This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non zero long run partial correlations. We then introduce a two step LASSO...

In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a battery of non-parametric procedures to account for the impact of long-lagged observations. We find that correlation between growth and returns is detected at larger horizons...

In this paper we reexamine the linkages between output growth and real stock price changes for the G7 countries using a battery of non-parametric procedures to account for the impact of long-lagged observations. We find that correlation between growth and returns is detected at larger horizons...

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....

This paper develops a new covariance-based test of orthogonality that may be attractive when regressors have roots close or equal to unity. In this case standard regression-based orthogonality tests can suffer from (i) size distortions and (ii) uncertainty regarding the appropriate model in...

Fully modified least squares (FM-OLS) regression was originally designed in work by Phillips and Hansen (1990) to provide optimal estimates of cointegrating regressions. The method modifies least squares to account for serial correlation effects and for the endogeneity in the regressors that...

This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips-Hansen...