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Point-optimal panel unit root tests with serially correlated errors

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: The econometrics journal 17 (2014) 3, pp. 338-372

Persistent link: https://www.econbiz.de/10010498715

Dynamic panel estimation and homogeneity testing under cross section dependence

Phillips, Peter C. B.; Sul, Donggyu - In: The econometrics journal 6 (2003) 1, pp. 217-259

Persistent link: https://www.econbiz.de/10001781059

Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainin - 2003

Persistent link: https://www.econbiz.de/10001741372

Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

Persistent link: https://www.econbiz.de/10001753309

Dynamic panel estimation and homogeneity testing under cross section dependence

Phillips, Peter C. B.; Sul, Donggyu - 2002

Persistent link: https://www.econbiz.de/10001722198

Dynamic panel estimation and homogeneity testing under cross section dependence

Phillips, Peter C. B.; Sul, Donggyu - 2002

Persistent link: https://www.econbiz.de/10001671870

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Phillips, Peter C. B.; Sul, Donggyu - 2003

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel … regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross … section dependence. The new estimators given here considerably reduce the effects of bias and gain precision from estimating …

Persistent link: https://www.econbiz.de/10014116710

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cho, Jin Seo; Phillips, Peter C. B. - 2016

We provide a methodology for testing a polynomial model hypothesis by extending the approach and results of Baek, Cho, and Phillips (2015; Journal of Econometrics; BCP) that tests for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We examine and...

Persistent link: https://www.econbiz.de/10014123918

HAR Testing for Spurious Regression in Trend

Phillips, Peter C. B. - 2018

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these signiﬁcance tests...

Persistent link: https://www.econbiz.de/10012906697

Nonlinear Cointegrating Regression Under Weak Identification

Shi, Xiaoxia - 2010

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...

Persistent link: https://www.econbiz.de/10013138228