Browsing Τμήμα Οικονομικών / Department of Economics by Author "Phillips, Peter C. B."
Now showing items 1-7 of 7
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Article
Dynamic misspecification in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. (2012)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
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Book
Dynamic misspecification in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. (2009)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances ...
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Book
Non-linearity induced weak instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2012)
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Article
Nonlinearity Induced Weak Instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
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Article
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...
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Book
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2013)
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Book
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2012)