P
Peter C.B. Phillips
Researcher at Singapore Management University
Publications - 752
Citations - 81553
Peter C.B. Phillips is an academic researcher from Singapore Management University. The author has contributed to research in topics: Estimator & Unit root. The author has an hindex of 99, co-authored 735 publications receiving 73883 citations. Previous affiliations of Peter C.B. Phillips include University of Essex & University of Southern California.
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Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
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Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
TL;DR: In this paper, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
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Statistical Inference in Instrumental Variables Regression with I(1) Processes
TL;DR: In this paper, the authors study the asymptotic properties of instrumental variable estimates of multivariate cointegrating regressions and allow for deterministic and stochastic regressors as well as quite general deterministic processes in the data generating mechanism.
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Time series regression with a unit root
TL;DR: In this paper, it is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. But, the results of this paper are restricted to the unit root case.
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Asymptotic Properties of Residual Based Tests for Cointegration
Peter C.B. Phillips,Sam Ouliaris +1 more
TL;DR: In this paper, an asymptotic theory for residual based tests for cointegration is developed and the power properties of the test are also studied, and the tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under co-integration.