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

  • Jun Yu

    (Singapore Management University)

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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 finite sample issues, from parametric models to nonparametric models, from identification 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-fill asymptotics significantly outperforms the long-span asymptotics.

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File URL: http://www.eaber.org/node/23046
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Paper provided by East Asian Bureau of Economic Research in its series Microeconomics Working Papers with number 23046.

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Date of creation: Jan 2009
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Handle: RePEc:eab:microe:23046
Contact details of provider: Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
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  1. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
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  3. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-52, January.
  4. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212 Elsevier.
  5. Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
  6. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
  7. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August.
  8. Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
  9. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  10. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
  11. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
  12. Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis.
  13. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
  14. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
  15. Tripathi, Gautam, 2000. "Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 139-142, February.
  16. R.W. Bailey & V.B. Hall & Peter C.B. Phillips, 1980. "A Model of Output, Employment, Capital Formation and Inflation," Cowles Foundation Discussion Papers 552, Cowles Foundation for Research in Economics, Yale University.
  17. Bergstrom, A. R., 1985. "The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models," Econometric Theory, Cambridge University Press, vol. 1(03), pages 369-385, December.
  18. repec:cup:cbooks:9780521875493 is not listed on IDEAS
  19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  20. Bergstrom, A. R., 1985. "The Estimation of Nonparametric Functions in a Hilbert Space," Econometric Theory, Cambridge University Press, vol. 1(01), pages 7-26, April.
  21. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(03), pages 350-373, December.
  22. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  23. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  24. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 251-289.
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  26. Phillips, P. C. B., 1973. "The problem of identification in finite parameter continuous time models," Journal of Econometrics, Elsevier, vol. 1(4), pages 351-362, December.
  27. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  28. Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 131-138, February.
  29. Phillips, P C B, 1991. "Error Correction and Long-Run Equilibrium in Continuous Time," Econometrica, Econometric Society, vol. 59(4), pages 967-80, July.
  30. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
  31. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  32. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
  33. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
  34. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-09, March.
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  36. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
  37. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
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