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Challenges of Trending Time Series Econometrics. (2004). Phillips, Peter.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:1472.

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Cited: 5

Citations received by this document

Cites: 29

References cited by this document

Cocites: 31

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Is Chinas growing service sector leading to cost disease?. (2006). Qin, Duo.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:17:y:2006:i:3:p:267-287.

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  2. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments. (2006). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1547.

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  3. Economic Transition and Growth. (2005). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1514.

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  4. `Weak` trends for inference and forecasting in finite samples. (2004). Chevillon, Guillaume.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:210.

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  5. HAC Estimation by Automated Regression. (2004). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1470.

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References

References cited by this document

  1. Bai, J. (1998). A note on spurious breaks. Econometric Theory, 14, 663 - 669.

  2. Baxter, M. and R. G. King (1999). Measuring business cycles: approximate bandpass filters for economic time series. The Review of Economics and Statistics, 81, 575-593.

  3. Corbae, D., S. Ouliaris and P. C. B. Phillips (2002). Band Spectral Regression with Trending Data. Econometrica, 70, 1067-1110.

  4. Durlauf, S. N. and P. C. P. Phillips (1988). Trends versus random walks in time series analysis, Econometrica 56, 1333--1354.

  5. Fisher, I. (1930). The Theory of Interest. New York: Macmillan.
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  6. Granger, C. W. J. and P. Newbold (1974). Spurious regressions in econometrics, Journal of Econometrics 74, 111--120.

  7. Hodrick, R. J. and E. C. Prescott (1997). Postwar US business cycles. An empirical investigation. Journal of Money Credit and Banking, 29, 1-16.

  8. Homer, S. A History of Interest Rates. Rutgers University Press: New Jersey. Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231--254.

  9. Keynes, J. M. (1930). A Treatise on Money. Macmillan: New York.
    Paper not yet in RePEc: Add citation now

  10. Marmol, F. (1995). Spurious regression between I(d) processes. Journal of Time Series Analysis, 16, 313-321.

  11. Marmol, F. (1996). Nonsense regressions between integrated processes of different orders. Oxford Bulletin of Economics and Statistics, 58, 525-536.

  12. Marmol, F. (1998). Spurious regression theory with nonstationary fractionally integrated processes. Journal of Econometrics, 84, 233-250.

  13. Nunes, L. C., C. M. Kuan and P. Newbold (1995). Spurious break. Econometric Theory, 11, 736-749.

  14. Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics, Journal of Econometrics 33, 311--340.

  15. Phillips, P. C. B. (1991). Optimal inference in cointegrated systems, Econometrica 59, 283--306.

  16. Phillips, P. C. B. (1998). New Tools for Understanding Spurious Regressions. Econometrica, 66, 1299-1326.

  17. Phillips, P. C. B. (1999): Discrete Fourier Transforms of Fractional Processes, Cowles Foundation Discussion Paper, No. 1243, Yale University.

  18. Phillips, P. C. B. (2001). New Unit Root Asymptotics in the Presence of Deterministic Trends. Journal of Econometrics, 11, 323-353.

  19. Phillips, P. C. B. (2003). Laws and Limits of Econometrics. Economic Journal, 113, C26-C52.

  20. Phillips, P. C. B. and B. E. Hansen (1990). Statistical inference in instrumental variables regression with I(1) processes, Review of Economic Studies 57, 99-- 125.

  21. Phillips, P. C. B. and K. Shimotsu (2004). Local Whittle Estimation in Nonstationary and Unit Root Cases. Annals of Statistics (forthcoming).

  22. Phillips, P. C. B. and S. Ouliaris (1990), Asymptotic properties of residual based tests for cointegration, Econometrica 58, 165--193.

  23. Ploberger, W. and P. C. B. Phillips (2003). Empirical limits for time series econometric models Econometrica, 71, 627-673. .

  24. Schoenberg, , I. J, (1964). Spline functions and the problem of graduation. Proceedings of the National Academy of Sciences, 52, 333-343.
    Paper not yet in RePEc: Add citation now

  25. Shiller R. J. and J. J. Spiegel (1977). The Gibson Paradox and historical movements in real interest rates. Journal of Political Economy, 85, pp. 891-907.

  26. Shimotsu, K. and P. C. B. Phillips (2002). Exact local Whittle estimation of fractional integration. Cowles Foundation Discussion Paper 1367.

  27. Tsay, W.-J. and C. F. Chung (2000). The spurious regression of fractionally integrated processes. Journal of Econometrics, 96, 155-182.

  28. Wahba, G. (1978). Improper priors, spline smoothing, and the problem of guarding against model errors in regression, Journal of the Royal Statistical Society, Series B, 40, 364-372.
    Paper not yet in RePEc: Add citation now
  29. Whittaker, E. T. (1923). On a new method of graduation. Proceedings of the Edinburgh Mathematical Association, 78, 81-89.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Estimation of a level shift in panel data with fractionally integrated errors. (2021). Chang, Seong Yeon.
    In: Economics Letters.
    RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002482.

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  2. A New Test In A Predictive Regression with Structural Breaks. (2018). Chang, Seong Yeon ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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  3. Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2016). Perron, Pierre ; Chang, Seong Yeon.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:4:p:555-574.

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  4. Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2015). Perron, Pierre ; Chang, Seong Yeon.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2015-011.

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  5. A joint test for structural stability and a unit root in autoregressions. (2014). Pitarakis, Jean-Yves.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:577-587.

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  6. Occasional Structural Breaks and Long Memory. (2013). Clive W. J. Granger, ; Hyung, Namwon.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2013:v:14:i:3:granger:hyung.

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  7. Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2013). Perron, Pierre ; Chang, Seong Yeon.
    In: Boston University - Department of Economics - Working Papers Series.
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  8. The dynamics of inflation: a study of a large number of countries. (2012). Wohar, Mark ; Kouretas, Georgios.
    In: Applied Economics.
    RePEc:taf:applec:44:y:2012:i:16:p:2001-2026.

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  9. Breaks or long memory behaviour : an empirical investigation. (2012). Guegan, Dominique ; Charfeddine, Lanouar.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00722032.

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  10. Breaks or long memory behaviour : an empirical investigation. (2012). GUEGAN, Dominique ; Charfeddine, Lanouar.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00722032.

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  11. Joint Detection of Structural Change and Nonstationarity in Autoregressions. (2011). Pitarakis, Jean-Yves.
    In: MPRA Paper.
    RePEc:pra:mprapa:29189.

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  12. Breaks or Long Memory Behaviour : An empirical Investigation. (2009). Guegan, Dominique ; Charfeddine, Lanouar.
    In: Post-Print.
    RePEc:hal:journl:halshs-00377485.

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  13. Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses. (2009). Perron, Pierre ; Kim, Dukpa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:1:p:1-13.

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  14. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:104-119.

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  15. Change-point estimation of nonstationary I(d) processes. (2008). Kuan, Chung-Ming ; Hsu, Yu-Chin.
    In: Economics Letters.
    RePEc:eee:ecolet:v:98:y:2008:i:2:p:115-121.

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  16. Which is the best model for the US inflation rate : a structural changes model or a long memory process ?. (2007). Guegan, Dominique ; Charfeddine, Lanouar.
    In: Post-Print.
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  17. wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence. (2007). Boutahar, Mohamed .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2007:i:3:p:1-10.

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  18. Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process. (2007). Boutahar, Mohamed .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2007:i:38:p:1-11.

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  19. Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process. (2007). Boutahar, Mohamed ; JOUINI, Jamel.
    In: Economics Bulletin.
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  20. wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence. (2007). Boutahar, Mohamed ; JOUINI, Jamel.
    In: Economics Bulletin.
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  21. Change-Point Estimation of Nonstationary I(d) Processes. (2006). Kuan, Chung-Ming ; Hsu, Yu-Chin.
    In: IEAS Working Paper : academic research.
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  22. Challenges of trending time series econometrics. (2005). Phillips, Peter ; Phillips, Peter C. B., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:68:y:2005:i:5:p:401-416.

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  23. Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

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  24. Challenges of Trending Time Series Econometrics. (2004). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1472.

    Full description at Econpapers || Download paper

  25. COMMODITY PRICES AND UNIT ROOT TESTS. (2004). Wang, Dabin ; Tomek, William G..
    In: Working Papers.
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  26. COMMODITY PRICES AND UNIT ROOT TESTS. (2004). Tomek, William G. ; Wang, Dabin .
    In: 2004 Annual meeting, August 1-4, Denver, CO.
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  27. Testing for Structural Changes in the Presence of Long Memory. (2002). Sibbertsen, Philipp ; Krämer, Walter ; Kramer, Walter.
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  28. The Strategic Implications of Setting Border Tax Adjustments. (2002). Wohar, Mark ; Löschel, Andreas ; Kremers, Hans ; Kouretas, Georgios.
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  29. Change point estimation in regressions with I(d) variables. (2001). Hsu, Chih-Chiang .
    In: Economics Letters.
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  30. The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective. (2000). Marriott, John ; Newbold, Paul.
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  31. Occasional Structural Breaks and Long Memory. (1999). Granger, Clive ; Granger,Clive W. J., ; Hyung, Namwon ; Granger, Clive W. J., .
    In: University of California at San Diego, Economics Working Paper Series.
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