LINEAR NONSTATIONARY MODELS—A REVIEW OF THE WORK OF PROFESSOR P.C.B. PHILLIPS

DOI10.1017/S0266466613000480zbMath1314.01029OpenAlexW1489990181MaRDI QIDQ2878819

Katsuto Tanaka

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000480

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Biographies, obituaries, personalia, bibliographies (01A70) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for linear processes
• New unit root asymptotics in the presence of deterministic trends.
• UNIT ROOT SEASONAL AUTOREGRESSIVE MODELS WITH A POLYNOMIAL TREND OF HIGHER DEGREE
• Testing for unit roots in autoregressive-moving average models of unknown order
• New Tools for Understanding Spurious Regressions
• Time Series Regression with a Unit Root
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
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