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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

law to a diffusion on D[0,infinity) and a central limit law to a scalar normal variate. For c < 0, the results provide a n …

Persistent link: https://www.econbiz.de/10005463868

Market Diffusion with Two-Sided Learning

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1996

The diffusion of a new product of uncertain value is analyzed in a duopolistic market in continuous time. The two sides … setting. Finally, the diffusion path of a successful product is shown to be S-shaped. …

Persistent link: https://www.econbiz.de/10005463873

A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (SUR) models to a multivariate case including a comprehensive asymptotic theory for estimation of the model's parameters. The extensions are useful because they lead to a generalization of the...

Persistent link: https://www.econbiz.de/10011096425

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Bandi, Federico M.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2005

the integrated squared difference between kernel estimates of the drift and diffusion functions and their parametric …

Persistent link: https://www.econbiz.de/10004990730

Towards a Unified Asymptotic Theory for Autoregression

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

diffusion process. The theory has applications to continuous time estimation and to the analysis of the asymptotic power of …

Persistent link: https://www.econbiz.de/10004990755

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2008

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We …

Persistent link: https://www.econbiz.de/10005087377

Fully Nonparametric Estimation of Scalar Diffusion Models

Bandi, Federico M.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001

diffusion function in situations where one or the other function is considered a nuisance parameter. The asymptotic behavior of …

Persistent link: https://www.econbiz.de/10005593306

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

. The limit theory combines a functional law to a diffusion on D[0,infinity) and a central limit theorem. For c > 0, the …

Persistent link: https://www.econbiz.de/10005593308

Regression Theory for Near-Integrated Time Series

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

vector diffusion. The results suggest finite sample approximations which in the stationary case correspond to conventional …

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

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this …

Persistent link: https://www.econbiz.de/10008533975