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Citations for "Regression Theory for Near-Integrated Time Series"

by Peter C.B. Phillips

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  1. Elena Pesavento, 2005. "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Emory Economics, Department of Economics, Emory University (Atlanta) 0503, Department of Economics, Emory University (Atlanta).
  2. Mukhtar Ali, 2002. "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(1), pages 89-119.
  3. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, 03.
  4. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, Elsevier, vol. 130(1), pages 45-100, January.
  5. Ibragimov, Rustam & Walden, Johan, 2008. "Portfolio diversification under local and moderate deviations from power laws," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 594-599, April.
  6. Jesús Gonzalo & Jean-Ives Pitarakis, 2010. "Regime specific predictability in predictive regressions," Economics Working Papers we097844, Universidad Carlos III, Departamento de Economía.
  7. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  8. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1517, Cowles Foundation for Research in Economics, Yale University.
  9. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  10. Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers, Michigan - Center for Research on Economic & Social Theory 89-21, Michigan - Center for Research on Economic & Social Theory.
  11. Lucas, André, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  12. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
  13. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers, Banco de Portugal, Economics and Research Department w201126, Banco de Portugal, Economics and Research Department.
  14. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, Elsevier, vol. 5(2), pages 104-117, June.
  15. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1102, Cowles Foundation for Research in Economics, Yale University.
  16. Juan Carlos Aquino & Gabriel Rodríguez, 2011. "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo, Departamento de Economía - Pontificia Universidad Católica del Perú 2011-319, Departamento de Economía - Pontificia Universidad Católica del Perú.
  17. Obstfeld, Maurice & Shambaugh, Jay C & Taylor, Alan M, 2004. "The Trilemma in History: Trade-offs Among Exchange Rates, Monetary Policies and Capital Mobility," CEPR Discussion Papers 4352, C.E.P.R. Discussion Papers.
  18. Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Vanderbilt University Department of Economics Working Papers 0044, Vanderbilt University Department of Economics.
  19. Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt8x91m4hg, Anderson Graduate School of Management, UCLA.
  20. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
  21. repec:dgr:uvatin:2099012 is not listed on IDEAS
  22. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers, University of California, Davis, Department of Agricultural and Resource Economics 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  23. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 269-286, October.
  24. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  25. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers, Centre de Recherche en Economie et Statistique 2011-03, Centre de Recherche en Economie et Statistique.
  26. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, Econometric Society, vol. 74(3), pages 681-714, 05.
  27. Peter C.B.Phillips & Tassos Magdalinos, 2009. "Econometric Inference in the Vicinity of Unity," Working Papers CoFie-06-2009, Sim Kee Boon Institute for Financial Economics.
  28. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August.
  29. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 953, Board of Governors of the Federal Reserve System (U.S.).
  30. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 122(2), pages 349-384, October.
  31. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(01), pages 49-80, February.
  32. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 853, Board of Governors of the Federal Reserve System (U.S.).
  33. Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  34. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 1-47.
  35. H. Peter Boswijk & Michael Jansson & Morten �. Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers 12-097/III, Tinbergen Institute.
  36. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 142-155, September.
  37. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, Springer, vol. 39(1), pages 51-76, August.
  38. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.
  39. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
  40. Niels Haldrup & Michael Jansson, 1999. "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," Tinbergen Institute Discussion Papers 99-005/4, Tinbergen Institute.
  41. Österholm, Pär, 2003. "The Taylor Rule: A Spurious Regression?," Working Paper Series, Uppsala University, Department of Economics 2003:20, Uppsala University, Department of Economics.
  42. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics, EconWPA 9610004, EconWPA.
  43. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  44. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 187-220, January.
  45. Cai, Zongwu & Wang, Yunfei, 2014. "Testing predictive regression models with nonstationary regressors," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 4-14.
  46. Elena Pesavento, 2002. "Residuals-based Tests for Cointegration: An Analytical Comparison," Emory Economics, Department of Economics, Emory University (Atlanta) 0207, Department of Economics, Emory University (Atlanta).
  47. Erik Hjalmarsson & Par Osterholm, 2007. "Testing for cointegration using the Johansen methodology when variables are near-integrated," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 915, Board of Governors of the Federal Reserve System (U.S.).
  48. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, 01.
  49. W.H. Buiter & U Patel, 1995. "Budgetary Aspects of Stabilization and Strucutral Adjustment in India: The Painful Road to a Sustainable Fiscal-Financial-Monetary Plan," CEP Discussion Papers dp0247, Centre for Economic Performance, LSE.
  50. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 1-15.
  51. Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-006, Boston University - Department of Economics.
  52. Choi, In, 2002. "Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model," Journal of Econometrics, Elsevier, Elsevier, vol. 109(1), pages 1-32, July.
  53. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 907, Board of Governors of the Federal Reserve System (U.S.).
  54. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  55. Charemza, Wojciech W., 1996. "Detecting stochastic bubbles on an East European foreign exchange market: An estimation/simulation approach," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 7(1), pages 35-53, March.
  56. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  57. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 73(2), pages 401-410, August.
  58. Dutkowsky, Donald H. & McCoskey, Suzanne K., 2001. "Near integration, bank reluctance, and discount window borrowing," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1013-1036, June.
  59. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 33-54, January.
  60. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(2), pages 215-238, June.
  61. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
  62. Bailey, Ralph W. & Burridge, Peter, 2007. "Ordering the dispersion of ordinary least squares under near-integration," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 594-597, March.
  63. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 82(2), pages 289-315, February.
  64. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.