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

's) and Johansen-type error correction models (ECM's) allowing for the presence of stochastic trends and cointegration …

Persistent link: https://www.econbiz.de/10005464026

The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study

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

's estimated by Sims (1980b, 1982), Ohanian found that block exogeneity of the genuine variables with respect to an artificially …. It can be shown that if the genuine variables are nonstationary, the Wald statistic for testing the block exogeneity …

Persistent link: https://www.econbiz.de/10005593564

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

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

Semiparametric Cointegrating Rank Selection

Cheng, Xu; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on finite sample …

Persistent link: https://www.econbiz.de/10005039557

Long Memory and Long Run Variation

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

May 2008 A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a fractional pole in the spectrum at the origin. The...

Persistent link: https://www.econbiz.de/10005593519

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2007

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

Persistent link: https://www.econbiz.de/10005762525

Forecasting New Zealand's Real GDP

Schiff, Aaron F.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000

Recent time series methods are applied to the problem of forecasting New Zealand's real GDP. Model selection is conducted within autoregressive (AR) and vector autoregressive (VAR) classes, allowing for evolution in the form of the models over time. The selections are performed using the Schwarz...

Persistent link: https://www.econbiz.de/10005196023

Cointegrating Rank Selection in Models with Time-Varying Variance

Cheng, Xu; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Persistent link: https://www.econbiz.de/10005196029

Nonparametric Predictive Regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...

Persistent link: https://www.econbiz.de/10011213863