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Dynamics of the Federal Funds Target Rate : A Nonstationary Discrete Choice Approach

Hu, Ling; Phillips, Peter C. B. - 2003

We apply a discrete choice approach to model the empirical behavior of the Federal Reserve in changing the federal funds target rate, the benchmark of short term market interest rates in the US. Our methods allow the explanatory variables to be nonstationary as well as stationary. This feature...

Persistent link: https://www.econbiz.de/10014116705

Dynamic panel modeling of climate change

Phillips, Peter C. B. - 2018

Persistent link: https://www.econbiz.de/10011948750

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …

Persistent link: https://www.econbiz.de/10012265695

Forecasting Economic Activity Using the Yield Curve : Quasi-Real-Time Applications for New Zealand, Australia and the US

Henry, Todd; Phillips, Peter C. B. - 2020

Inversion of the yield curve has come to be viewed as a leading recession indicator. Unsurprisingly, some recent instances of inversion have attracted attention from economic commentators and policymakers about possible impending recessions. Using a variety of time series models and recent...

Persistent link: https://www.econbiz.de/10014091837