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

Published online by Cambridge University Press:  10 March 2014

Katsuto Tanaka
Katsuto Tanaka*
Affiliation:
Hitotsubashi University
*
*Address correspondence to Katsuto Tanaka, Department of Economics Hitotsubashi University Kunitachi, Tokyo 186-8601 Japan; e-mail: tanaka@stat.hit-u.ac.jp.
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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.

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 4 , August 2014 , pp. 815 - 838
Copyright
Copyright © Cambridge University Press 2014 

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