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Dynamic panel modeling of climate change
Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
We discuss some conceptual and practical issues that arise from the presence of global energy balance effects on station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses, observational data computations, and Monte Carlo...
Persistent link: https://www.econbiz.de/10012265695
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Business Cycles, Trend Elimination, and the HP Filter
Phillips, Peter C. B. - 2015
Whittaker (1923) and popularized in economics in a particular form by Hodrick and Prescott (1980/1997; HP). A limit theory is …' process. Simulations reveal that the lambda = O(n^4) limit theory provides a good approximation to the actual HP filter for …
Persistent link: https://www.econbiz.de/10013020491
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Econometric Measurement of Earth's Transient Climate Sensitivity
Phillips, Peter C. B. - 2017
than previously thought. The present study provides asymptotic theory justifying the use of these methods when there are …
Persistent link: https://www.econbiz.de/10012961326
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Dynamic Panel Modeling of Climate Change
Phillips, Peter C. B. - 2018
We discuss some conceptual and practical issues that arise from the presence of global energy balance effects on station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses, observational data computations, and Monte Carlo...
Persistent link: https://www.econbiz.de/10012906700
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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
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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
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Long Memory and Long Run Variation
Phillips, Peter C. B. - 2008
A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a fractional pole in the spectrum at the origin. The methods...
Persistent link: https://www.econbiz.de/10014217976
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Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
Zinde‐Walsh, Victoria; Phillips, Peter C. B. - 2003
Brownian motion can be characterized as a generalized random process and, as such, has a generalized derivative whose covariance functional is the delta function. In a similar fashion, fractional Brownian motion can be interpreted as a generalized random process and shown to possess a...
Persistent link: https://www.econbiz.de/10014090811
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The KPSS Test with Seasonal Dummies
Jin, Sainan; Phillips, Peter C. B. - 2003
It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used
Persistent link: https://www.econbiz.de/10014115850
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Non-Linearity Induced Weak Instrumentation
Kasparis, Ioannis - 2012
In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...
Persistent link: https://www.econbiz.de/10013101153