Similar Search Results

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

Common bubble detection in large dimensional financial systems

Chen, Ye; Phillips, Peter C. B.; Shi, Shuping - In: Journal of financial econometrics 21 (2023) 4, pp. 989-1063

Persistent link: https://www.econbiz.de/10014391455

Long memory and long run variation

Phillips, Peter C. B. - In: Journal of econometrics 151 (2009) 2, pp. 150-158

Persistent link: https://www.econbiz.de/10003877960

Dynamic misspecification in nonparametric cointegrating regression

Kasparis, Ioannis; Phillips, Peter C. B. - In: Journal of econometrics 168 (2012) 2, pp. 270-284

Persistent link: https://www.econbiz.de/10009612740

Non-linearity induced weak instrumentation

Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - 2012

Persistent link: https://www.econbiz.de/10009615048

Series estimation of stochastic processes recent developments and econometric applications

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

Persistent link: https://www.econbiz.de/10009615049

GMM estimation for dynamic panels with fixed effects and strong instruments at unity

Han, Chirok; Phillips, Peter C. B. - In: Econometric theory 26 (2010) 1, pp. 119-151

Persistent link: https://www.econbiz.de/10003968539

Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors

Magdalinos, Tassos; Phillips, Peter C. B. - In: Econometric theory 25 (2009) 2, pp. 482-526

Persistent link: https://www.econbiz.de/10003818345

Indirect Inference for Dynamic Panel Models

Gourieroux, Christian - 2013

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in...

Persistent link: https://www.econbiz.de/10012754433

Cointegrating Rank Selection in Models with Time-Varying Variance

Cheng, Xu - 2009

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Persistent link: https://www.econbiz.de/10012765272