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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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Dynamic Misspecification in Nonparametric Cointegrating Regression
Kasparis, Ioannis; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009
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 requisite limit theory involves sample covariances of … linear cointegration which is invariant to time translation. When centred on the pseudo-function and appropriately scaled …
Persistent link: https://www.econbiz.de/10004998322
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Non-linearity Induced Weak Instrumentation
Kasparis, Ioannis; Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 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/10010817227
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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 differs importantly from conventional linear cointegration which is invariant to time translation. When …
Persistent link: https://www.econbiz.de/10011052188
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Dynamic Misspecification in Nonparametric Cointegrating Regression
Phillips, Peter C.B.; Kasparis, Ioannis - School of Economics, Singapore Management University - 2009
Linear cointegration is known to have the important property of invariance un- der temporal translation. The same … property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … conventional linear cointegration which is invariant to time translation. When centred on the pseudo-function and ap- propriately …
Persistent link: https://www.econbiz.de/10010561671
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Limit Theory for Explosively Cointegrated Systems
Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2007
A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...
Persistent link: https://www.econbiz.de/10005593461
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
DUFOUR, Jean-Marie; FARHAT, Abdekjelik; HALLIN, Marc - Département de Sciences Économiques, Université de … - 2005
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...
Persistent link: https://www.econbiz.de/10005729725
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005
We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...
Persistent link: https://www.econbiz.de/10005100838
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
DUFOUR, Jean-Marie; FARHAT, Abdeljelil; HALLIN, Marc - Centre Interuniversitaire de Recherche en Économie … - 2005
We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential...
Persistent link: https://www.econbiz.de/10008671553
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25 Years of IIF Time Series Forecasting: A Selective Review
Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...
Persistent link: https://www.econbiz.de/10005427625