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A reexamination of the consumption function using frequency domain regressions
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828946
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A reexamination of the consumption function using frequency domain regressions
Corbae, Dean - In: Empirical economics : a journal of the Institute for … 19 (1994) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10001175474
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Band Spectral Regression with Trending Data
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - 2002
Band spectral regression with both deterministic and stochastic trends is considered. It is shown that trend removal by regression in the time domain prior to band spectral regression can lead to biased and inconsistent estimates in models with frequency dependent coefficients. Both...
Persistent link: https://www.econbiz.de/10014116199
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Spectral tests of the Martingale hypothesis for exchange rates
Fong, Wai-mun - In: Journal of applied econometrics 10 (1995) 3, pp. 255-271
Persistent link: https://www.econbiz.de/10001183992
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Joint variance-ratio tests of the martingale hypothesis for exchange rates
Fong, Wai-mun - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 51-59
Persistent link: https://www.econbiz.de/10001214311
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Asymptotic properties of residual based tests for cointegration
Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 1, pp. 165-193
Persistent link: https://www.econbiz.de/10001084872
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Edmond Malinvaud : an economist's econometrician
Phillips, Peter C. B. - In: Annals of economics and statistics 125/126 (2017), pp. 135-151
Persistent link: https://www.econbiz.de/10011744360
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Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
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Estimation and inference with near unit roots
Phillips, Peter C. B. - In: Econometric theory 39 (2023) 2, pp. 221-263
Persistent link: https://www.econbiz.de/10014306253