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Measuring Change in Tail Behavior
Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B. - 2000
This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...
Persistent link: https://www.econbiz.de/10014152767
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Exercises in econometrics
Phillips, Peter C. B.; Wickens, Michael R. - 1978
Persistent link: https://www.econbiz.de/10000098954
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Exercises in econometrics ; Vol. 1
Phillips, Peter C. B.; Wickens, Michael R. - 1978
Persistent link: https://www.econbiz.de/10000098955
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Exercises in econometrics ; Vol. 2
Phillips, Peter C. B.; Wickens, Michael R. - 1978
Persistent link: https://www.econbiz.de/10000098956
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Asymptotics for linear processes
Phillips, Peter C. B.; Solo, Victor - 1992
Persistent link: https://www.econbiz.de/10000872825
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Best median unbiased estimation in linear regression with bounded asymmetric loss functions
Andrews, Donald W. K.; Phillips, Peter C. B. - 1986
Persistent link: https://www.econbiz.de/10000951483
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Linear regression limit theory for nonstationary panel data
Phillips, Peter C. B.; Moon, Hyungsik Roger - 1997
Persistent link: https://www.econbiz.de/10000966051
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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Chao, John C.; Phillips, Peter C. B. - 1997
Persistent link: https://www.econbiz.de/10000966052
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Bayesian model selection and prediction with empirical applications
Phillips, Peter C. B. - 1992
Persistent link: https://www.econbiz.de/10000843664
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Bayes methods for trending multiple time series with an empirical application to the US economy
Phillips, Peter C. B. - 1992
Persistent link: https://www.econbiz.de/10000848865