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Dynamic misspecification in nonparametric cointegrating regression

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

Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya–Watson (NW) estimator for cointegrating regression under misspecified lag structure...

Persistent link: https://www.econbiz.de/10011052188

Threshold Regression with Endogeneity

Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results … endogeneity and threshold effects without relying on instrumentation of the covariates. The threshold effect test extends … models in treatment effects evaluation in the presence of endogeneity. …

Persistent link: https://www.econbiz.de/10011096433

Predictive regression under various degrees of persistence and robust long-horizon regression

Phillips, Peter C.B.; Lee, Ji Hyung - In: Journal of Econometrics 177 (2013) 2, pp. 250-264

The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a wide vicinity of unity. The invalidity of conventional tests when regressors are persistent has led to a large literature dealing with...

Persistent link: https://www.econbiz.de/10011052297

Inconsistent VAR Regression with Common Explosive Roots

Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2011

Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a co-explosive system extension and an illustrative example that helps to explain the finding, gives a...

Persistent link: https://www.econbiz.de/10008790282

A New Approach to Robust Inference in Cointegration

Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....

Persistent link: https://www.econbiz.de/10005593449

Financial Bubble Implosion

Phillips, Peter C.B.; Shi, Shu-Ping - Cowles Foundation for Research in Economics, Yale University - 2014

forms of bubble implosion and the endogeneity effects present in the reverse regression. Simulations explore the finite …

Persistent link: https://www.econbiz.de/10011096432

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2013

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of...

Persistent link: https://www.econbiz.de/10010817219

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2013

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data...

Persistent link: https://www.econbiz.de/10010817220

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Shi, Shu-Ping; Phillips, Peter C.B.; Yu, Jun - School of Economics, Singapore Management University - 2011

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to...

Persistent link: https://www.econbiz.de/10009274319

Testing for Multiple Bubbles

Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - School of Economics, Singapore Management University - 2011

Identifying explosive bubbles that are characterized by periodically collapsing behavior over time has been a major concern in the literature and is of great importance for practitioners. The complexity of the nonlinear structure in multiple bubble phenomena diminishes the discriminatory power...

Persistent link: https://www.econbiz.de/10009274321