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

by Peter C.B. Phillips

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  1. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
  2. Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
  3. 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.
  4. Jes�s Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  5. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
  6. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July.
  7. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
  8. Obstfeld, Maurice & Shambaugh, Jay C. & Taylor, Alan M., 2004. "The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility," Center for International and Development Economics Research, Working Paper Series qt4rq9v2rb, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  9. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  10. Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
  11. 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.
  12. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
  13. Juan Carlos Aquino & Gabriel Rodríguez, 2013. "Understanding the functional central limit theorems with some applications to unit root testing with structural change," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, vol. 36(71), pages 107-149.
  14. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
  15. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
  16. 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.
  17. 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.
  18. Shintani, Mototsugu, 2001. "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, vol. 105(2), pages 337-362, December.
  19. Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
  20. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  21. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
  22. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 1-15.
  23. 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.
  24. 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.
  25. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
  26. Pär Österholm & Erik Hjalmarsson, 2007. "Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated," IMF Working Papers 07/141, International Monetary Fund.
  27. Niels Haldrup & Michael Jansson, 1999. "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," Tinbergen Institute Discussion Papers 99-005/4, Tinbergen Institute.
  28. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.).
  29. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
  30. Mukhtar M. Ali, 1996. "Distribution of the Least Squares Estimator in a First-Order Autoregressive Model," Econometrics 9610004, EconWPA.
  31. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
  32. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
  33. Jeroen J.M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992. "The power of cointegration tests," International Finance Discussion Papers 431, Board of Governors of the Federal Reserve System (U.S.).
  34. repec:dgr:uvatin:2099012 is not listed on IDEAS
  35. 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.
  36. 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.
  37. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
  38. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  39. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  40. Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  41. Cai, Zongwu & Wang, Yunfei, 2014. "Testing predictive regression models with nonstationary regressors," Journal of Econometrics, Elsevier, vol. 178(P1), pages 4-14.
  42. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  43. 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.
  44. Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies.
  45. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  46. 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.
  47. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  48. Mukhtar Ali, 2002. "Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 89-119.
  49. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
  50. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation for Research in Economics, Yale University.
  51. Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
  52. 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.
  53. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
  54. 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.
  55. 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.
  56. Elena Pesavento, 2002. "Residuals-based Tests for Cointegration: An Analytical Comparison," Emory Economics 0207, Department of Economics, Emory University (Atlanta).
  57. 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, vol. 39(1), pages 51-76, August.
  58. 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 wp2008-006, Boston University - Department of Economics.
  59. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.
  60. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  61. Choi, In, 2002. "Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model," Journal of Econometrics, Elsevier, vol. 109(1), pages 1-32, July.
  62. Österholm, Pär, 2003. "The Taylor Rule: A Spurious Regression?," Working Paper Series 2003:20, Uppsala University, Department of Economics.
  63. Elena Pesavento, 2005. "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta).
  64. Charemza, Wojciech W., 1996. "Detecting stochastic bubbles on an East European foreign exchange market: An estimation/simulation approach," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 35-53, March.