This paper studies the empirical applications of the autocorrelation tests, the unit root tests, and the efficient estimation procedures introduced in Guo and Phillips (1999a) to daily return series for the Samp;P 500 Index and a set of eight individual stocks. As a further example of estimating...

This paper studies currency risk hedge when volatilities and correlations of forward currency contracts and underlying assets returns are all time-varying. A multivariate GARCH model withtime-varying correlations is adopted to fit the dynamic structure of the conditional volatilities and...

A new class of kernels for long-run variance and spectral density estimation is developed by exponentiating traditional quadratic kernels. Depending on whether the exponent parameter is allowed to grow with the sample size, we establish different asymptotic approximations to the sampling...

This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear coin-tegrating regressions.The model considered accommodates a linear time trend and stationary regressors, as well as multiple...

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The estimators given here...

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size,...