REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS

By Peter C. B. Phillips. Econometric Theory, 2007

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A low-dimension portmanteau test for non-linearity (2010, background): “…first, their increasing dimensionality withn; secondly, the potentially high collinearity between powers of regressors that are slowly changing (see Phillips, 2007, for a time series analogue); and third, the possibility that the second derivative is not the source of the departure from linearity.”
Mildly explosive autoregression under weak and strong dependence (2012, methodology): “BGT, Seneta (1976) and Korevaar (2004) o¤er a detailed discussion of slow and regular variation.”
Transition Modeling and Econometric Convergence Tests (2007, methodology): “The approach has been used regularly in empirical work in time series macroeconomics since Hodrick and Prescott (1982/1997). method (Phillips, 2005).”
Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects, forthcoming (2012, background): “But there is also work on evaporating trends (Phillips, 2007) and econometric convergence testing (Phillips and Sul, 2007, 2009).”
Folklore Theorems, Implicit Maps, and Indirect Inference (2012, background): “…orders, such as in systems with cointegrated regressors (Park and Phillips, 1988; Phillips, 1988), systems with slowly varying trend regressors or nonlinear trends (Phillips, 2007; Pollard and Radchenko, 2006), and systems with co-explosive processes (Phillips and Magdalinos, 2008; Nielsen, 2009).”