IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v30y2014i04p894-922_00.html
   My bibliography  Save this article

Nonstationary Nonlinearity: A Survey On Peter Phillips’S Contributions With A New Perspective

Author

Listed:
  • Park, Joon Y.

Abstract

In this paper, we provide a survey of Peter Phillips’s works on the econometrics for models with nonstationary nonlinearity, and some of the extensions that were made possible due to his original contributions. Parametric and nonparametric models are considered in both discrete time and continuous time setups. Although some of the asymptotics in the paper are applicable more generally for a wide variety of nonstationary models, we mainly analyze models with nonstationary processes that allow for the functional limit theory with limit processes having well defined local times.

Suggested Citation

  • Park, Joon Y., 2014. "Nonstationary Nonlinearity: A Survey On Peter Phillips’S Contributions With A New Perspective," Econometric Theory, Cambridge University Press, vol. 30(4), pages 894-922, August.
    • Handle: RePEc:cup:etheor:v:30:y:2014:i:04:p:894-922_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466613000510/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jiang, Bibo & Lu, Ye & Park, Joon Y., 2020. "Testing for Stationarity at High Frequency," Journal of Econometrics, Elsevier, vol. 215(2), pages 341-374.
    2. Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
    3. YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:30:y:2014:i:04:p:894-922_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.