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Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities...
Persistent link: https://www.econbiz.de/10005593277
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Dynamic Misspecification in Nonparametric Cointegrating Regression
Kasparis, Ioannis; Phillips, Peter C. B. - 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 centered on the pseudo-function and appropriately scaled …
Persistent link: https://www.econbiz.de/10014207414
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Cointegrating Rank Selection in Models with Time-Varying Variance
Cheng, Xu - 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/10012765272
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Nonlinear Cointegrating Power Function Regression with Endogeneity
Hu, Zhishui - 2019
This paper develops an asymptotic theory for nonlinear cointegrating power function regression. The framework extends earlier work on the deterministic trend case and allows for both endogeneity and heteroskedasticity, which makes the models and inferential methods relevant to many empirical...
Persistent link: https://www.econbiz.de/10012858171
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Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
Phillips, Peter C. B. - 2006
It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...
Persistent link: https://www.econbiz.de/10012783451
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Limit Theory for Explosively Cointegrated Systems
Phillips, Peter C. B. - 2007
A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...
Persistent link: https://www.econbiz.de/10012776773
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Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression
Li, Degui - 2018
estimator whose limit distribution theory corresponds to the prototypical pure (i.e., exogenous covariate) cointegration case … econometric estimation and testing techniques in the cointegration literature to accommodate time variation and complications of …
Persistent link: https://www.econbiz.de/10012932856
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Semiparametric Cointegrating Rank Selection
Cheng, Xu; Phillips, Peter C. B. - 2008
sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …
Persistent link: https://www.econbiz.de/10014217971
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Structural Nonparametric Cointegrating Regression
Wang, Qiying; Phillips, Peter C. B. - 2008
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...
Persistent link: https://www.econbiz.de/10014217972
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Unit Root and Cointegrating Limit Theory When Initialization is in the Infinite Past
Phillips, Peter C. B.; Magdalinos, Tassos - 2008
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10014217977