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Discrete Fourier Transforms of Fractional Processes

Phillips, Peter C. B. - 2000

theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified …

Persistent link: https://www.econbiz.de/10014164678

Series Estimation of Stochastic Processes : Recent Developments and Econometric Applications

Phillips, Peter C. B.; Liao, Zhipeng - 2012

This paper overviews recent developments in series estimation of stochastic processes and some of their applications in econometrics. Underlying this approach is the idea that a stochastic process may under certain conditions be represented in terms of a set of orthonormal basis functions,...

Persistent link: https://www.econbiz.de/10014166028

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C. B. - 2009

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … correct specification but the variance of the limit distribution is larger. Some applications of the limit theory to non …

Persistent link: https://www.econbiz.de/10014207414

A general limit theory for nonlinear functionals of nonstationary time series

Wang, Qiying; Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10013326692

Bias in Estimating Multivariate and Univariate Diffusions

Wang, Xiaohu - 2013

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/10013093983