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

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  • Tanaka, Katsuto
  • 田中, 勝人

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  • Tanaka, Katsuto & 田中, 勝人, 2011. "Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips," Discussion Papers 2011-05, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2011-05
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    File URL: https://hit-u.repo.nii.ac.jp/record/2054892/files/070econDP11-05.pdf
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    References listed on IDEAS

    as
    1. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
    2. Phillips, Peter C.B., 2005. "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, vol. 21(1), pages 116-142, February.
    3. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
    4. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    5. Bierens, Herman J., 2001. "Complex Unit Roots And Business Cycles: Are They Real?," Econometric Theory, Cambridge University Press, vol. 17(5), pages 962-983, October.
    6. Nabeya, Seiji, 2001. "Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree," Econometric Theory, Cambridge University Press, vol. 17(2), pages 357-385, April.
    7. 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, March.
    8. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
    9. Juha Ahtola & George C. Tiao, 1987. "Distributions Of Least Squares Estimators Of Autoregressive Parameters For A Process With Complex Roots On The Unit Circle," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 1-14, January.
    10. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    11. Phillips, Peter C. B., 2002. "New unit root asymptotics in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 111(2), pages 323-353, December.
    12. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(3), pages 528-533, December.
    Full references (including those not matched with items on IDEAS)

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