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  • Search: subject:"Local to unity"
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Year of publication
Subject
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Zeitreihenanalyse 18 Estimation theory 17 Schätztheorie 17 Time series analysis 17 local to unity 17 Local to unity 14 Einheitswurzeltest 12 Unit root test 12 Forecasting model 10 Prognoseverfahren 10 Regressionsanalyse 8 Theorie 8 Theory 8 Regression analysis 7 Autocorrelation 6 Autokorrelation 6 Estimation 6 Local-to-unity 6 Predictive regression 6 Schätzung 6 Local to unity asymptotics 5 Unit root 5 local-to-unity 5 predictive regression 5 Bias 4 Capital income 4 Kapitaleinkommen 4 Kleinste-Quadrate-Methode 4 Least squares method 4 Stochastic process 4 Stochastischer Prozess 4 impulse response functions 4 local-to-unity asymptotics 4 nuisance parameters 4 panel data 4 persistence 4 pooled regression 4 unit roots 4 Asymptotic power envelope 3 Cointegration 3
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Online availability
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Free 39 Undetermined 19
Type of publication
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Book / Working Paper 44 Article 24
Type of publication (narrower categories)
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Article in journal 17 Aufsatz in Zeitschrift 17 Working Paper 9 Graue Literatur 7 Non-commercial literature 7 Arbeitspapier 6 Aufsatz im Buch 1 Book section 1
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Language
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English 48 Undetermined 20
Author
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Phillips, Peter C.B. 14 Phillips, Peter C. B. 6 Moon, Hyungsik Roger 5 Rossi, Barbara 5 Giraitis, Liudas 4 Lee, Ji Hyung 4 Maynard, Alex 4 Pesavento, Elena 4 Gustavsson, Magnus 3 Perron, Benoit 3 Shimotsu, Katsumi 3 Sun, Yixiao 3 Österholm, Pär 3 Cook, Steven 2 Gospodinov, Nikolay 2 Guo, Gangzheng 2 Kejriwal, Mohitosh 2 King, Maxwell L. 2 Magdalinos, Tassos 2 Moon, Hyungsik R. 2 Moon, Seongman 2 Müller, Ulrich K. 2 Sizova, Natalia 2 Sriananthakumar, Sivagowry 2 Velasco, Carlos 2 Wang, Shaoping 2 Wang, Xiaohu 2 Yu, Jun 2 Yu, Xuewen 2 Bauer, Dietmar 1 Brissimis, Sophocles N. 1 Bykhovskaya, Anna 1 Chang, Seong Yeon 1 Demetrescu, Matei 1 Deng, Kaihua 1 Drost, Feike C. 1 Elliott, Graham 1 Gouriéroux, Christian 1 Hjalmarsson, Erik 1 Hwang, Jungbin 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 12 Duke University, Department of Economics 2 Econometric Society 2 Nationalekonomiska Institutionen, Uppsala Universitet 2 C.E.P.R. Discussion Papers 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, Concordia University 1 Department of Economics, European University Institute 1 Department of Economics, University of California-San Diego (UCSD) 1 Economics Department, Queen's University 1 Graduate School of Economics, Hitotsubashi University 1 Institute of Economic Policy Research (IEPR), University of Southern California 1 Nationalekonomiska institutionen, Handelshögskolan 1 Research Institute for Market Economy, Sogang University 1 School of Economics and Finance, Queen Mary 1 School of Economics and Political Science, Universität St. Gallen 1 School of Management, Yale University 1 Society for Computational Economics - SCE 1 Tilburg University, Center for Economic Research 1
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Published in...
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Cowles Foundation Discussion Papers 12 Journal of econometrics 5 Discussion papers / Graduate School of Economics, Hitotsubashi University 2 Econometric reviews 2 Economics letters 2 The econometrics journal 2 Working Paper 2 Working Papers / Duke University, Department of Economics 2 Annals of economics and statistics 1 CEPR Discussion Papers 1 Computing in Economics and Finance 2001 1 Cowles Foundation discussion paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Papers / Graduate School of Economics, Hitotsubashi University 1 Econometric Society 2004 Far Eastern Meetings 1 Econometric Society 2004 North American Winter Meetings 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics Working Papers / Department of Economics, European University Institute 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Essays in honor of Joon Y. Park : econometric theory 1 Handbook of economic forecasting ; 1 1 IEPR Working Papers 1 Journal of Applied Statistics 1 Journal of Econometrics 1 Journal of Empirical Finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of empirical finance 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Monash Econometrics and Business Statistics Working Papers 1 Purdue University Economics Department working paper 1 Queen's Economics Department Working Paper 1 Recent work / Department of Economics, UC San Diego 1 Statistical Papers / Springer 1 The International Journal of Applied Economics 1 University of California at San Diego, Economics Working Paper Series 1 University of St. Gallen Department of Economics working paper series 2002 1 Working Paper Series / Nationalekonomiska Institutionen, Uppsala Universitet 1 Working Paper Series, Center for Labor Studies 1 Working Papers / Department of Economics and Finance, College of Business and Economics 1 Working Papers / Department of Economics, Concordia University 1
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Source
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RePEc 39 ECONIS (ZBW) 26 EconStor 3
Showing 41 - 50 of 68
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Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
Pesavento, Elena; Rossi, Barbara - Department of Economics, European University Institute - 2006
This paper is a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that Kilian (1998a), Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005) have...
Persistent link: https://www.econbiz.de/10005744326
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Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
Pesavento, Elena; Rossi, Barbara - Duke University, Department of Economics - 2006
. The paper makes recom- mendations as to the appropriateness of each method in empirical work. Keywords: Local to unity … bootstrap method for local to unity processes. More recently, Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005 …) have suggested the use of local-to-unity devices to obtain better approximations to the IRFs’ distribution. Wright (2000 …
Persistent link: https://www.econbiz.de/10005787316
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Predictive regressions with panel data
Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005
This paper analyzes econometric inference in predictive regressions in a panel data setting. In a traditional time-series framework, estimation and testing are often made difficult by the endogeneity and near persistence of many forecasting variables; tests of whether the dividend-price ratio...
Persistent link: https://www.econbiz.de/10005651706
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Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
Phillips, Peter C.B.; Magadalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2005
local to unity cases (n) and explosive autoregressions ((1 + c)^{n}). For c < 0, we provide results for alpha in (0,1) that …, bridging the /n and n convergence rates for the stationary and conventional local to unity cases. Weakly dependent errors are … shown to induce a bias in the limit distribution, analogous to that of the local to unity case. Linkages to the limit theory …
Persistent link: https://www.econbiz.de/10005593308
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Incidental Trends and the Power of Panel Unit Root Tests
Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C.B. - Institute of Economic Policy Research (IEPR), … - 2005
The asymptotic local power of various panel unit root tests are investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t- test, the Ploberger-Phillips (2002) test, and a...
Persistent link: https://www.econbiz.de/10005132575
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Expectations Hypotheses Tests and Predictive Regressions at Long Horizons
Rossi, Barbara - Duke University, Department of Economics - 2005
Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. Commonly used test...
Persistent link: https://www.econbiz.de/10005114013
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Mean and autocovariance function estimation near the boundary of stationarity
Giraitis, Liudas; Phillips, Peter C.B. - In: Journal of Econometrics 169 (2012) 2, pp. 166-178
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary...
Persistent link: https://www.econbiz.de/10010664694
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Limit Theory for Moderate Deviations from a Unit Root
Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2004
square root of n and n convergence rates for the stationary (alpha = 0) and conventional (alpha = 1) local to unity cases …
Persistent link: https://www.econbiz.de/10005463868
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Uniform Limit Theory for Stationary Autoregression
Giraitis, Liudas; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004
First order autoregression is shown to satisfy a limit theory which is uniform over stationary values of the autoregressive coefficient rho = rho_{n} in [0,1) provided (1 - rho_{n})n approaches infinity. This extends existing Gaussian limit theory by allowing for values of stationary rho that...
Persistent link: https://www.econbiz.de/10005463913
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A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence
Cook, Steven - In: The International Journal of Applied Economics 1 (2004) 1, pp. 46-54
Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root …
Persistent link: https://www.econbiz.de/10004975663
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