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Year of publication
Subject
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Unit root Brownian motion 17 Autoregression 14 Mechanism design 14 Asymptotic size 13 Edgeworth expansion 13 Bootstrap 11 Empirical likelihood 11 Rationalizability 11 Asymptotics 10 unit root 10 unit roots 10 Asymptotic expansion 9 Common knowledge 9 Implementation 9 Integrated process 9 Long memory 9 Robustness 9 nonstationarity 9 Bias 8 Leverage 8 Strategic market games 8 Test 8 asymptotic theory 8 model selection 8 Asymptotic normality 7 Climate change 7 Cointegration 7 Confidence set 7 Diffusion 7 Discrete Fourier transform 7 Education 7 Identification 7 Interim equilibrium 7 Learning 7 Mechanism Design 7 Whittle likelihood 7 generalized method of moments estimator 7 incomplete markets 7 semiparametric estimation 7
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Online availability
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Free
Type of publication
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Book / Working Paper
Language
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English Undetermined 5
Author
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Phillips, Peter C. B. 4 Phillips, Peter C.B. 4 Wang, Qiying 3 Andrews, Donald W.K. 2 Guggenberger, Patrik 2 Giraitis, Liudas 1 Han, Chirok 1 Juhl, Ted 1 Kwiatkowski, Denis 1 Schmidt, Peter 1 Xiao, Zhijie 1
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Institution
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Cowles Foundation for Research in Economics, Yale University Economics Institute for Research (SIR), Handelshögskolan i Stockholm 3 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 2 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 2 Center for Financial Studies 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 College of Business, University of Texas-San Antonio 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Finance, La Trobe Business School 1 Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise 1 Institute of Economic Policy Research (IEPR), University of Southern California 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 School of Accounting, Economics, and Finance, University of Wollongong 1
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Published in...
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Cowles Foundation Discussion Papers 11
Source
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RePEc 11
Showing 1 - 10 of 11
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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...
Persistent link: https://www.econbiz.de/10009209704
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Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities...
Persistent link: https://www.econbiz.de/10005593277
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Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
Giraitis, Liudas; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample size dependence in the array and paying special attention to the rate at which the boundary unit root case is...
Persistent link: https://www.econbiz.de/10005593612
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Bootstrapping I(1) Data
Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009
A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.
Persistent link: https://www.econbiz.de/10005762605
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Unit Root Model Selection
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...
Persistent link: https://www.econbiz.de/10005463847
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Structural Nonparametric Cointegrating Regression
Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...
Persistent link: https://www.econbiz.de/10005593511
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Asymptotics for Stationary Very Nearly Unit Root Processes
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007
This paper considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n =...
Persistent link: https://www.econbiz.de/10005762473
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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...
Persistent link: https://www.econbiz.de/10005464027
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Gaussian Inference in AR(1) Time Series with or without a Unit Root
Phillips, Peter C. B.; Han, Chirok - Cowles Foundation for Research in Economics, Yale University - 2006
This note introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite sample bias, are not sensitive to initial conditions, and the approach has the unusual advantage that a Gaussian central limit theory applies and...
Persistent link: https://www.econbiz.de/10005593468
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Partially Linear Models with Unit Roots
Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...
Persistent link: https://www.econbiz.de/10005762744
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