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Challenges of trending time series econometrics · Study

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ArticleChallenges of trending time series econometrics

Peter C.B. Phillips2005

Article2005

Challenges of trending time series econometrics

Peter C.B. Phillips

59 citations·0/0 files stored·Mathematics and Computers in Simulation

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Complex Systems and Time Series Analysis

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References

1988Statistical analysis of cointegration vectors 1997Postwar U.S. Business Cycles: An Empirical Investigation 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1990Asymptotic Properties of Residual Based Tests for Cointegration 1986Understanding spurious regressions in econometrics 1971A Treatise on Money 1991Optimal Inference in Cointegrated Systems

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2010A review on singular spectrum analysis for economic and financial time series 2005HAC ESTIMATION BY AUTOMATED REGRESSION 2020BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER 2023Stock return predictability and cyclical movements in valuation ratios 2013Optimal estimation of cointegrated systems with irrelevant instruments 1996NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS

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1994The asymptotics of single-equation cointegration regressions with I(1) and I(2) variablesarticle · 6 shared references 1996Time-Series-Based Econometricsbook · 6 shared references 2012Econometric Modelling with Time Series: Specification, Estimation and Testingarticle · 6 shared references 2010The Mysteries of Trendpreprint · 6 shared references 1993Testing for a Unit Rootchapter · 5 shared references 1994Chapter 47 Vector autoregressions and cointegrationchapter · 5 shared references

Details

Year2005

Typearticle

Published2005-03-22

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations59

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.matcom.2005.02.010

openalex_workW2151018546

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2009COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE

2010The Mysteries of Trend