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Linear regression limit theory for nonstationary panel data

Phillips, Peter C. B.; Moon, Hyungsik Roger - 1999

Persistent link: https://www.econbiz.de/10001389313

When bias contributes to variance : true limit theory in functional coefficient cointegrating regression

Phillips, Peter C. B.; Wang, Ying - 2020

Persistent link: https://www.econbiz.de/10012320628

Fully modified least squares for multicointegrated systems

Kheifets, Igor L.; Phillips, Peter C. B. - 2019

Persistent link: https://www.econbiz.de/10012132051

Limit theory of local polynomial estimation in functional coefficient regression

Wang, Ying; Phillips, Peter C. B. - 2024

Persistent link: https://www.econbiz.de/10015076908

Limit theory and inference in non-cointegrated functional coefficient regression

Wang, Ying; Phillips, Peter C. B.; Tu, Yundong - 2024

Persistent link: https://www.econbiz.de/10015077168

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760