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

Phillips, Peter C. B.; Wang, Ying - In: Journal of econometrics 232 (2023) 2, pp. 469-489

Persistent link: https://www.econbiz.de/10014340035

Automated Estimation of Vector Error Correction Models

Liao, Zhipeng; Phillips, Peter C. B. - 2012

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where...

Persistent link: https://www.econbiz.de/10014166027

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