LINEAR NONSTATIONARY MODELS—A REVIEW OF THE WORK OF PROFESSOR P.C.B. PHILLIPS

Katsuto Tanaka

Econometric Theory, 2014, vol. 30, issue 4, 815-838

Abstract: The work of Professor P.C.B. Phillips, even if it is focused on the area of linear nonstationary models, is enormous. So it is hard for me to explore the whole of his work in this paper. Therefore, I have decided to take up only a few results of his work. The topics chosen here are applications of the martingale approximation and the problem of choosing between stochastic and deterministic trends, which I discuss and, hopefully, extend.

Date: 2014
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