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Detecting Financial Collapse and Ballooning Sovereign Risk

Phillips, Peter C. B. - 2018

abrupt and broadly sustained collapses. The model and asymptotic theory developed in the present paper together explain this …

Persistent link: https://www.econbiz.de/10012932855

Real Time Monitoring of Asset Markets : Bubbles and Crises

Phillips, Peter C. B. - 2018

While each ﬁnancial crisis has its own characteristics, there is now widespread recognition that crises arising from sources such as ﬁnancial speculation and excessive credit creation do inflict harm on the real economy. Detecting speculative market conditions and ballooning credit risk in...

Persistent link: https://www.econbiz.de/10012906699

Financial Bubble Implosion

Phillips, Peter C. B.; Shi, Shuping - 2014

. Consistency of the dating estimators is established and the limit theory addresses new complications arising from the alternative …

Persistent link: https://www.econbiz.de/10014140129

Dating the Timeline of Financial Bubbles During the Subprime Crisis

Phillips, Peter C. B. - 2013

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent...

Persistent link: https://www.econbiz.de/10013094322

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C. B. - 2009

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … correct specification but the variance of the limit distribution is larger. Some applications of the limit theory to non …

Persistent link: https://www.econbiz.de/10014207414

Indirect Inference for Dynamic Panel Models

Gourieroux, Christian - 2013

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in...

Persistent link: https://www.econbiz.de/10012754433

Cointegrating Rank Selection in Models with Time-Varying Variance

Cheng, Xu - 2009

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Persistent link: https://www.econbiz.de/10012765272

Bootstrapping I(1) Data

Phillips, Peter C. B. - 2009

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null

Persistent link: https://www.econbiz.de/10012765275

Boosting the Hodrick-Prescott Filter

Phillips, Peter C. B. - 2019

economic theory or prior trend speciﬁcation. Like all nonparametric methods, the HP ﬁlter depends critically on a tuning … limit theory to show that the boosted HP ﬁlter asymptotically recovers trend mechanisms that involve unit root processes …

Persistent link: https://www.econbiz.de/10012863611

Hybrid Stochastic Local Unit Roots

Lieberman, Offer - 2018

theory and asymptotic expansions for the process and document how inference in LUR and STUR autoregressions is affected …

Persistent link: https://www.econbiz.de/10012931700