Challenges of trending time series econometrics

DOI10.1016/j.matcom.2005.02.010zbMath1065.62196OpenAlexW2151018546MaRDI QIDQ2486184

Peter C. B. Phillips

Publication date: 5 August 2005

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.109.8180

zbMATH Keywords

TrendCoordinate instrumental variablesCoordinate reduced rank regressionCoordinate trend functionsLimitations of econometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (14)

Testing for common trends in semi‐parametric panel data models with fixed effects ⋮ Smoothing non-stationary time series using the discrete cosine transform ⋮ TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ Global temperatures and greenhouse gases: a common features approach ⋮ High-dimensional IV cointegration estimation and inference ⋮ Semi-parametric modelling of temperature records ⋮ COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE ⋮ Weak \(\sigma\)-convergence: theory and applications ⋮ Trends in distributional characteristics: existence of global warming ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS ⋮ Semiparametric cointegrating rank selection ⋮ LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER

Cites Work

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• The spurious regression of fractionally integrated processes
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Trends versus Random Walks in Time Series Analysis
• New Tools for Understanding Spurious Regressions
• SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
• Empirical Limits for Time Series Econometric Models
• Band Spectral Regression with Trending Data
• SPLINE FUNCTIONS AND THE PROBLEM OF GRADUATION

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