UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS (Q2878818)

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English	UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS	scientific article

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scholarly article

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UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS (English)

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zbMATH Open document ID

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10.1017/S0266466613000479

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Econometric Theory

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publication date

5 September 2014

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI publication profile

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Testing for a unit root in time series regression

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Asymptotic Properties of Residual Based Tests for Cointegration

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HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY

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Limit theory for moderate deviations from a unit root

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Statistical Inference in Instrumental Variables Regression with I(1) Processes

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New unit root asymptotics in the presence of deterministic trends.

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New Tools for Understanding Spurious Regressions

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Fully Modified Least Squares and Vector Autoregression

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Regression Theory for Near-Integrated Time Series

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Towards a unified asymptotic theory for autoregression

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On the Theory of Testing for Unit Roots in Observed Time Series

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Estimating and Testing Linear Models with Multiple Structural Changes

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Unit root tests in the presence of uncertainty about the non-stochastic trend

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Testing for a unit root by frequency domain regression

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Time Series Regression with a Unit Root

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Understanding spurious regressions in econometrics

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Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Tests for Unit Roots and the Initial Condition

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Modified Large-Sample Confidence Intervals for Linear Combinations of Variance Components

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Limiting distributions for \(L_1\) regression estimators under general conditions

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Unit‐root testing against the alternative hypothesis of up to <i>m</i> structural breaks

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A CUSUM test for cointegration using regression residuals

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Robust Rank Tests of the Unit Root Hypothesis

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An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

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Note on bandwidth selection in testing for long range dependence.

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Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Threshold Autoregression with a Unit Root

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Testing for structural change in conditional models

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Uniform Limit Theory for Stationary Autoregression

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Exact local Whittle estimation of fractional integration

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Limit theory for autoregressive-parameter estimates in an infinite-variance random walk

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Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

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Testing for unit roots in autoregressive-moving average models of unknown order

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Inference in a nearly integrated autoregressive model with nonnormal innovations

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Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Efficient Tests for an Autoregressive Unit Root

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Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Asymptotics for linear processes

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An Asymtotic Theory of Bayesian Inference for Time Series

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