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Yu, Ping - 2014

finite sample critical values for both tests. Simulation studies corroborate the theory and the asymptotics. An empirical …

Persistent link: https://www.econbiz.de/10013043164

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Sun, Yixiao - 2006

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …

Persistent link: https://www.econbiz.de/10012783449

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Yonghui, Zhang; Su, Liangjun; Phillips, Peter C. B. - 2011

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based on a measure of nonparametric goodness-of-fit (R^2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain...

Persistent link: https://www.econbiz.de/10014176065

Structural Nonparametric Cointegrating Regression

Wang, Qiying; Phillips, Peter C. B. - 2008

distribution theory is mixed normal, giving simple usable asymptotics in practical work. The results provide a convenient basis for …

Persistent link: https://www.econbiz.de/10014217972

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

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

This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...

Persistent link: https://www.econbiz.de/10014116703

Comment on ââ‚¬Å“Realized Variance and Market Microstructure Noiseââ‚¬Â by Peter R. Hansen and Asger Lunde

Phillips, Peter C. B.; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2005

With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical...

Persistent link: https://www.econbiz.de/10009363810

Comments on ââ‚¬Å“A selective overview of nonparametric methods in financial econometricsââ‚¬Â

Phillips, Peter C. B.; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2005

In recent years there has been increased interest in using nonparametric methods to deal with various aspects of financial data. The paper by Fan overviews some nonparametric techniques that have been used in the financial econometric literature, focusing on estimation and inference for...

Persistent link: https://www.econbiz.de/10009363832

Har testing for spurious regression in trend

Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics 7 (2019) 4, pp. 1-28

. Concordant with existing theory (Phillips 1986, 1998; Sun 2004, 2014b) the usual t test and HAC standardized test fail to control …

Persistent link: https://www.econbiz.de/10012696265

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In …

Persistent link: https://www.econbiz.de/10005593277

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