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

  • Jun YU

    ()

    (School of Economics, 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 identifocation 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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Paper provided by Singapore Management University, School of Economics in its series Working Papers with number 21-2009.

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Length: 34 pages
Date of creation: Nov 2009
Date of revision:
Publication status: Published in SMU Economics and Statistics Working Paper Series
Handle: RePEc:siu:wpaper:21-2009
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  22. 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.
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  25. 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.
  26. 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.
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