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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
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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
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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
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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
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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
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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2012
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/10009391709
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Testing for Multiple Bubbles
Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2012
Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...
Persistent link: https://www.econbiz.de/10009391710
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Cavaliere, Giuseppe; Phillips, Peter C.B.; Smeekes, Stephan - Cowles Foundation for Research in Economics, Yale University - 2012
A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...
Persistent link: https://www.econbiz.de/10009391712
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Speci…fication 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 specifi…cation used in parameter estimation. This paper aims to...
Persistent link: https://www.econbiz.de/10009274319
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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