Publication Type

Journal Article

Version

submittedVersion

Publication Date

8-2014

Abstract

Econometric analysis of continuous time models has drawn the attention of Peter Phillips for 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and the associated econometric problems. He has investigated problems from univariate equations to systems of equations, from asymptotic theory to finite sample issues, from parametric models to nonparametric models, from identification 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 three asymptotic distributions in a simple setup. Results indicate that the in-fill asymptotics significantly outperforms the long-span asymptotics and the double asymptotics.

Discipline

Econometrics | Economic Theory

Research Areas

Econometrics

Publication

Econometric Theory

Volume

30

Issue

4

First Page

737

Last Page

774

ISSN

0266-4666

Identifier

10.1017/S0266466613000467

Publisher

Cambridge University Press

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1017/S0266466613000467

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