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Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips

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  • Tanaka, Katsuto
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    Abstract

    The work of Professor P.C.B. Phillips, even if it is focused on the area of linear nonstationary models, is enormous. So it is hard for me to explore the whole of his work in this paper. Therefore I have decided to take up only a few results of his work. The topics chosen here are applications of the martingale approximation and the problem of choosing between stochastic and deterministic trends, which I discuss and, hopefully extend.

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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/19242/1/070econDP11-05.pdf
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    Bibliographic Info

    Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2011-05.

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    Length: 26 p.
    Date of creation: Apr 2011
    Date of revision:
    Handle: RePEc:hit:econdp:2011-05

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Katsuto Tanaka, 2001. ""K"-Asymptotics Associated with Deterministic Trends in Integrated and Near-Integrated Processes," The Japanese Economic Review, Japanese Economic Association, vol. 52(1), pages 35-63.
    2. Peter C.B. Phillips, 1998. "New Unit Root Asymptotics in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 1196, Cowles Foundation for Research in Economics, Yale University.
    3. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(03), pages 528-533, December.
    4. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
    5. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    6. Phillips, Peter C.B., 2005. "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, vol. 21(01), pages 116-142, February.
    7. Nabeya, Seiji, 2001. "Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree," Econometric Theory, Cambridge University Press, vol. 17(02), pages 357-385, April.
    8. Herman J. Bierens, 2000. "Complex Unit Roots and Business Cycles: Are They Real?," Econometric Society World Congress 2000 Contributed Papers 0197, Econometric Society.
    9. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
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