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The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991

nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical …

Persistent link: https://www.econbiz.de/10005634716

The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991

number of variables in the system and r is the dimension of the cointegration space. These results help to explain simulation …

Persistent link: https://www.econbiz.de/10005634731

Statistical Inference in Regressions with Integrated Processes: Part 1

Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1986

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions and regressors with drift. The main focus of the paper is...

Persistent link: https://www.econbiz.de/10005762497

Regression Theory for Near-Integrated Time Series

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1986

The concept of a near-integrated vector random process is introduced. Such processes help us to work towards a general asymptotic theory of regression for multiple time series in which some series may be integrated processes of the ARIMA type, others may be stable ARMA processes with near unit...

Persistent link: https://www.econbiz.de/10005762702

Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1992

unit roots in the system, and for integrated series the presence of cointegration and the rank of the cointegration space …

Persistent link: https://www.econbiz.de/10005249158

Automated Forecasts of Asia-Pacific Economic Activity

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1995

This paper reports quarterly ex ante forecasts of macroeconomic activity for the U.S.A., Japan and Australia for the period 1995-1997. The forecasts are based on automated time series models of vector autoregressions (VAR's), reduced rank regressions (RRR's), error correction models (ECM's) and...

Persistent link: https://www.econbiz.de/10005634722

Fully Modified Least Squares and Vector Autoregression

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1993

example, when there is some cointegration in the system, FM-VAR estimation has a limit theory that is normal for all of the … vectors). Moreover, optimal estimation of the cointegration space is attained in FM-VAR regression without prior knowledge of … the number of unit roots in the system, without pretesting to determine the dimension of the cointegration space and …

Persistent link: https://www.econbiz.de/10005634746