Descriptive econometrics for non-stationary time series with empirical illustrations

Journal of Applied Econometrics

Volumn 16, Issue 3, 2001, Pages 389-413

  Phillips, Peter C B ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035608759     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.600     Document Type: Article

References (28)

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3. Bosq D. 1998. Nonparametric Statistics for Stochastic Processes (2nd edn). Springer: New York.
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6. Espasa A, Sargan JD. 1977. The spectral estimation of simultaneous equation systems with lagged endogeneous variables. International Economic Review 18: 583-605.
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9. Härdle W, Linton O. 1994. Applied nonparametric methods. In The Handbook of Econometrics (Vol. IV), McFadden DF, Eagle RF III (eds). North-Holland: Amsterdam.
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12. Pesaran MH, Ruge-Murcia FJ. 1999. Analysis of exchange-rate target zones using a limited dependent rational expectations model with jumps. Journal of Business and Economic Statistics 17: 50-66.
13. Phillips PCB. 1986. Understanding spurious regressions in econometrics. Journal of Econometrics 33: 311-340.
14. Phillips PCB. 1987. Time series regression with a unit root. Econometrica 55: 277-301.
15. Phillips PCB. 1988. Multiple regression with integrated processes. In Statistical Inference from Stochastic Processes, Contemporary Mathematics, Prabha NV (ed.). 80: 79-106.
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17. Phillips PCB. 1998b. New tools for understanding spurious regressions. Econometrica 66: 1299-1326.
18. Phillips, Solo. 1992. Asymptotics for Linear processes. Annals of Statistics 20: 971-1001.
19. Phillips PCB, Park JY. 1998. Nonstationary density estimation and kernel autoregression. Cowles Foundation Discussion Paper No. 1181, Yale University.
20. Revuz D, Yor M. 1994. Continuous Martingales and Brownian Motion (2nd edn). Springer-Verlag: New York.
21. Sargan JD. 1953. An approximate treatment of the properties of the correlogram and peridogram. Journal of the Royal Statistical Society, Series B 15: 140-152.
22. Sargan JD. 1958. The estimation of economic relationships using instrumental variables. Econometrica 26: 393-415.
23. Sargan JD. 1959. The estimation of relationships with autocorrelated residuals by the use of the instrumental variables. Journal of the Royal Statistical Society, Series B 21: 91-105.
24. Silverman BW. 1986. Density Estimation for Statistics and Data Analysis. Chapman and Hall: London.
25. Sims CA. 1980. Macroeconomics and reality. Econometrica 48: 1-48.
26. Svensson LEO. 1992. An interpretation of recent research on exchange rate target zones. Journal of Economic Perspectives 6: 119-144.
27. Tyurin K, Phillips PCB. 1999. The occupation density of fractional Brownian motion and some of its applications. Yale University, mimeo.
28. Geman D, Horowitz J. 1980. Occupation densities. Annals of Probability 8: 1-67.