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Forward exchange market unbiasedness : the case of the Australian dollar since 1984
Phillips, Peter C. B. - In: Journal of international money and finance 16 (1997) 6, pp. 885-907
Persistent link: https://www.econbiz.de/10001337356
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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
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Lag length selection in panel autoregression
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu - In: Econometric reviews 36 (2017) 1/3, pp. 225-240
Persistent link: https://www.econbiz.de/10011795190
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - 2011
Persistent link: https://www.econbiz.de/10009412262
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Cavaliere, Giuseppe - 2012
A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...
Persistent link: https://www.econbiz.de/10013112718
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Forecasting economic activity using the yield curve : quasi-real-time applications for New Zealand, Australia and the US
Henry, Todd; Phillips, Peter C. B. - 2020
Persistent link: https://www.econbiz.de/10012322385
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Forecasting Economic Activity Using the Yield Curve : Quasi-Real-Time Applications for New Zealand, Australia and the US
Henry, Todd; Phillips, Peter C. B. - 2020
for the US, Australia, and New Zealand show that forecast performance is not improved either by augmenting simplistic …
Persistent link: https://www.econbiz.de/10014091837
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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
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Descriptive econometrics for nonstationary time series with empirical illustrations
Phillips, Peter C. B. - 1999
Persistent link: https://www.econbiz.de/10001389305
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Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
Phillips, Peter C. B. - In: Journal of applied econometrics 11 (1996) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001196180