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Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips

  • Tanaka, Katsuto
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    The work of Professor P.C.B. Phillips, even if it is focused on the area of linear nonstationary models, is enormous. So it is hard for me to explore the whole of his work in this paper. Therefore I have decided to take up only a few results of his work. The topics chosen here are applications of the martingale approximation and the problem of choosing between stochastic and deterministic trends, which I discuss and, hopefully extend.

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    Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2011-05.

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    Length: 26 p.
    Date of creation: Apr 2011
    Date of revision:
    Handle: RePEc:hit:econdp:2011-05
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    1. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation for Research in Economics, Yale University.
    2. Peter C.B. Phillips, 1998. "New Unit Root Asymptotics in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 1196, Cowles Foundation for Research in Economics, Yale University.
    3. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(03), pages 528-533, December.
    4. Herman J. Bierens, 2000. "Complex Unit Roots and Business Cycles: Are They Real?," Econometric Society World Congress 2000 Contributed Papers 0197, Econometric Society.
    5. Nabeya, Seiji, 2001. "Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree," Econometric Theory, Cambridge University Press, vol. 17(02), pages 357-385, April.
    6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    7. Peter C.B. Phillips, 2004. "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers 1470, Cowles Foundation for Research in Economics, Yale University.
    8. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
    9. Katsuto Tanaka, 2001. ""K"-Asymptotics Associated with Deterministic Trends in Integrated and Near-Integrated Processes," The Japanese Economic Review, Japanese Economic Association, vol. 52(1), pages 35-63.
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