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Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results

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  • Jun Yu

    (Sim Kee Boon Institute for Financial Economics, Singapore Management University)

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Abstract

Econometric analysis of continuous time models has drawn the attention of Peter Phillips for nearly 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and econometric problems, from univariate equations to systems of equations, from asymptotic theory to nite sample issues, from parametric models to nonparametric models, from identi cation problems to estimation and inference problems, from stationary models to nonstationary and nearly nonstationary models. This paper provides an overview of Peter Phillips' contributions in the continuous time econometrics literature. We review the problems that have been tackled by him, outline the main techniques suggested by him, and discuss the main results obtained by him. Based on his early work, we compare the performance of two asymptotic distributions in a simple setup. Results indicate that the in- ll asymptotics signi cantly outperforms the long-span asymptotics.

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Paper provided by Sim Kee Boon Institute for Financial Economics in its series Working Papers with number CoFie-04-2009.

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Length: 33 Pages
Date of creation: Apr 2009
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Publication status: Published in SMU-SKBI CoFie Working Paper
Handle: RePEc:skb:wpaper:cofie-04-2009

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