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Phillips, Peter C.B.; Lee, Ji Hyung - Cowles Foundation for Research in Economics, Yale University - 2012

Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are...

Persistent link: https://www.econbiz.de/10009391711

Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1997

This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment … moment conditions to identify the unknown parameters of interest. The paper specifies moment selection criteria that are GMM … minimized values of the GMM criterion function for different vectors of moment conditions. The procedures are applicable in time …

Persistent link: https://www.econbiz.de/10005762615

Bayes Models and Forecasts of Australian Macroeconomic Time Series

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1992

This paper provides an empirical implementation of some recent work by the author and Werner Ploberger on the development of "Bayes models" for time series. The methods offer a new data-based approach to model selection, to hypothesis testing and to forecast evaluation in the analysis of time...

Persistent link: https://www.econbiz.de/10005593351

A Primer on Unit Root Testing

Phillips, Peter C.B.; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 1998

The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and...

Persistent link: https://www.econbiz.de/10005593418

Unit Root Tests

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1995

Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided. Classification-JEL: C22

Persistent link: https://www.econbiz.de/10005593489

Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1991

This paper is concerned with the estimation of first-order autoregressive/unit root models with independent identically distributed normal errors. The models considered include those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive...

Persistent link: https://www.econbiz.de/10005593509

Unit Root Model Selection

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...

Persistent link: https://www.econbiz.de/10005463847

Rissanen's Theorem and Econometric Time Series

Ploberger, Werner; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998

In a typical empirical modeling context, the data generating process (DGP) of a time series is assumed to be known up to a finite-dimensional parameter. In such cases, Rissanen's (1986) theorem provides a lower bound for the empirically achievable distance between all possible data-based models...

Persistent link: https://www.econbiz.de/10005464029

Cointegrating Rank Selection in Models with Time-Varying Variance

Cheng, Xu; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 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/10005196029

Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models

Andrews, Donald W.K.; Lu, Biao - Cowles Foundation for Research in Economics, Yale University - 1999

This paper develops consistent model and moment selection criteria for GMM estimation. The criteria select the correct … likelihood-based selection criteria BIC, HQIC, and AIC. (The latter is not consistent.) The GMM selection criteria are based on …

Persistent link: https://www.econbiz.de/10004990691

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