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Testing for cointegration using principal component methods

Phillips, Peter C. B.; Ouliaris, Sam - 1987

Persistent link: https://www.econbiz.de/10000740642

Testing for cointegration and unit roots in time series models

Ouliaris, Sam - 1987

Persistent link: https://www.econbiz.de/10000747097

Band spectral regression with trending data

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1067-1109

Persistent link: https://www.econbiz.de/10001688017

Testing for cointegration using principal components methods

Phillips, Peter C. B. - 1988

Persistent link: https://www.econbiz.de/10001269094

Asymptotic properties of residual based tests for cointegration

Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 1, pp. 165-193

Persistent link: https://www.econbiz.de/10001084872

Band Spectral Regression with Trending Data

Corbae, Philip Dean; Ouliaris, Sam; Phillips, Peter C. B. - 2002

Band spectral regression with both deterministic and stochastic trends is considered. It is shown that trend removal by regression in the time domain prior to band spectral regression can lead to biased and inconsistent estimates in models with frequency dependent coefficients. Both...

Persistent link: https://www.econbiz.de/10014116199