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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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Dynamic panel modeling of climate change
Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …
Persistent link: https://www.econbiz.de/10012265695
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Testing for cointegration using principal component methods
Phillips, Peter C. B.; Ouliaris, Sam - 1987
Persistent link: https://www.econbiz.de/10000740642
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Linear regression limit theory for nonstationary panel data
Phillips, Peter C. B.; Moon, Hyungsik Roger - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 5, pp. 1057-1111
Persistent link: https://www.econbiz.de/10001405853
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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Chao, John C.; Phillips, Peter C. B. - In: Journal of econometrics 91 (1999) 2, pp. 227-271
Persistent link: https://www.econbiz.de/10001382089
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Vector autoregression and causality : a theoretical overview and simulation study
Toda, Hiro Y. - In: Econometric reviews 13 (1994) 2, pp. 259-285
Persistent link: https://www.econbiz.de/10001163109
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Vector autoregressions and causality
Toda, Hiro Y. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 6, pp. 1367-1393
Persistent link: https://www.econbiz.de/10001155091