DOI10.2307/2171788zbMath0862.62030OpenAlexW2012695865MaRDI QIDQ5690043
Peter C. B. Phillips, Werner Ploberger
Publication date: 29 May 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171788
On the selection of forecasting models,
Testing for unit root processes in random coefficient autoregressive models,
Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox,
Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models,
Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem,
Consumption dynamics in general equilibrium: a characterisation when markets are incomplete,
Bootstrapping Autoregression under Non-stationary Volatility,
An MCMC approach to classical estimation.,
Comparing dynamic equilibrium models to data: a Bayesian approach,
The dynamics of efficient asset trading with heterogeneous beliefs,
A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA,
AUTOMATED DISCOVERY IN ECONOMETRICS,
What to expect when you're calibrating: measuring the effect of calibration on the estimation of macroeconomic models,
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER,
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION,
Cointegrating rank selection in models with time-varying variance,
Model selection criteria for the leads-and-lags cointegrating regression,
Model selection in the presence of nonstationarity,
Optimal estimation under nonstandard conditions,
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models,
A Bayesian robust chi-squared test for testing simple hypotheses,
Variable selection in STAR models with neighbourhood effects using genetic algorithms,
A frequentist approach to Bayesian asymptotics,
LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS,
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,
ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS,
MINIMIZING AVERAGE RISK IN REGRESSION MODELS,
THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES,
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS,
Semiparametric cointegrating rank selection,
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure,
The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective,
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior,
Testing for strict stationarity in a random coefficient autoregressive model,
Bayesian Comparison of ARIMA and Stationary ARMA Models,
Lag length selection in panel autoregression,
Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration,
New unit root asymptotics in the presence of deterministic trends.,
UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
