IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v30y2014i04p719-736_00.html
   My bibliography  Save this article

Unit Roots In Life—A Graduate Student Story

Author

Listed:
  • Phillips, Peter C. B.

Abstract

On the evening of March 7, 2008, the New Zealand Econometric Study Group Meeting held its Conference Dinner. The venue was the Owen Glenn Building, the spectacular new home of the Auckland Business School and the Department of Economics at the University of Auckland. The meeting was organized by my colleagues, co-authors, and close companions Donggyu Sul and Chirok Han. Chirok did double duty by videotaping the evening, Donggyu coordinated festivities with consummate skill, and we settled in to a memorable evening.Econometricians, old friends, former students, two of my former teachers, faculty, and senior administrators were gathered together to celebrate my 60th birthday. Many had traveled long distances from overseas and navigated busy schedules to come to this event. It was a singular honor. My wife and daughter were with me. Opening speeches from Bas Sharp and John McDermott broke the ice with endearing tales from the past and jokes about some mysterious hole in my vita. I stood at the front table, looked out, and felt a glow of fellowship envelop me. I was fortunate indeed. Life had bestowed many gifts. The warmth of family, friends, and collegiality were at the top of the list. My education and early training in New Zealand were a clear second.What follows is a graduate student story. It draws on the first part of the speech I gave that evening at the NZESG conference dinner. It mixes personal reflections with recollections of the extraordinary New Zealanders who shaped my thinking as a graduate student and beginning researcher—people who have had an enduring impact on my work and career as an econometrician. The story traces out these human initial conditions and unit roots that figure in my early life of teaching and research.

Suggested Citation

  • Phillips, Peter C. B., 2014. "Unit Roots In Life—A Graduate Student Story," Econometric Theory, Cambridge University Press, vol. 30(4), pages 719-736, August.
    • Handle: RePEc:cup:etheor:v:30:y:2014:i:04:p:719-736_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466613000455/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Peter Phillips, 2005. "Albert Rex Bergstrom 1925-2005," New Zealand Economic Papers, Taylor & Francis Journals, vol. 39(2), pages 129-152.
    2. Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun, 2011. "Bias in estimating multivariate and univariate diffusions," Journal of Econometrics, Elsevier, vol. 161(2), pages 228-245, April.
    3. Peter Phillips, 2010. "Two New Zealand pioneer econometricians," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(1), pages 1-26.
    4. J. E. King (ed.), 2007. "A Biographical Dictionary of Australian and New Zealand Economists," Books, Edward Elgar Publishing, number 4197.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Peter Phillips, 2010. "Two New Zealand pioneer econometricians," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(1), pages 1-26.
    2. Zi‐Yi Guo, 2021. "Out‐of‐sample performance of bias‐corrected estimators for diffusion processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 243-268, March.
    3. Emma M. Iglesias & Garry D. A. Phillips, 2020. "Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 357-364, March.
    4. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    5. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    6. Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.
    7. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    8. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
    9. repec:tsy:journl:journl_tsy_er_2014_2_5 is not listed on IDEAS
    10. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    11. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    12. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
    13. Zihan Jin & Hiroshi Yamada, 2024. "Boosted Whittaker–Henderson Graduation," Mathematics, MDPI, vol. 12(21), pages 1-18, October.
    14. Hiroshi Yamada & Ruixue Du, 2018. "Some Results on ℓ 1 Polynomial Trend Filtering," Econometrics, MDPI, vol. 6(3), pages 1-10, July.
    15. Milena Hoyos, 2020. "Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 249-267, March.
    16. Stefano M. Iacus & Nakahiro Yoshida, 2010. "Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 107-127, February.

    More about this item

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General
    • A23 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Graduate

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:30:y:2014:i:04:p:719-736_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.