Search Results - "Phillips, C. B"

TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 by Phillips, Peter C. B., Shi, Shuping, Yu, Jun

“…Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time…”
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TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL-TIME DETECTORS by Phillips, Peter C. B., Shi, Shuping, Yu, Jun

“…This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International…”
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BOOSTING: WHY YOU CAN USE THE HP FILTER by Phillips, Peter C. B., Shi, Zhentao

“…We propose a procedure of iterating the HP filter to produce a smarter smoothing device, called the boosted HP (bHP) filter, based on L2‐boosting in machine…”
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Transition Modeling and Econometric Convergence Tests by Phillips, Peter C. B., Sul, Donggyu

“…A new panel data model is proposed to represent the behavior of economies in transition, allowing for a wide range of possible time paths and individual…”
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Economic transition and growth by Phillips, Peter C. B., Sul, Donggyu

“…Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological…”
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BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER by Phillips, Peter C. B., Jin, Sainan

“…Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is…”
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Dating the timeline of financial bubbles during the subprime crisis by Phillips, Peter C. B, Yu, Jun

“…A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The…”
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FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION by Phillips, Peter C.B., Shi, Shu-Ping

“…Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may…”
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Diagnosing housing fever with an econometric thermometer by Shi, Shuping, Phillips, Peter C.B.

“…Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict…”
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Exact Local Whittle Estimation of Fractional Integration by Shimotsu, Katsumi, Peter C. B. Phillips

“…An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that…”
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Bedform segregation and locking increase storage of natural and synthetic particles in rivers by Dallmann, J., Phillips, C. B., Teitelbaum, Y., Saavedra Cifuentes, Edwin Y., Sund, N., Schumer, R., Arnon, S., Packman, A. I.

“…While the ecological significance of hyporheic exchange and fine particle transport in rivers is well established, these processes are generally considered…”
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Econometric estimates of Earth’s transient climate sensitivity by Phillips, Peter C.B., Leirvik, Thomas, Storelvmo, Trude

“…How sensitive is Earth’s climate to a given increase in atmospheric greenhouse gas (GHG) concentrations? This long-standing question in climate science was…”
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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing by Sun, Yixiao, Phillips, Peter C. B., Jin, Sainan

“…This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard…”
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A SPECIFICATION TEST FOR NONLINEAR NONSTATIONARY MODELS by Wang, Qiying, Phillips, Peter C. B.

“…We provide a limit theory for a general class of kernel smoothed Ustatistics that may be used for specification testing in time series regression with…”
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Predictive regression under various degrees of persistence and robust long-horizon regression by Phillips, Peter C.B., Lee, Ji Hyung

“…The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a…”
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Renewable fuels via catalytic hydrodeoxygenation by Choudhary, T.V., Phillips, C.B.

“…[Display omitted] ► HDO of triglyceride based feeds: stand-alone and co-processing. ► HDO of bio-oils from high pressure liquefaction and pyrolysis process. ►…”
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Linear Regression Limit Theory for Nonstationary Panel Data by Phillips, Peter C. B., Moon, Hyungsik R.

“…This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The limit…”
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Nonparametric predictive regression by Kasparis, Ioannis, Andreou, Elena, Phillips, Peter C.B.

“…A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or…”
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Dynamics and mechanics of bed-load tracer particles by Phillips, C. B, Jerolmack, D. J

“…Understanding the mechanics of bed load at the flood scale is necessary to link hydrology to landscape evolution. Here we report on observations of the…”
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Robust econometric inference with mixed integrated and mildly explosive regressors by Phillips, Peter C.B., Lee, Ji Hyung

“…This paper explores in several prototypical models a convenient inference procedure for nonstationary variable regression that enables robust chi-square…”
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