Publication Type

Working Paper

Version

publishedVersion

Publication Date

11-2009

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 nite sample issues, from parametric models to nonparametric models, from identication 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-ll asymptotics signicantly outperforms the long-span asymptotics.

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

33

Publisher

SMU Economics and Statistics Working Paper Series, No. 21-2009

City or Country

Singapore

Copyright Owner and License

Authors

Comments

Published in Econometric Theory, 2014, https://doi.org/10.1017/S0266466613000467

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