Econometric Inference in the Vicinity of Unity. 1

By Peter C. B. Phillips. 2009

108 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bcf4e65dd3bf903c30d8aced83fd4696c857f722

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Citations in the corpus

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (2014, unknown): “The reader is referred toMagdalinos and Phillips (2009) for another IV approach to estimating cointegrated systems with roots in the vicinity of unity.”
Instrumental variable and variable addition based inference in predictive regressions (2015, methodology): “Finally, ∆−d ∗ + x[rT ] being driven by vt, G(r), is independent of Wu and Wv. 4.”
Predictive quantile regression with persistent covariates: IVX-QR approach (2015, methodology): “This Section reviews a new ltering method, IVX ltering (Magdalinos and Phillips, 2009).”
On Confidence Intervals for Autoregressive Roots and Predictive Regression (2012, methodology): “The Q test can be modified by using a confidence interval for ρ that is based on a centred statistic such as (25), as in Mikusheva (2007), rather than a unit root test statistic.”
Robust econometric inference for stock return predictability (2011, unknown): “…processes, with ci in (3) being large in absolute value (Phillips 1987), or, more formally, as belonging to the class P(iii) of near-stationary processes established by Phillips and Magdalinos (2007) and extended to multivariate systems of regression equations by Magdalinos and Phillips (2009).”
Predictive regression under various degrees of persistence and robust long-horizon regression (2013, methodology): “Magdalinos and Phillips (2009b) recently developed a new framework of extended IV procedures (IVX) that enables robust chi-square testing for a wider class of persistent regressors.”