Discussion Paper # 2011 - 05 Linear Nonstationary Models - A Review of the Work of

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. An earlier version of this paper was presented at the special meeting of the New Zealand Econometrics Study Group held at the University of Auckland in March 2008 in honor of Professor P.C.B. Phillips. I am grateful to Professors P.C.B. Phillips, B.E. Hansen and two anonymous referees for their useful comments and suggestions.