UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Zhijie Xiao

Econometric Theory, 2014, vol. 30, issue 4, 775-814

Abstract: Peter C. B. Phillips has made fundamental contributions to unit root econometrics. This paper provides a selective review of Peter’s contribution to unit roots, with a focus on unit root asymptotics, unit root tests, and testing for stationarity against the unit root alternative. The discussion puts a relatively heavier weight on Peter’s most recent work.

Date: 2014
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