Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations

Peter Phillips

No 1219, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed and extended. The methods are illustrated in some empirical applications and simulations. The empirical applications include macroeconomic data on inflation, financial data on exchange rates and political opinion poll data. It is shown how the methods can be used to measure empirical hazard rates for inflation and deflation. Empirical estimates based on historical US data over the last 60 years indicate that the predominant inflation risks are at low levels (2-6%) and low two-digit levels (10-12%), and that there is also a significant risk of deflation around the -1% level.

Keywords: Descriptive statistics; hazard rate; kernel estimate; soujourn time; spatial density; spatial moments; unit root nonstationarity (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1999-06
Note: CFP 1023.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in of Applied Econometrics (2001), 16(3): 389-413

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d12/d1219.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Descriptive econometrics for non-stationary time series with empirical illustrations (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1219

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd (cowles@yale.edu).