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Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results

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  • Jun YU

    (School of Economics, Singapore Management University)

Abstract

Econometric analysis of continuous time models has drawn the attention of Peter Phillips for nearly 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and econometric problems, from univariate equations to systems of equations, from asymptotic theory to finite sample issues, from parametric models to nonparametric models, from identifocation problems to estimation and inference problems, from stationary models to nonstationary and nearly nonstationary models. This paper provides an overview of Peter Phillips' contributions in the continuous time econometrics literature. We review the problems that have been tackled by him, outline the main techniques suggested by him, and discuss the main results obtained by him. Based on his early work, we compare the performance of two asymptotic distributions in a simple setup. Results indicate that the in-fill asymptotics significantly outperforms the long-span asymptotics.

Suggested Citation

  • Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
    • Handle: RePEc:siu:wpaper:21-2009
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    3. Tayanagi, Toshikazu & 田柳, 俊和 & Kurozumi, Eiji & 黒住, 英司, 2022. "In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time," Discussion Papers 2022-03, Graduate School of Economics, Hitotsubashi University.
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    6. Yiu Lim Lui & Weilin Xiao & Jun Yu, 2022. "The Grid Bootstrap for Continuous Time Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1390-1402, June.
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    8. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    9. Emma M. Iglesias & Garry D. A. Phillips, 2020. "Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 357-364, March.

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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