042

Folklore theorems, implicit maps and new unit root limit theory

Phillips, Peter C. B. - 2011

theory relies on a sequence-based delta method in the stationary case and a sequence-based implicit continuous mapping … theorem in unit root and local to unity cases. The new limit theory shows that the IIE achieves much more than bias correction …. It changes the limit theory of the maximum likelihood estimator (MLE) when the autoregressive coefficient is in the …

Persistent link: https://www.econbiz.de/10008826746

Bootstrapping I(1) data

Phillips, Peter C. B. - In: Journal of econometrics 158 (2010) 2, pp. 280-284

Persistent link: https://www.econbiz.de/10008839951

Long-run covariance matrices for fractionally integrated processes

Phillips, Peter C. B.; Kim, Chang Sik - In: Econometric theory 23 (2007) 6, pp. 1233-1247

Persistent link: https://www.econbiz.de/10003591877

Adaptive estimation of autoregressive models with time-varying variances

Xu, Ke-Li; Phillips, Peter C. B. - In: Journal of econometrics 142 (2008) 1, pp. 265-280

Persistent link: https://www.econbiz.de/10003608182

Incidential trends and the power of panel unit root tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: Journal of econometrics 141 (2007) 2, pp. 416-459

Persistent link: https://www.econbiz.de/10003571307

Nonstationary discrete choice : a corrigendum and addendum

Phillips, Peter C. B.; Jin, Sainan; Hu, Ling - In: Journal of econometrics 141 (2007) 2, pp. 1115-1130

Persistent link: https://www.econbiz.de/10003571426

Structural nonparametric cointegrating regression

Wang, Qiying; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 6, pp. 1901-1948

Persistent link: https://www.econbiz.de/10003943451

Uniform asymptotic normality in stationary and unit root autoregression

Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu - 2010

Persistent link: https://www.econbiz.de/10003925361

Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - 2010

Persistent link: https://www.econbiz.de/10003925716

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