Peter C. B. Phillips
Names
| first: |
Peter |
| middle: |
C. B. |
| last: |
Phillips |
Identifer
Contact
Affiliations
-
Singapore Management University
/ School of Economics (weight: 34%)
-
Yale University
/ Cowles Foundation for Research in Economics (weight: 33%)
-
University of Auckland
/ Business School
/ Department of Economics (weight: 33%)
Research profile
author of:
- Semiparametric Estimation in Simultaneous Equations of Time Series Models (RePEc:adl:wpaper:2010-26)
by Jiti Gao & Peter C. B. Phillips - Edmond Malinvaud - an Economist's Econometrician (RePEc:adr:anecst:y:2017:i:125-126:p:135-151)
by Peter C. B. Phillips - The Biosafety Protocol And International Trade In Genetically Modified Organisms (RePEc:ags:catrcp:12893)
by Kerr, William A. & Phillips, Peter W.B. - Boosting: Why You Can Use the HP Filter (RePEc:arx:papers:1905.00175)
by Peter C. B. Phillips & Zhentao Shi - Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (RePEc:arx:papers:2005.11967)
by Liang Jiang & Xiaobin Liu & Peter C. B. Phillips & Yichong Zhang - Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (RePEc:arx:papers:2105.14752)
by Liang Jiang & Peter C. B. Phillips & Yubo Tao & Yichong Zhang - Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems (RePEc:arx:papers:2108.03486)
by Igor L. Kheifets & Peter C. B. Phillips - The boosted HP filter is more general than you might think (RePEc:arx:papers:2209.09810)
by Ziwei Mei & Peter C. B. Phillips & Zhentao Shi - Panel Data Models with Time-Varying Latent Group Structures (RePEc:arx:papers:2307.15863)
by Yiren Wang & Peter C B Phillips & Liangjun Su - Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets (RePEc:att:wimass:9208)
by Loretan, M. & Phillips, P.C.B. - Prewhitening Bias in HAC Estimation (RePEc:auc:wpaper:141)
by Sul, Donggyu & Phillips, Peter & Choi, Chi-Young - Discrete Fourier Transforms of Fractional Processes August (RePEc:auc:wpaper:149)
by Phillips, Peter - Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand (RePEc:auc:wpaper:161)
by Phillips, Peter & Yu, Jun - Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence (RePEc:auc:wpaper:177)
by Phillips, Peter & Sul, Donggyu - Forecasting New Zealand's Real GDP (RePEc:auc:wpaper:186)
by Schiff, Aaron & Phillips, Peter - Jacknifing Bond Option Prices (RePEc:auc:wpaper:187)
by Yu, Jun & Phillips, Peter - Unknown item RePEc:auc:wpaper:194 (paper)
- New Unit Root Asymptotics in the Presence of Deterministic Trends (RePEc:auc:wpaper:196)
by Phillips, Peter - The Elusive Empirical Shadow of Growth Convergence (RePEc:auc:wpaper:197)
by Phillips, Peter & Sul, Donggyu - Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres (RePEc:auc:wpaper:25259)
by Greenaway-McGrevy, Ryan & Phillips, Peter - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:202-208)
by Phillips, Peter C.B. & Yu, Jun - Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:96-114)
by Hong, Seung Hyun & Phillips, Peter C. B. - Infinite Density at the Median and the Typical Shape of Stock Return Distributions (RePEc:bes:jnlbes:v:29:i:2:y:2011:p:282-294)
by Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B. - Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (RePEc:bes:jnlbes:v:29:i:4:y:2011:p:518-528)
by Xu, Ke-Li & Phillips, Peter C. B. - Econometric Analysis of Fisher's Equation (RePEc:bla:ajecsc:v:64:y:2005:i:1:p:125-168)
by Peter C. B. Phillips - Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer (RePEc:bla:ausecr:v:56:y:2023:i:3:p:357-362)
by Shuping Shi & Peter C. B. Phillips - Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits (RePEc:bla:canjag:v:64:y:2016:i:4:p:717-738)
by Simona Lubieniechi & Hayley Hesseln & Peter Phillips & Stuart Smyth - Unknown item RePEc:bla:ecorec:v:64:y:1988:i:187:p:344-59 (article)
- Reflections on Econometric Methodology (RePEc:bla:ecorec:v:64:y:1988:i:4:p:344-359)
by P.C.B. Phillips - A Primer on Unit Root Testing (RePEc:bla:jecsur:v:12:y:1998:i:5:p:423-470)
by Peter C. B. Phillips & Zhijie Xiao - Unknown item RePEc:bla:jecsur:v:12:y:1998:i:5:p:423-69 (article)
- Diagnosing housing fever with an econometric thermometer (RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186)
by Shuping Shi & Peter C.B. Phillips - Reflections on the Day (RePEc:bla:jecsur:v:8:y:1994:i:3:p:311-16)
by Phillips, Peter C B - Pooled Log Periodogram Regression (RePEc:bla:jtsera:v:23:y:2002:i:1:p:57-93)
by Katsumi Shimotsu & Peter C. B. Phillips - Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra (RePEc:bla:jtsera:v:25:y:2004:i:5:p:733-753)
by Offer Lieberman & Peter C. B. Phillips - Uniform Limit Theory for Stationary Autoregression (RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60)
by Liudas Giraitis & Peter C. B. Phillips - Inference in Autoregression under Heteroskedasticity (RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308)
by Peter C. B. Phillips & Ke‐Li Xu - Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions (RePEc:bla:jtsera:v:35:y:2014:i:6:p:592-623)
by Offer Lieberman & Peter C. B. Phillips - Boundary Limit Theory for Functional Local to Unity Regression (RePEc:bla:jtsera:v:39:y:2018:i:4:p:523-562)
by Anna Bykhovskaya & Peter C. B. Phillips - Change Detection and the Causal Impact of the Yield Curve (RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987)
by Shuping Shi & Peter C. B. Phillips & Stan Hurn - LM Tests for a Unit Root in the Presence of Deterministic Trends (RePEc:bla:obuest:v:54:y:1992:i:3:p:257-87)
by Schmidt, Peter & Phillips, C B Peter - Unknown item RePEc:bla:obuest:v:61:y:1999:i:0:p:711-47 (article)
- An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional (RePEc:bla:obuest:v:65:y:2003:i:s1:p:877-890)
by Werner Ploberger & Peter C. B. Phillips - Prewhitening Bias in HAC Estimation (RePEc:bla:obuest:v:67:y:2005:i:4:p:517-546)
by Donggyu Sul & Peter C. B. Phillips & Chi‐Young Choi - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour (RePEc:bla:obuest:v:76:y:2014:i:3:p:315-333)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - Detecting Financial Collapse and Ballooning Sovereign Risk (RePEc:bla:obuest:v:81:y:2019:i:6:p:1336-1361)
by Peter C. B. Phillips & Shuping Shi - Labeling Demands, Coexistence and the Challenges for Trade (RePEc:bpj:bjafio:v:15:y:2017:i:1:p:10:n:1)
by Smyth Stuart & Kerr William & Phillips Peter - Unknown item RePEc:cdl:ucsbec:1-99 (paper)
- Unknown item RePEc:cdl:ucsbec:17-98 (paper)
- Unknown item RePEc:cdl:ucsbec:18-98 (paper)
- Unknown item RePEc:cdl:ucsbec:6-99 (paper)
- Unknown item RePEc:cdl:ucsbec:9-99 (paper)
- Maximum Likelihood Estimation in Panels with Incidental Trends (RePEc:cdl:ucsbec:qt3f55r5mj)
by Moon, Hyungsik & Phillips, Peter C.B. - Estimation of Autoregressive Roots near Unity using Panel Data (RePEc:cdl:ucsbec:qt7fd8x80m)
by Moon, Hyungsik R. & Phillips, Peter C.B. - How to Estimate Autoregressive Roots Near Unity (RePEc:cdl:ucsbec:qt87p2z8zx)
by Phillips, Peter C.B. & Moon, Hyungsik R. - Unknown item RePEc:cdl:ucsbec:wp1-99 (paper)
- Unknown item RePEc:cdl:ucsbec:wp6-99 (paper)
- Unknown item RePEc:cdl:ucsbec:wp9-99 (paper)
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ (RePEc:cdl:ucsdec:qt16b3j2hd)
by Sun, Yixiao X & Phillips, Peter C. B. & Jin, Sainan - Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation (RePEc:cdl:ucsdec:qt6d36x00z)
by Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan - Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation (RePEc:cdl:ucsdec:qt6mf9q2rt)
by Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan - A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family (RePEc:cje:issued:v:18:y:1985:i:1:p:58-65)
by P. C. B. Phillips - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:cla:levrem:321307000000000805)
by Peter C.B. Phillips & Jun Yu - Nonparametric Predictive Regression (RePEc:cpr:ceprdp:9570)
by Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B. - Bayes Methods and Unit Roots (RePEc:cup:etheor:v:10:y:1994:i:3-4:p:453-460_00)
by Phillips, Peter C.B. & Van Dijk, Herman K. - Posterior Odds Testing for a Unit Root with Data-Based Model Selection (RePEc:cup:etheor:v:10:y:1994:i:3-4:p:774-808_00)
by Phillips, Peter C.B. & Ploberger, Werner - Time Series Regression with Mixtures of Integrated Processes (RePEc:cup:etheor:v:11:y:1995:i:05:p:1033-1094_00)
by Chang, Yoosoon & Phillips, Peter C.B. - Efficient IV Estimation in Nonstationary Regression (RePEc:cup:etheor:v:11:y:1995:i:05:p:1095-1130_00)
by Kitamura, Yuichi & Phillips, Peter C.B. - Trending Multiple Time Series: Editor's Introduction (RePEc:cup:etheor:v:11:y:1995:i:05:p:811-817_00)
by Phillips, Peter C.B. - Robust Nonstationary Regression (RePEc:cup:etheor:v:11:y:1995:i:05:p:912-951_00)
by Phillips, Peter C.B. - Asymptotics For Nonlinear Transformations Of Integrated Time Series (RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15)
by Park, Joon Y. & Phillips, Peter C.B. - Efficient Detrending In Cointegrating Regression (RePEc:cup:etheor:v:15:y:1999:i:04:p:519-548_15)
by Xiao, Zhijie & Phillips, Peter C.B. - Estimation Of Autoregressive Roots Near Unity Using Panel Data (RePEc:cup:etheor:v:16:y:2000:i:06:p:927-997_16)
by Moon, Hyungsik R. & Phillips, Peter C.B. - How To Estimate Autoregressive Roots Near Unity (RePEc:cup:etheor:v:17:y:2001:i:01:p:29-69_17)
by Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie - In Memory Of John Denis Sargan (RePEc:cup:etheor:v:19:y:2003:i:03:p:417-422_19)
by Phillips, Peter C.B. - Vision And Influence In Econometrics: John Denis Sargan (RePEc:cup:etheor:v:19:y:2003:i:03:p:495-511_19)
by Phillips, Peter C.B. - 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution (RePEc:cup:etheor:v:19:y:2003:i:04:p:692-701_23)
by Phillips, Peter C.B. & Sun, Yixiao - The 2000–2002 Tjalling C. Koopmans Econometric Theory Prize (RePEc:cup:etheor:v:19:y:2003:i:06:p:1201-1202_19)
by Phillips, Peter C.B. - Expansions For The Distribution Of The Maximum Likelihood Estimator Of The Fractional Difference Parameter (RePEc:cup:etheor:v:20:y:2004:i:03:p:464-484_20)
by Lieberman, Offer & Phillips, Peter C.B. - Hac Estimation By Automated Regression (RePEc:cup:etheor:v:21:y:2005:i:01:p:116-142_05)
by Phillips, Peter C.B. - Automated Discovery In Econometrics (RePEc:cup:etheor:v:21:y:2005:i:01:p:3-20_05)
by Phillips, Peter C.B. - A Remark On Bimodality And Weak Instrumentation In Structural Equation Estimation (RePEc:cup:etheor:v:22:y:2006:i:05:p:947-960_06)
by Phillips, Peter C.B. - On The Breitung Test For Panel Unit Roots And Local Asymptotic Power (RePEc:cup:etheor:v:22:y:2006:i:06:p:1179-1190_06)
by Moon, H.R. & Perron, B. & Phillips, P.C.B. - Regression With Slowly Varying Regressors And Nonlinear Trends (RePEc:cup:etheor:v:23:y:2007:i:04:p:557-614_07)
by Phillips, Peter C.B. - Long-Run Covariance Matrices For Fractionally Integrated Processes (RePEc:cup:etheor:v:23:y:2007:i:06:p:1233-1247_07)
by Phillips, Peter C.B. & Kim, Chang Sik - Gaussian Inference In Ar(1) Time Series With Or Without A Unit Root (RePEc:cup:etheor:v:24:y:2008:i:03:p:631-650_08)
by Phillips, Peter C.B. & Han, Chirok - Limit Theory For Explosively Cointegrated Systems (RePEc:cup:etheor:v:24:y:2008:i:04:p:865-887_08)
by Phillips, Peter C.B. & Magdalinos, Tassos - Regression Asymptotics Using Martingale Convergence Methods (RePEc:cup:etheor:v:24:y:2008:i:04:p:888-947_08)
by Ibragimov, Rustam & Phillips, Peter C.B. - Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors (RePEc:cup:etheor:v:25:y:2009:i:02:p:482-526_09)
by Magdalinos, Tassos & Phillips, Peter C.B. - Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression (RePEc:cup:etheor:v:25:y:2009:i:03:p:710-738_09)
by Wang, Qiying & Phillips, Peter C.B. - Exact Distribution Theory In Structural Estimation With An Identity (RePEc:cup:etheor:v:25:y:2009:i:04:p:958-984_09)
by Phillips, Peter C.B. - Local Limit Theory And Spurious Nonparametric Regression (RePEc:cup:etheor:v:25:y:2009:i:06:p:1466-1497_99)
by Phillips, Peter C.B. - Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past (RePEc:cup:etheor:v:25:y:2009:i:06:p:1682-1715_99)
by Phillips, Peter C.B. & Magdalinos, Tassos - Gmm Estimation For Dynamic Panels With Fixed Effects And Strong Instruments At Unity (RePEc:cup:etheor:v:26:y:2010:i:01:p:119-151_09)
by Han, Chirok & Phillips, Peter C. B. - Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities (RePEc:cup:etheor:v:26:y:2010:i:03:p:953-962_99)
by Cho, Jin Seo & Han, Chirok & Phillips, Peter C.B. - Asymptotic Theory For Zero Energy Functionals With Nonparametric Regression Applications (RePEc:cup:etheor:v:27:y:2011:i:02:p:235-259_00)
by Wang, Qiying & Phillips, Peter C.B. - Uniform Asymptotic Normality In Stationary And Unit Root Autoregression (RePEc:cup:etheor:v:27:y:2011:i:06:p:1117-1151_00)
by Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu - Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels (RePEc:cup:etheor:v:27:y:2011:i:06:p:1320-1368_00)
by Sun, Yixiao & Phillips, Peter C.B. & Jin, Sainan - Nonlinear Cointegrating Regression Under Weak Identification (RePEc:cup:etheor:v:28:y:2012:i:03:p:509-547_00)
by Shi, Xiaoxia & Phillips, Peter C.B. - Inconsistent Var Regression With Common Explosive Roots (RePEc:cup:etheor:v:29:y:2013:i:04:p:808-837_00)
by Phillips, Peter C.B. & Magdalinos, Tassos - Asymptotic Expansions in Nonstationary Vector Autoregressions (RePEc:cup:etheor:v:3:y:1987:i:01:p:45-68_00)
by Phillips, P. C. B. - Special Issue Of Econometric Theory On Seta 2010: Editors’ Introduction (RePEc:cup:etheor:v:30:y:2014:i:01:p:1-2_00)
by Phillips, Peter C.B. & Yu, Jun - X-Differencing And Dynamic Panel Model Estimation (RePEc:cup:etheor:v:30:y:2014:i:01:p:201-251_00)
by Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu - Unit Roots In Life—A Graduate Student Story (RePEc:cup:etheor:v:30:y:2014:i:04:p:719-736_00)
by Phillips, Peter C. B. - Automated Estimation Of Vector Error Correction Models (RePEc:cup:etheor:v:31:y:2015:i:03:p:581-646_00)
by Liao, Zhipeng & Phillips, Peter C. B. - Nonparametric Cointegrating Regression With Endogeneity And Long Memory (RePEc:cup:etheor:v:32:y:2016:i:02:p:359-401_00)
by Wang, Qiying & Phillips, Peter C. B. - Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression (RePEc:cup:etheor:v:32:y:2016:i:03:p:655-685_00)
by Li, Degui & Phillips, Peter C. B. & Gao, Jiti - Weak Convergence To Stochastic Integrals For Econometric Applications (RePEc:cup:etheor:v:32:y:2016:i:06:p:1349-1375_00)
by Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying - Dynamic Panel Anderson-Hsiao Estimation With Roots Near Unity (RePEc:cup:etheor:v:34:y:2018:i:02:p:253-276_00)
by Phillips, Peter C. B. - Financial Bubble Implosion And Reverse Regression (RePEc:cup:etheor:v:34:y:2018:i:04:p:705-753_00)
by Phillips, Peter C.B. & Shi, Shu-Ping - Iv And Gmm Inference In Endogenous Stochastic Unit Root Models (RePEc:cup:etheor:v:34:y:2018:i:05:p:1065-1100_00)
by Lieberman, Offer & Phillips, Peter C.B. - Latent Variable Nonparametric Cointegrating Regression (RePEc:cup:etheor:v:37:y:2021:i:1:p:138-168_4)
by Wang, Qiying & Phillips, Peter C.B. & Kasparis, Ioannis - Nonlinear Cointegrating Power Function Regression With Endogeneity (RePEc:cup:etheor:v:37:y:2021:i:6:p:1173-1213_4)
by Hu, Zhishui & Phillips, Peter C.B. & Wang, Qiying - Robust Tests For White Noise And Cross-Correlation (RePEc:cup:etheor:v:38:y:2022:i:5:p:913-941_4)
by Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B. - Continuously Updated Indirect Inference In Heteroskedastic Spatial Models (RePEc:cup:etheor:v:39:y:2023:i:1:p:107-145_4)
by Kyriacou, Maria & Phillips, Peter C.B. & Rossi, Francesca - Estimation And Inference With Near Unit Roots (RePEc:cup:etheor:v:39:y:2023:i:2:p:221-263_1)
by Phillips, Peter C.B. - Limit Theory For Locally Flat Functional Coefficient Regression (RePEc:cup:etheor:v:39:y:2023:i:5:p:900-949_2)
by Phillips, Peter C. B. & Wang, Ying - Optimal Bandwidth Selection In Nonlinear Cointegrating Regression (RePEc:cup:etheor:v:39:y:2023:i:6:p:1325-1337_9)
by Wang, Qiying & Phillips, Peter C. B. - Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 (RePEc:cup:etheor:v:4:y:1988:i:01:p:1-34_01)
by Phillips, P.C.B. & Choi, I. & Schochet, P.Z. - Statistical Inference in Regressions with Integrated Processes: Part 1 (RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01)
by Park, Joon Y. & Phillips, Peter C.B. - Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations (RePEc:cup:etheor:v:4:y:1988:i:03:p:528-533_01)
by Phillips, P.C.B. - Statistical Inference in Regressions with Integrated Processes: Part 2 (RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01)
by Park, Joon Y. & Phillips, Peter C.B. - Partially Identified Econometric Models (RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01)
by Phillips, P.C.B. - Time Series Regression With a Unit Root and Infinite-Variance Errors (RePEc:cup:etheor:v:6:y:1990:i:01:p:44-62_00)
by Phillips, P.C.B. - A Shortcut to LAD Estimator Asymptotics (RePEc:cup:etheor:v:7:y:1991:i:04:p:450-463_00)
by Phillips, P.C.B. - A Forecasting Model for the United Kingdom Invisible Account (RePEc:cup:nierev:v:69:y:1974:i::p:58-76_6)
by Phillips, P. - The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence (RePEc:cwl:cwldpp:1000)
by Peter C.B. Phillips - Vector Autoregression and Causality: A Theoretical Overview and Simulation Study (RePEc:cwl:cwldpp:1001)
by Hiro Y. Toda & Peter C.B. Phillips - A Bayesian Analysis of Trend Determination in Economic Time Series (RePEc:cwl:cwldpp:1002)
by Eric Zivot & Peter C.B. Phillips - Unidentified Components in Reduced Rank Regression Estimation of ECM's (RePEc:cwl:cwldpp:1003)
by Peter C.B. Phillips - Posterior Odds Testing for a Unit Root with Data-Based Model Selection (RePEc:cwl:cwldpp:1017)
by Peter C.B. Phillips & Werner Ploberger - Bayesian Model Selection and Prediction with Empirical Applications (RePEc:cwl:cwldpp:1023)
by Peter C.B. Phillips - Bayes Models and Forecasts of Australian Macroeconomic Time Series (RePEc:cwl:cwldpp:1024)
by Peter C.B. Phillips - Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy (RePEc:cwl:cwldpp:1025)
by Peter C.B. Phillips - Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics (RePEc:cwl:cwldpp:1038)
by Peter C.B. Phillips & Werner Ploberger - Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models (RePEc:cwl:cwldpp:1039)
by Peter C.B. Phillips - Hyper-Consistent Estimation of a Unit Root in Time Series Regression (RePEc:cwl:cwldpp:1040)
by Peter C.B. Phillips - Fully Modified Least Squares and Vector Autoregression (RePEc:cwl:cwldpp:1047)
by Peter C.B. Phillips - Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984 (RePEc:cwl:cwldpp:1055)
by Peter C.B. Phillips & James W. McFarland - Robust Nonstationary Regression (RePEc:cwl:cwldpp:1064)
by Peter C.B. Phillips - Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's (RePEc:cwl:cwldpp:1080)
by Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon - Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future (RePEc:cwl:cwldpp:1081)
by Peter C.B. Phillips - Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments (RePEc:cwl:cwldpp:1082)
by Yuichi Kitamura & Peter C.B. Phillips - Model Determination and Macroeconomic Activity (RePEc:cwl:cwldpp:1083)
by Peter C.B. Phillips - Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's (RePEc:cwl:cwldpp:1102)
by Peter C.B. Phillips - Automated Forecasts of Asia-Pacific Economic Activity (RePEc:cwl:cwldpp:1103)
by Peter C.B. Phillips - Unit Root Tests (RePEc:cwl:cwldpp:1104)
by Peter C.B. Phillips - Efficiency Gains from Quasi-Differencing Under Nonstationarity (RePEc:cwl:cwldpp:1134)
by Peter C.B. Phillips & Chin Chin Lee - Spurious Regression Unmasked (RePEc:cwl:cwldpp:1135)
by Peter C.B. Phillips - Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior (RePEc:cwl:cwldpp:1137)
by John C. Chao & Peter C.B. Phillips - Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure (RePEc:cwl:cwldpp:1155)
by John C. Chao & Peter C.B. Phillips - An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy (RePEc:cwl:cwldpp:1161)
by Zhijie Xiao & Peter C.B. Phillips - Regressions for Partially Identified, Cointegrated Simultaneous Equations (RePEc:cwl:cwldpp:1162)
by In Choi & Peter C.B. Phillips - Band Spectral Regression with Trending Data (RePEc:cwl:cwldpp:1163)
by Dean Corbae & Sam Ouliaris & Peter C.B. Phillips - Econometric Analysis of Fisher's Equation (RePEc:cwl:cwldpp:1180)
by Peter C.B. Phillips - Nonstationary Density Estimation and Kernel Autoregression (RePEc:cwl:cwldpp:1181)
by Peter C.B. Phillips & Joon Y. Park - Asymptotics for Nonlinear Transformations of Integrated Time Series (RePEc:cwl:cwldpp:1182)
by Peter C.B. Phillips & Joon Y. Park - A Primer on Unit Root Testing (RePEc:cwl:cwldpp:1189)
by Peter C.B. Phillips & Zhijie Xiao - Nonlinear Regressions with Integrated Time Series (RePEc:cwl:cwldpp:1190)
by Joon Y. Park & Peter C.B. Phillips - How to Estimate Autoregressive Roots Near Unity (RePEc:cwl:cwldpp:1191)
by Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao - Higher Order Approximations for Wald Statistics in Cointegrating Regressions (RePEc:cwl:cwldpp:1192)
by Zhijie Xiao & Peter C.B. Phillips - New Unit Root Asymptotics in the Presence of Deterministic Trends (RePEc:cwl:cwldpp:1196)
by Peter C.B. Phillips - Rissanen's Theorem and Econometric Time Series (RePEc:cwl:cwldpp:1197)
by Werner Ploberger & Peter C.B. Phillips - Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables (RePEc:cwl:cwldpp:1198)
by John C. Chao & Peter C.B. Phillips - Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations (RePEc:cwl:cwldpp:1219)
by Peter C.B. Phillips - Empirical Limits for Time Series Econometric Models (RePEc:cwl:cwldpp:1220)
by Peter C.B. Phillips & Werner Ploberger - Nonstationary Panel Data Analysis: An Overview of Some Recent Developments (RePEc:cwl:cwldpp:1221)
by Peter C.B. Phillips & Hyungsik R. Moon - Linear Regression Limit Theory for Nonstationary Panel Data (RePEc:cwl:cwldpp:1222)
by Peter C.B. Phillips & Hyungsik R. Moon - Nonstationary Binary Choice (RePEc:cwl:cwldpp:1223)
by Peter C.B. Phillips & Joon Y. Park - Estimation of Autoregressive Roots Near Unity Using Panel Data (RePEc:cwl:cwldpp:1224)
by Hyungsik R. Moon & Peter C.B. Phillips - Discrete Fourier Transforms of Fractional Processes (RePEc:cwl:cwldpp:1243)
by Peter C.B. Phillips - Unit Root Log Periodogram Regression (RePEc:cwl:cwldpp:1244)
by Peter C.B. Phillips - Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors (RePEc:cwl:cwldpp:1245)
by Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips - Maximum Likelihood Estimation in Panels with Incidental Trends (RePEc:cwl:cwldpp:1246)
by Hyungsik R. Moon & Peter C.B. Phillips - Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges (RePEc:cwl:cwldpp:1264)
by Peter C.B. Phillips - Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case (RePEc:cwl:cwldpp:1265)
by Katsumi Shimotsu & Peter C.B. Phillips - Local Whittle Estimation in Nonstationary and Unit Root Cases (RePEc:cwl:cwldpp:1266)
by Katsumi Shimotsu & Peter C.B. Phillips - Pooled Log Periodogram Regression (RePEc:cwl:cwldpp:1267)
by Katsumi Shimotsu & Peter C.B. Phillips - GMM Estimation of Autoregressive Roots Near Unity with Panel Data (RePEc:cwl:cwldpp:1274)
by Hyungsik Roger Moon & Peter C.B. Phillips - Forecasting New Zealand's Real GDP (RePEc:cwl:cwldpp:1278)
by Aaron F. Schiff & Peter C.B. Phillips - Structural Change in Tail Behavior and the Asian Financial Crisis (RePEc:cwl:cwldpp:1283)
by Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips - Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter (RePEc:cwl:cwldpp:1308)
by Offer Lieberman & Peter C.B. Phillips - Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate (RePEc:cwl:cwldpp:1309)
by Jun Yu & Peter C.B. Phillips - Regression with Slowly Varying Regressors (RePEc:cwl:cwldpp:1310)
by Peter C.B. Phillips - Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach (RePEc:cwl:cwldpp:1311)
by Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips - A CUSUM Test for Cointegration Using Regression Residuals (RePEc:cwl:cwldpp:1329)
by Zhijie Xiao & Peter C.B. Phillips - Bootstrapping Spurious Regression (RePEc:cwl:cwldpp:1330)
by Peter C.B. Phillips - Nonlinear Instrumental Variable Estimation of an Autoregression (RePEc:cwl:cwldpp:1331)
by Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang - Fully Nonparametric Estimation of Scalar Diffusion Models (RePEc:cwl:cwldpp:1332)
by Federico M. Bandi & Peter C.B. Phillips - Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence (RePEc:cwl:cwldpp:1362)
by Peter C.B.Phillips & Donggyu Sul - Efficient Regression in Time Series Partial Linear Models (RePEc:cwl:cwldpp:1363)
by Peter C.B. Phillips & Binbin Guo & Zhijie Xiao - Nonstationary Discrete Choice (RePEc:cwl:cwldpp:1364)
by Ling Hu & Peter C.B. Phillips - Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach (RePEc:cwl:cwldpp:1365)
by Ling Hu & Peter C.B. Phillips - Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes (RePEc:cwl:cwldpp:1366)
by Yixiao Sun & Peter C.B. Phillips - Exact Local Whittle Estimation of Fractional Integration (RePEc:cwl:cwldpp:1367)
by Katsumi Shimotsu & Peter C.B. Phillips - The KPSS Test with Seasonal Dummies (RePEc:cwl:cwldpp:1373)
by Sainan Jin & Peter C.B. Phillips - Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra (RePEc:cwl:cwldpp:1374)
by Offer Lieberman & Peter C.B. Phillips - GMM Estimation of Autoregressive Roots Near Unity with Panel Data (RePEc:cwl:cwldpp:1390)
by Hyungsik Roger Moon & Peter C.B. Phillips - Fractional Brownian Motion as a Differentiable Generalized Gaussian Process (RePEc:cwl:cwldpp:1391)
by Victoria Zinde-Walsh & Peter C.B. Phillips - Jackknifing Bond Option Prices (RePEc:cwl:cwldpp:1392)
by Peter C.B. Phillips & Jun Yu - Vision and Influence in Econometrics: John Denis Sargan (RePEc:cwl:cwldpp:1393)
by Peter C.B. Phillips - Laws and Limits of Econometrics (RePEc:cwl:cwldpp:1397)
by Peter C.B. Phillips - The Elusive Empirical Shadow of Growth Convergence (RePEc:cwl:cwldpp:1398)
by Peter C.B. Phillips & Donggyu Sul - Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation (RePEc:cwl:cwldpp:1407)
by Peter C.B. Phillips & Yixiao Sun & Sainan Jin - Incidental Trends and the Power of Panel Unit Root Tests (RePEc:cwl:cwldpp:1435)
by Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips - Prewhitening Bias in HAC Estimation (RePEc:cwl:cwldpp:1436)
by Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young - Long Run Variance Estimation Using Steep Origin Kernels without Truncation (RePEc:cwl:cwldpp:1437)
by Peter C.B. Phillips & Yixiao Sun & Sainan Jin - Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence (RePEc:cwl:cwldpp:1438)
by Peter C.B. Phillips & Donggyu Sul - Automated Discovery in Econometrics (RePEc:cwl:cwldpp:1469)
by Peter C.B. Phillips - HAC Estimation by Automated Regression (RePEc:cwl:cwldpp:1470)
by Peter C.B. Phillips - Limit Theory for Moderate Deviations from a Unit Root (RePEc:cwl:cwldpp:1471)
by Peter C.B. Phillips & Tassos Magdalinos - Challenges of Trending Time Series Econometrics (RePEc:cwl:cwldpp:1472)
by Peter C.B. Phillips - Regression Asymptotics Using Martingale Convergence Methods (RePEc:cwl:cwldpp:1473)
by Rustam Ibragimov & Peter C.B. Phillips - Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter (RePEc:cwl:cwldpp:1474)
by Offer Lieberman & Peter C.B. Phillips - Uniform Limit Theory for Stationary Autoregression (RePEc:cwl:cwldpp:1475)
by Liudas Giraitis & Peter C.B. Phillips - Improved HAR Inference (RePEc:cwl:cwldpp:1513)
by Peter C.B. Phillips & Yixiao Sun & Sainan Jin - Economic Transition and Growth (RePEc:cwl:cwldpp:1514)
by Peter C.B. Phillips & Donggyu Sul - GMM with Many Moment Conditions (RePEc:cwl:cwldpp:1515)
by Chirok Han & Peter C.B. Phillips - Nonstationary Discrete Choice: A Corrigendum and Addendum (RePEc:cwl:cwldpp:1516)
by Peter C.B. Phillips & Sainan Jin & Ling Hu - Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence (RePEc:cwl:cwldpp:1517)
by Peter C.B. Phillips & Tassos Magadalinos - A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (RePEc:cwl:cwldpp:1522)
by Federico M. Bandi & Peter C.B. Phillips - A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations (RePEc:cwl:cwldpp:1523)
by Peter C.B. Phillips & Jun Yu - A New Approach to Robust Inference in Cointegration (RePEc:cwl:cwldpp:1538)
by Sainan Jin & Peter C.B. Phillips & Yixiao Sun - A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation (RePEc:cwl:cwldpp:1540)
by Peter C. B. Phillips - Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity (RePEc:cwl:cwldpp:1541)
by Seung Hyun Hong & Peter C. B. Phillips - Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing (RePEc:cwl:cwldpp:1545)
by Yixiao Sun & Peter C. B. Phillips & Sainan Jin - Gaussian Inference in AR(1) Time Series with or without a Unit Root (RePEc:cwl:cwldpp:1546)
by Peter C. B. Phillips & Chirok Han - Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (RePEc:cwl:cwldpp:1547)
by Peter C. B. Phillips - Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution (RePEc:cwl:cwldpp:1548)
by Nicholas Z. Muller & Peter C. B. Phillips - Refined Inference on Long Memory in Realized Volatility (RePEc:cwl:cwldpp:1549)
by Offer Lieberman & Peter C. B. Phillips - Indirect Inference for Dynamic Panel Models (RePEc:cwl:cwldpp:1550)
by Christian Gourieroux & Peter C. B. Phillips & Jun Yu - Adaptive Estimation of Autoregressive Models with Time-Varying Variances (RePEc:cwl:cwldpp:1585)
by Ke-Li Xu & Peter C.B. Phillips - Adaptive Estimation of Autoregressive Models with Time-Varying Variances (RePEc:cwl:cwldpp:1585r)
by Ke-Li Xu & Peter C.B. Phillips - A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process (RePEc:cwl:cwldpp:1586)
by Offer Lieberman & Peter C.B. Phillips - Log Periodogram Regression: The Nonstationary Case (RePEc:cwl:cwldpp:1587)
by Chang Sik Kim & Peter C.B. Phillips - Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression (RePEc:cwl:cwldpp:1594)
by Qiying Wang & Peter C.B. Phillips - Transition Modeling and Econometric Convergence Tests (RePEc:cwl:cwldpp:1595)
by Peter C.B. Phillips & Donggyu Sul - Simulation-based Estimation of Contingent-claims Prices (RePEc:cwl:cwldpp:1596)
by Peter C.B. Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:cwl:cwldpp:1597)
by Peter C.B. Phillips & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:cwl:cwldpp:1598)
by Peter C.B. Phillips & Jun Yu - GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity (RePEc:cwl:cwldpp:1599)
by Chirok Han & Peter C.B. Phillips - Long Run Covariance Matrices for Fractionally Integrated Processes (RePEc:cwl:cwldpp:1611)
by Peter C.B. Phillips & Chang Sik Kim - Tilted Nonparametric Estimation of Volatility Functions (RePEc:cwl:cwldpp:1612)
by Peter C.B. Phillips & Ke-Li Xu - Exact Distribution Theory in Structural Estimation with an Identity (RePEc:cwl:cwldpp:1613)
by Peter C.B. Phillips - Limit Theory for Explosively Cointegrated Systems (RePEc:cwl:cwldpp:1614)
by Peter C.B. Phillips & Tassos Magdalinos - Unit Root Model Selection (RePEc:cwl:cwldpp:1653)
by Peter C.B. Phillips - Local Limit Theory and Spurious Nonparametric Regression (RePEc:cwl:cwldpp:1654)
by Peter C.B. Phillips - Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past (RePEc:cwl:cwldpp:1655)
by Peter C.B. Phillips & Tassos Magdalinos - Long Memory and Long Run Variation (RePEc:cwl:cwldpp:1656)
by Peter C.B. Phillips - Structural Nonparametric Cointegrating Regression (RePEc:cwl:cwldpp:1657)
by Qiying Wang & Peter C.B. Phillips - Semiparametric Cointegrating Rank Selection (RePEc:cwl:cwldpp:1658)
by Xu Cheng & Peter C.B. Phillips - Smoothing Local-to-Moderate Unit Root Theory (RePEc:cwl:cwldpp:1659)
by Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis - Optimal Bandwidth Choice for Interval Estimation in GMM Regression (RePEc:cwl:cwldpp:1661)
by Yixiao Sun & Peter C.B. Phillips - Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications (RePEc:cwl:cwldpp:1687)
by Qiying Wang & Peter C. B. Phillips - Cointegrating Rank Selection in Models with Time-Varying Variance (RePEc:cwl:cwldpp:1688)
by Xu Cheng & Peter C. B. Phillips - Bootstrapping I(1) Data (RePEc:cwl:cwldpp:1689)
by Peter C. B. Phillips - Mean and Autocovariance Function Estimation Near the Boundary of Stationarity (RePEc:cwl:cwldpp:1690)
by Liudas Giraitis & Peter C. B. Phillips - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:cwl:cwldpp:1699)
by Peter C.B. Phillips & Yangru Wu & Jun Yu - Dynamic Misspecification in Nonparametric Cointegrating Regression (RePEc:cwl:cwldpp:1700)
by Ioannis Kasparis & Peter C.B. Phillips - Infinite Density at the Median and the Typical Shape of Stock Return Distributions (RePEc:cwl:cwldpp:1701)
by Chirok Han & Jin Seo Cho & Peter C.B. Phillips - Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor (RePEc:cwl:cwldpp:1702)
by Peter C.B. Phillips & Liangjun Su - LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (RePEc:cwl:cwldpp:1703)
by Jin Seo Cho & Chirok Han & Peter C.B. Phillips - A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression (RePEc:cwl:cwldpp:1704)
by Peter C.B. Phillips & Liangjun Su - Uniform Asymptotic Normality in Stationary and Unit Root Autoregression (RePEc:cwl:cwldpp:1746)
by Chirok Han & Peter C.B. Phillips & Donggyu Sul - X-Differencing and Dynamic Panel Model Estimation (RePEc:cwl:cwldpp:1747)
by Chirok Han & Peter C.B. Phillips & Donggyu Sul - Optimal Estimation under Nonstandard Conditions (RePEc:cwl:cwldpp:1748)
by Werner Ploberger & Peter C.B. Phillips - Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels (RePEc:cwl:cwldpp:1749)
by Yixiao Sun & Peter C.B. Phillips & Sainan Jin - Two New Zealand Pioneer Econometricians (RePEc:cwl:cwldpp:1750)
by Peter C.B. Phillips - Nonlinear Cointegrating Regression under Weak Identification (RePEc:cwl:cwldpp:1768)
by Xiaoxia Shi & Peter C. B. Phillips - Semiparametric Estimation in Time Series of Simultaneous Equations (RePEc:cwl:cwldpp:1769)
by Jiti Gao & Peter C. B. Phillips - Dating the Timeline of Financial Bubbles during the Subprime Crisis (RePEc:cwl:cwldpp:1770)
by Peter C. B. Phillips & Jun Yu - The Mysteries of Trend (RePEc:cwl:cwldpp:1771)
by Peter C. B. Phillips - Inconsistent VAR Regression with Common Explosive Roots (RePEc:cwl:cwldpp:1777)
by Peter C.B. Phillips & Tassos Magdalinos - Bias in Estimating Multivariate and Univariate Diffusions (RePEc:cwl:cwldpp:1778)
by Xiaohu Wang & Peter C.B. Phillips & Jun Yu - Specification Testing for Nonlinear Cointegrating Regression (RePEc:cwl:cwldpp:1779)
by Qiying Wang & Peter C.B. Phillips - First Difference MLE and Dynamic Panel Estimation (RePEc:cwl:cwldpp:1780)
by Chirok Han & Peter C.B. Phillips - Folklore Theorems, Implicit Maps and New Unit Root Limit Theory (RePEc:cwl:cwldpp:1781)
by Peter C.B. Phillips - Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects (RePEc:cwl:cwldpp:1832)
by Yonghui Zhang & Liangjun Su & Peter C.B. Phillips - Meritocracy Voting: Measuring the Unmeasurable (RePEc:cwl:cwldpp:1833)
by Peter C.B. Phillips - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:cwl:cwldpp:1842)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles (RePEc:cwl:cwldpp:1843)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (RePEc:cwl:cwldpp:1844)
by Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor - VARs with Mixed Roots Near Unity (RePEc:cwl:cwldpp:1845)
by Peter C.B. Phillips & Ji Hyung Lee - Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications (RePEc:cwl:cwldpp:1871)
by Peter C.B. Phillips & Zhipeng Liao - Non-linearity Induced Weak Instrumentation (RePEc:cwl:cwldpp:1872)
by Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos - Automated Estimation of Vector Error Correction Models (RePEc:cwl:cwldpp:1873)
by Zhipeng Liao & Peter C.B. Phillips - Nonparametric Predictive Regression (RePEc:cwl:cwldpp:1878)
by Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips - On Confidence Intervals for Autoregressive Roots and Predictive Regression (RePEc:cwl:cwldpp:1879)
by Peter C.B. Phillips - Estimating Smooth Structural Change in Cointegration Models (RePEc:cwl:cwldpp:1910)
by Peter C.B. Phillips & Degui Li & Jiti Gao - Functional Coefficient Nonstationary Regression (RePEc:cwl:cwldpp:1911)
by Jiti Gao & Peter C.B. Phillips - Testing the Martingale Hypothesis (RePEc:cwl:cwldpp:1912)
by Peter C.B. Phillips & Sainan Jin - Unit Roots in Life -- A Graduate Student Story (RePEc:cwl:cwldpp:1913)
by Peter C.B. Phillips - Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (RePEc:cwl:cwldpp:1914)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles: Limit Theory of Real Time Detectors (RePEc:cwl:cwldpp:1915)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions (RePEc:cwl:cwldpp:1916)
by Offer Lieberman & Peter C.B. Phillips - Testing Linearity Using Power Transforms of Regressors (RePEc:cwl:cwldpp:1917)
by Yae In Baek & Jin Seo Cho & Peter C.B. Phillips - Model Selection in the Presence of Incidental Parameters (RePEc:cwl:cwldpp:1919)
by Yoonseok Lee & Peter C.B. Phillips - Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression (RePEc:cwl:cwldpp:1929)
by Degui Li & Peter C.B. Phillips & Jiti Gao - Dynamic Panel GMM with Near Unity (RePEc:cwl:cwldpp:1962)
by Peter C.B. Phillips - True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression (RePEc:cwl:cwldpp:1963)
by Peter C.B. Phillips & Chirok Han - A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing (RePEc:cwl:cwldpp:1964)
by Offer Lieberman & Peter C.B. Phillips - Identifying Latent Structures in Panel Data (RePEc:cwl:cwldpp:1965)
by Liangjun Su & Zhentao Shi & Peter C.B. Phillips - Threshold Regression with Endogeneity (RePEc:cwl:cwldpp:1966)
by Ping Yu & Peter C.B. Phillips - Financial Bubble Implosion (RePEc:cwl:cwldpp:1967)
by Peter C.B. Phillips & Shu-Ping Shi - Restricted Likelihood Ratio Tests in Predictive Regression (RePEc:cwl:cwldpp:1968)
by Peter C.B. Phillips & Ye Chen - A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market (RePEc:cwl:cwldpp:1969)
by Liang Jiang & Peter C.B. Phillips & Jun Yu - Testing Equality of Covariance Matrices via Pythagorean Means (RePEc:cwl:cwldpp:1970)
by Jin Seo Cho & Peter C.B. Phillips - Weak Convergence to Stochastic Integrals for Econometric Applications (RePEc:cwl:cwldpp:1971)
by Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang - Edmond Malinvaud: A Tribute to His Contributions in Econometrics (RePEc:cwl:cwldpp:2002)
by Peter C. B. Phillips - Pitfalls and Possibilities in Predictive Regression (RePEc:cwl:cwldpp:2003)
by Peter C. B. Phillips - Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres (RePEc:cwl:cwldpp:2004)
by Ryan Greenaway-McGrevy & Peter C. B. Phillips - Business Cycles, Trend Elimination, and the HP Filter (RePEc:cwl:cwldpp:2005)
by Peter C. B. Phillips & Sainan Jin - Testing Mean Stability of Heteroskedastic Time Series (RePEc:cwl:cwldpp:2006)
by Violetta Dalla & Liudas Giraitis & Peter C. B. Phillips - Minimum Distance Testing and Top Income Shares in Korea (RePEc:cwl:cwldpp:2007)
by Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips - Inference in Near Singular Regression (RePEc:cwl:cwldpp:2009)
by Peter C. B. Phillips - "Change Detection and the Causal Impact of the Yield Curve (RePEc:cwl:cwldpp:2058)
by Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi - Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship (RePEc:cwl:cwldpp:2059)
by Shu-Ping Shi & Stan Hurn & Peter C. B. Phillips - Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors (RePEc:cwl:cwldpp:2060)
by Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips - IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models (RePEc:cwl:cwldpp:2061)
by Offer Lieberman & Peter C.B. Phillips - Structural Inference from Reduced Forms with Many Instruments (RePEc:cwl:cwldpp:2062)
by Wayne Yuan Gao & Peter C.B. Phillips - Homogeneity Pursuit in Panel Data Models: Theory and Applications (RePEc:cwl:cwldpp:2063)
by Wuyi Wang & Peter C.B. Phillips & Liangjun Su - Uniform Inference in Panel Autoregression (RePEc:cwl:cwldpp:2071)
by John Chao & Peter C.B. Phillips - Weak s- Convergence: Theory and Applications (RePEc:cwl:cwldpp:2072)
by Jianning Kong & Peter C.B. Phillips & Donggyu Sul - Tribute to T. W. Anderson (RePEc:cwl:cwldpp:2081)
by Peter C.B. Phillips - John Denis Sargan at the London School of Economics (RePEc:cwl:cwldpp:2082)
by David F. Hendry & Peter C.B. Phillips - Econometric Measurement of Earth's Transient Climate Sensitivity (RePEc:cwl:cwldpp:2083)
by Thomas Leirvik & Peter C.B. Phillips & Trude Storelvmo - Econometric Measurement of Earth's Transient Climate Sensitivity (RePEc:cwl:cwldpp:2094)
by Peter C.B. Phillips - Point Optimal Testing with Roots That Are Functionally Local to Unity (RePEc:cwl:cwldpp:2107)
by Anna Bykhovskaya & Peter C. B. Phillips - Boundary Limit Theory for Functional Local to Unity Regression (RePEc:cwl:cwldpp:2108)
by Anna Bykhovskaya & Peter C. B. Phillips - Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression (RePEc:cwl:cwldpp:2109)
by Degui Li & Peter C.B. Phillips & Jiti Gao - Detecting Financial Collapse and Ballooning Sovereign Risk (RePEc:cwl:cwldpp:2110)
by Peter C. B. Phillips - Latent Variable Nonparametric Cointegrating Regression (RePEc:cwl:cwldpp:2111)
by Qiying Wang & Peter C.B. Phillips & Ioannis Kasparis - Hybrid Stochastic Local Unit Roots (RePEc:cwl:cwldpp:2113)
by Offer Lieberman & Peter C.B. Phillips - Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (RePEc:cwl:cwldpp:2114)
by Yubo Tao & Peter C.B. Phillips & Jun Yu - Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process (RePEc:cwl:cwldpp:2131)
by Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips - Dynamic Panel Modeling of Climate Change (RePEc:cwl:cwldpp:2150)
by Peter C.B. Phillips - Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices (RePEc:cwl:cwldpp:2151)
by Offer Lieberman & Peter C.B. Phillips - Real Time Monitoring of Asset Markets: Bubbles and Crises (RePEc:cwl:cwldpp:2152)
by Peter C.B. Phillips & Shuping Shi - HAR Testing for Spurious Regression in Trend (RePEc:cwl:cwldpp:2153)
by Peter C.B. Phillips & Yonghui Zhang & Xiaohu Wang - Boosting the Hodrick-Prescott Filter (RePEc:cwl:cwldpp:2192)
by Peter C.B. Phillips & Zhentao Shi - Functional Coefficient Panel Modeling with Communal Smoothing Covariates (RePEc:cwl:cwldpp:2193)
by Peter C.B. Phillips & Ying Wang - Robust Tests for White Noise and Cross-Correlation (RePEc:cwl:cwldpp:2194)
by Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips - Robust Tests for White Noise and Cross-Correlation (RePEc:cwl:cwldpp:2194r)
by Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips - Continuously Updated Indirect Inference in Heteroskedastic Spatial Models (RePEc:cwl:cwldpp:2208)
by Maria Kyriacou & Peter C.B. Phillips & Francesca Rossi - Inference and Specification Testing in Threshold Regression with Endogeneity (RePEc:cwl:cwldpp:2209)
by Ping Yu & Qin Liao & Peter C.B. Phillips - Fully Modified Least Squares for Multicointegrated Systems (RePEc:cwl:cwldpp:2210)
by Igor Kheifets & Peter C.B. Phillips - Nonlinear Cointegrating Power Function Regression with Endogeneity (RePEc:cwl:cwldpp:2211)
by Zhishui Hu & Peter C.B. Phillips & Qiying Wang - Boosting: Why you Can Use the HP Filter (RePEc:cwl:cwldpp:2212)
by Peter C.B. Phillips & Zhentao Shi - Diagnosing Housing Fever with an Econometric Thermometer (RePEc:cwl:cwldpp:2248)
by Shuping Shi & Peter C.B. Phillips - Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (RePEc:cwl:cwldpp:2249)
by Liang Jiang & Xiaobin Liu & Peter C.B. Phillips & Yichong Zhang - When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression (RePEc:cwl:cwldpp:2250)
by Peter C.B. Phillips & Ying Wang - Common Bubble Detection in Large Dimensional Financial Systems (RePEc:cwl:cwldpp:2251)
by Ye Chen & Peter C.B. Phillips & Shuping Shi - High-Dimensional VARs with Common Factors (RePEc:cwl:cwldpp:2252)
by Ke Miao & Peter C.B. Phillips & Liangjun Su - Consistent Misspecification Testing in Spatial Autoregressive Models (RePEc:cwl:cwldpp:2256)
by Jungyoon Lee & Peter C.B. Phillips & Francesca Rossi - Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US (RePEc:cwl:cwldpp:2259)
by Todd Henry & Peter C.B. Phillips - Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (RePEc:cwl:cwldpp:2288)
by Liang Jiang & Xiaobin Liu & Peter C.B. Phillips & Yichong Zhang - Discrete Fourier Transforms of Fractional Processes with Econometric Applications (RePEc:cwl:cwldpp:2303)
by Peter C.B. Phillips - Estimation and Inference with Near Unit Roots (RePEc:cwl:cwldpp:2304)
by Peter C.B. Phillips - Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions (RePEc:cwl:cwldpp:2305)
by Yanbo Liu & Peter C.B. Phillips - On Multicointegration (RePEc:cwl:cwldpp:2306)
by Peter C.B. Phillips & Igor Kheifets - Limit Theory for Locally Flat Functional Coefficient Regression (RePEc:cwl:cwldpp:2307)
by Peter C.B. Phillips & Ying Wang - A Panel Clustering Approach to Analyzing Bubble Behavior (RePEc:cwl:cwldpp:2323)
by Yanbo Liu & Peter C. B. Phillips & Jun Yu - The Impact of Upzoning on Housing Construction in Auckland (RePEc:cwl:cwldpp:2330)
by Ryan Greenaway-McGrevy & Peter C. B. Phillips - Econometric Analysis of Asset Price Bubbles (RePEc:cwl:cwldpp:2331)
by Shuping Shi & Peter C. B. Phillips - Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency (RePEc:cwl:cwldpp:2332)
by Peter C. B. Phillips - An Econometrician amongst Statisticians: T. W. Anderson (RePEc:cwl:cwldpp:2333)
by Peter C. B. Phillips - Weak Identification of Long Memory with Implications for Inference (RePEc:cwl:cwldpp:2334)
by Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu - A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series (RePEc:cwl:cwldpp:2337)
by Qiying Wang & Peter C. B. Phillips - A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series (RePEc:cwl:cwldpp:2337r1)
by Qiying Wang & Peter C. B. Phillips - Boosting the HP Filter for Trending Time Series with Long Range Dependence (RePEc:cwl:cwldpp:2347)
by Eva Biswas & Farzad Sabzikar & Peter C. B. Phillips - The boosted HP filter is more general than you might think (RePEc:cwl:cwldpp:2348)
by Ziwei Mei & Zhentao Shi & Peter C. B. Phillips - Robust Testing for Explosive Behavior with Strongly Dependent Errors (RePEc:cwl:cwldpp:2350)
by Yiu Lim Lui & Jun Yu & Peter C. B. Phillips - Unified Factor Model Estimation and Inference under Short and Long Memory (RePEc:cwl:cwldpp:2351)
by Shuyao Ke & Liangjun Su & Peter C. B. Phillips - Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects (RePEc:cwl:cwldpp:2352)
by Ping Yu & Shengjie Hong & Peter C. B. Phillips - Robust Inference on Correlation under General Heterogeneity (RePEc:cwl:cwldpp:2354)
by Liudas Giraitis & Yufei Li & Peter C.B. Phillips - Panel Data Models with Time-Varying Latent Group Structures (RePEc:cwl:cwldpp:2364)
by Yiren Wang & Peter C. B. Phillips & Liangjun Su - New asymptotics applied to functional coefficient regression and climate sensitivity analysis (RePEc:cwl:cwldpp:2365)
by Qiying Wang & Peter C. B. Phillips & Ying Wang - Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US (RePEc:cwl:cwldpp:2380)
by Lynn Bergeland Morgan & Peter C. B. Phillips & Donggyu Sul - Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer (RePEc:cwl:cwldpp:2381)
by Shuping Shi & Peter C. B. Phillips - Teaching Financial Econometrics to Students Converting to Finance (RePEc:cwl:cwldpp:2397)
by Stan Hurn & Vance Martin & Peter C. B. Phillips & Jun Yu - Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression (RePEc:cwl:cwldpp:2398)
by Ying Wang & Peter C. B. Phillips - Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression (RePEc:cwl:cwldpp:2399)
by Ying Wang & Peter C. B. Phillips & Yundong Tu - Self-weighted Estimation for Local Unit Root Regression with Applications (RePEc:cwl:cwldpp:2400)
by Zhishui Hu & Nan Liu & Peter C. B. Phillips & Qiying Wang - Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries (RePEc:cwl:cwldpp:2409)
by Liudas Giraitis & Fulvia Marotta & Peter C B Phillips - Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments (RePEc:cwl:cwldpp:2410)
by Yixiao Sun & Peter C. B. Phillips & Igor L. Kheifets - GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement (RePEc:cwl:cwldpp:2411)
by Jin Seo Cho & Peter C. B. Phillips - A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression (RePEc:cwl:cwldpp:487)
by Peter C.B. Phillips - A Model of Output, Employment, Capital Formation and Inflation (RePEc:cwl:cwldpp:552)
by R.W. Bailey & V.B. Hall & Peter C.B. Phillips - On a Lemma of Amemiya (RePEc:cwl:cwldpp:560)
by Peter C.B. Phillips - The Characteristic Function of the F Distribution (RePEc:cwl:cwldpp:561)
by Peter C.B. Phillips - Best Uniform Approximation to Probability Densities in Econometrics (RePEc:cwl:cwldpp:562)
by Peter C.B. Phillips - Characteristic Functions and the Tail Behavior of Probability Distributions (RePEc:cwl:cwldpp:567)
by Peter C.B. Phillips - On the Behavior of Inconsistent Instrumental Variable Estimators (RePEc:cwl:cwldpp:568)
by Esfandier Maasoumi & Peter C.B. Phillips - On the Consistency of Non-Linear FIML (RePEc:cwl:cwldpp:573)
by Phillips, Peter C.B. - A New Approach to Small Sample Theory (RePEc:cwl:cwldpp:608)
by Peter C.B. Phillips - Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case (RePEc:cwl:cwldpp:609)
by Peter C.B. Phillips - Small Sample Distribution Theory in Econometric Models of Simultaneous Equations (RePEc:cwl:cwldpp:617)
by Peter C.B. Phillips - Exact Small Sample Theory in the Simultaneous Equations Model (RePEc:cwl:cwldpp:621)
by Peter C.B. Phillips - On the Exact Distribution of LIML (revised and extended, see CFDP 658) (RePEc:cwl:cwldpp:626)
by Peter C.B. Phillips - The Distribution of Matrix Quotients (RePEc:cwl:cwldpp:637)
by Peter C.B. Phillips - Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) (RePEc:cwl:cwldpp:638)
by Peter C.B. Phillips - ERA's: A New Approach to Small Sample Theory (RePEc:cwl:cwldpp:645)
by Peter C.B. Phillips - The Exact Distribution of LIML: I (RePEc:cwl:cwldpp:658)
by Peter C.B. Phillips - The Exact Distribution of LIML: II (RePEc:cwl:cwldpp:663)
by Peter C.B. Phillips - On University Education in Econometrics: Remarks on an Article by Eric R. Sowey (RePEc:cwl:cwldpp:679)
by Peter C.B. Phillips - The Exact Distribution of Zellner's SUR (RePEc:cwl:cwldpp:680)
by Peter C.B. Phillips - The Exact Distribution of Exogenous Variable Coefficient Estimators (RePEc:cwl:cwldpp:681)
by Peter C.B. Phillips - The Exact Distribution of the Stein-Rule Estimator (RePEc:cwl:cwldpp:682)
by Peter C.B. Phillips - Finite Sample Econometrics Using ERA's (RePEc:cwl:cwldpp:683)
by Peter C.B. Phillips - Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's (RePEc:cwl:cwldpp:721)
by Peter C.B. Phillips & R.C. Reiss - The Exact Distribution of the Wald Statistic (RePEc:cwl:cwldpp:722)
by Peter C.B. Phillips - An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2} (RePEc:cwl:cwldpp:723r)
by Peter C.B. Phillips - The Exact Distribution of the Wald Statistic: The Non-Central Case (RePEc:cwl:cwldpp:731)
by Sam Ouliaris & Peter C.B. Phillips - The Distribution of FIML in the Leading Case (RePEc:cwl:cwldpp:739)
by Peter C.B. Phillips - Time Series Regression with a Unit Root (RePEc:cwl:cwldpp:740r)
by Peter C.B. Phillips - Understanding Spurious Regressions in Econometrics (RePEc:cwl:cwldpp:757)
by Peter C.B. Phillips - Asymptotic Expansions in Nonstationary Vector Autoregressions (RePEc:cwl:cwldpp:765)
by Peter C.B. Phillips - Fractional Matrix Calculus and the Distribution of Multivariate Tests (RePEc:cwl:cwldpp:767)
by Peter C.B. Phillips - Multiple Time Series Regression with Integrated Processes (RePEc:cwl:cwldpp:768)
by Peter C.B. Phillips & Steven N. Durlauf - Regression Theory for Near-Integrated Time Series (RePEc:cwl:cwldpp:781r)
by Peter C.B. Phillips - Towards a Unified Asymptotic Theory for Autoregression (RePEc:cwl:cwldpp:782r)
by Peter C.B. Phillips - Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions (RePEc:cwl:cwldpp:786)
by Donald W.K. Andrews & Peter C.B. Phillips - Trends Versus Random Walks in Time Series Analysis (RePEc:cwl:cwldpp:788)
by Steven N. Durlauf & Peter C.B. Phillips - Testing for a Unit Root in Time Series Regression (RePEc:cwl:cwldpp:795r)
by Peter C.B. Phillips & Pierre Perron - Weak Convergence to the Matrix Stochastic Integral BdB (RePEc:cwl:cwldpp:796)
by Peter C.B. Phillips - On the Formulation of Wald Tests of Nonlinear Restrictions (RePEc:cwl:cwldpp:801)
by Peter C.B. Phillips & Joon Y. Park - Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors (RePEc:cwl:cwldpp:802)
by Peter C.B. Phillips & Joon Y. Park - Testing for Cointegration Using Principal Component Measures (RePEc:cwl:cwldpp:809r)
by Peter C.B. Phillips & Sam Ouliaris - Statistical Inference in Regressions with Integrated Processes: Part 1 (RePEc:cwl:cwldpp:811r)
by Peter C.B. Phillips & Joon Y. Park - Statistical Inference in Regressions with Integrated Processes: Part 2 (RePEc:cwl:cwldpp:819r)
by Peter C.B. Phillips & Joon Y. Park - Spherical Matrix Distributions and Cauchy Quotients (RePEc:cwl:cwldpp:823)
by Peter C.B. Phillips - Conditional and Unconditional Statistical Independence (RePEc:cwl:cwldpp:824r)
by Peter C.B. Phillips - Bimodal t-Ratios (RePEc:cwl:cwldpp:842)
by Peter C.B. Phillips & Vassilis A. Hajivassiliou - Partially Identified Econometric Models (RePEc:cwl:cwldpp:845r)
by Peter C.B. Phillips - Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations (RePEc:cwl:cwldpp:846)
by Peter C.B. Phillips - Asymptotic Properties of Residual Based Tests for Cointegration (RePEc:cwl:cwldpp:847r)
by Peter C.B. Phillips & Sam Ouliaris - Multiple Regression with Integrated Time Series (RePEc:cwl:cwldpp:852)
by Peter C.B. Phillips - The Characteristic Function of the Dirichlet and Multivariate F Distributions (RePEc:cwl:cwldpp:865)
by Peter C.B. Phillips - Optimal Inference in Cointegrated Systems (RePEc:cwl:cwldpp:866r)
by Peter C.B. Phillips - Statistical Inference in Instrumental Variables (RePEc:cwl:cwldpp:869r)
by Peter C.B. Phillips & Bruce E. Hansen - Spectral Regression for Cointegrated Time Series (RePEc:cwl:cwldpp:872)
by Peter C.B. Phillips - Testing for a Unit Root in the Presence of a Maintained Trend (RePEc:cwl:cwldpp:880)
by Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park - Estimation and Inference in Models of Cointegration: A Simulation Study (RePEc:cwl:cwldpp:881)
by Peter C.B. Phillips & Bruce E. Hansen - Error Correction and Long Run Equilibrium in Continuous Time (RePEc:cwl:cwldpp:882r)
by Peter C.B. Phillips - A Little Magic with the Cauchy Distribution (RePEc:cwl:cwldpp:886)
by Peter C.B. Phillips - A New Proof of Knight's Theorem on the Cauchy Distribution (RePEc:cwl:cwldpp:887)
by Peter C.B. Phillips - Reflections on Econometric Methodology (RePEc:cwl:cwldpp:893)
by Peter C.B. Phillips - Time Series Regression with a Unit Root and Infinite Variance Errors (RePEc:cwl:cwldpp:897r)
by Peter C.B. Phillips - The Durbin-Watson Ratio Under Infinite Variance Errors (RePEc:cwl:cwldpp:898r)
by Peter C.B. Phillips & Mico Loretan - Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains (RePEc:cwl:cwldpp:899)
by Peter C.B. Phillips & In Choi - Estimating Long Run Economic Equilibria (RePEc:cwl:cwldpp:928)
by Peter C.B. Phillips & Mico Loretan - Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations (RePEc:cwl:cwldpp:929)
by In Choi & Peter C.B. Phillips - Asymptotics for Linear Processes (RePEc:cwl:cwldpp:932)
by Peter C.B. Phillips & Victor Solo - Testing for a Unit Root in the Presence of Deterministic Trends (RePEc:cwl:cwldpp:933)
by Peter C.B. Phillips & Peter Schmidt - Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns (RePEc:cwl:cwldpp:947)
by Peter C.B. Phillips & Mico Loretan - Operational Algebra and Regression t-Tests (RePEc:cwl:cwldpp:948)
by Peter C.B. Phillips - A Shortcut to LAD Estimator Asymptotics (RePEc:cwl:cwldpp:949)
by Peter C.B. Phillips - To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends (RePEc:cwl:cwldpp:950)
by Peter C.B. Phillips - Vector Autoregression and Causality (RePEc:cwl:cwldpp:977)
by Hiro Y. Toda & Peter C.B. Phillips - The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study (RePEc:cwl:cwldpp:978)
by Hiro Y. Toda & Peter C.B. Phillips - Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (RePEc:cwl:cwldpp:979)
by Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt - Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations (RePEc:cwl:cwldpp:980)
by Peter C.B. Phillips & Werner Ploberger - Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum (RePEc:cwl:cwldpp:986)
by Peter C.B. Phillips - A Reexamination of the Consumption Function Using Frequency Domain Regressors (RePEc:cwl:cwldpp:997)
by Dean Corbea & Sam Ouliaris & Peter C.B. Phillips - Unit Roots (RePEc:cwl:cwldpp:998)
by Peter C.B. Phillips - The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models (RePEc:cwl:cwldpp:999)
by Peter C.B. Phillips - Indirect Inference for Dynamic Panel Models (RePEc:eab:develo:22421)
by Christian Gouriéroux & Peter C. B. Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:eab:develo:22471)
by Peter C. B. Phillips & Jun Yu - Comments on “A selective overview of nonparametric methods in financial econometrics†(RePEc:eab:financ:22469)
by Peter C. B. Phillips & Jun Yu - Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde (RePEc:eab:financ:22470)
by Peter C. B. Phillips & Jun Yu - Simulation-based Estimation of Contingent-claims Prices (RePEc:eab:financ:22473)
by Peter C. B. Phillips & Jun Yu - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:eab:financ:23051)
by Peter C. B. Phillips & Jun Yu - A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete (RePEc:eab:macroe:22472)
by Peter C. B. Phillips & Jun Yu - Laws and Limits of Econometrics (RePEc:ecj:econjl:v:113:y:2003:i:486:p:c26-c52)
by Peter C. B. Phillips - The Structural Estimation of a Stochastic Differential Equation System (RePEc:ecm:emetrp:v:40:y:1972:i:6:p:1021-41)
by Phillips, P C B - The Estimation of Some Continuous Time Models (RePEc:ecm:emetrp:v:42:y:1974:i:5:p:803-23)
by Phillips, P C B - The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator (RePEc:ecm:emetrp:v:44:y:1976:i:3:p:449-60)
by Phillips, P C B - Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation (RePEc:ecm:emetrp:v:45:y:1977:i:2:p:463-85)
by Phillips, Peter C B - A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators (RePEc:ecm:emetrp:v:45:y:1977:i:6:p:1517-34)
by Phillips, Peter C B - A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System (RePEc:ecm:emetrp:v:47:y:1979:i:6:p:1527-47)
by Holly, A & Phillips, P C B - The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables (RePEc:ecm:emetrp:v:48:y:1980:i:4:p:861-78)
by Phillips, P C B - On the Consistency of Nonlinear FIML (RePEc:ecm:emetrp:v:50:y:1982:i:5:p:1307-24)
by Phillips, P C B - ERAs: A New Approach to Small Sample Theory (RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1505-25)
by Phillips, Peter C B - The Exact Distribution of the SUR Estimator (RePEc:ecm:emetrp:v:53:y:1985:i:4:p:745-56)
by Phillips, Peter C B - The Exact Distribution of the Wald Statistic (RePEc:ecm:emetrp:v:54:y:1986:i:4:p:881-95)
by Phillips, P C B - Time Series Regression with a Unit Root (RePEc:ecm:emetrp:v:55:y:1987:i:2:p:277-301)
by Phillips, P C B - Regression Theory for Near-Integrated Time Series (RePEc:ecm:emetrp:v:56:y:1988:i:5:p:1021-43)
by Phillips, Peter C B - On the Formulation of Wald Tests of Nonlinear Restrictions (RePEc:ecm:emetrp:v:56:y:1988:i:5:p:1065-83)
by Phillips, Peter C B & Park, Joon Y - Trends versus Random Walks in Time Series Analysis (RePEc:ecm:emetrp:v:56:y:1988:i:6:p:1333-54)
by Durlauf, Steven N & Phillips, Peter C B - Asymptotic Properties of Residual Based Tests for Cointegration (RePEc:ecm:emetrp:v:58:y:1990:i:1:p:165-93)
by Phillips, Peter C B & Ouliaris, S - Optimal Inference in Cointegrated Systems (RePEc:ecm:emetrp:v:59:y:1991:i:2:p:283-306)
by Phillips, P C B - Error Correction and Long-Run Equilibrium in Continuous Time (RePEc:ecm:emetrp:v:59:y:1991:i:4:p:967-80)
by Phillips, P C B - Vector Autoregressions and Causality (RePEc:ecm:emetrp:v:61:y:1993:i:6:p:1367-93)
by Toda, Hiro Y & Phillips, Peter C B - Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models (RePEc:ecm:emetrp:v:62:y:1994:i:1:p:73-93)
by Phillips, Peter C B - Fully Modified Least Squares and Vector Autoregression (RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1023-78)
by Phillips, Peter C B - An Asymptotic Theory of Bayesian Inference for Time Series (RePEc:ecm:emetrp:v:64:y:1996:i:2:p:381-412)
by Phillips, Peter C B & Ploberger, Werner - Econometric Model Determination (RePEc:ecm:emetrp:v:64:y:1996:i:4:p:763-812)
by Phillips, Peter C B - New Tools for Understanding Spurious Regressions (RePEc:ecm:emetrp:v:66:y:1998:i:6:p:1299-1326)
by Peter C. B. Phillips - Linear Regression Limit Theory for Nonstationary Panel Data (RePEc:ecm:emetrp:v:67:y:1999:i:5:p:1057-1112)
by Peter C. B. Phillips & Hyungsik R. Moon - Nonstationary Binary Choice (RePEc:ecm:emetrp:v:68:y:2000:i:5:p:1249-1280)
by Joon Y. Park & Peter C. B. Phillips - Nonlinear Regressions with Integrated Time Series (RePEc:ecm:emetrp:v:69:y:2001:i:1:p:117-61)
by Park, Joon Y & Phillips, Peter C B - Band Spectral Regression with Trending Data (RePEc:ecm:emetrp:v:70:y:2002:i:3:p:1067-1109)
by Dean Corbae & Sam Ouliaris & Peter C. B. Phillips - Fully Nonparametric Estimation of Scalar Diffusion Models (RePEc:ecm:emetrp:v:71:y:2003:i:1:p:241-283)
by Federico M. Bandi & Peter C. B. Phillips - Inference in Arch and Garch Models with Heavy--Tailed Errors (RePEc:ecm:emetrp:v:71:y:2003:i:1:p:285-317)
by Peter Hall & Qiwei Yao - Empirical Limits for Time Series Econometric Models (RePEc:ecm:emetrp:v:71:y:2003:i:2:p:627-673)
by Werner Ploberger & Peter C. B. Phillips - GMM Estimation of Autoregressive Roots Near Unity with Panel Data (RePEc:ecm:emetrp:v:72:y:2004:i:2:p:467-522)
by Hyungsik Roger Moon & Peter C. B. Phillips - GMM with Many Moment Conditions (RePEc:ecm:emetrp:v:74:y:2006:i:1:p:147-192)
by Chirok Han & Peter C. B. Phillips - Transition Modeling and Econometric Convergence Tests (RePEc:ecm:emetrp:v:75:y:2007:i:6:p:1771-1855)
by Peter C. B. Phillips & Donggyu Sul - Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing (RePEc:ecm:emetrp:v:76:y:2008:i:1:p:175-194)
by Yixiao Sun & Peter C. B. Phillips & Sainan Jin - Structural Nonparametric Cointegrating Regression (RePEc:ecm:emetrp:v:77:y:2009:i:6:p:1901-1948)
by Qiying Wang & Peter C. B. Phillips - Folklore Theorems, Implicit Maps, and Indirect Inference (RePEc:ecm:emetrp:v:80:y:2012:i:1:p:425-454)
by Peter C. B. Phillips - GMM with Many Moment Conditions (RePEc:ecm:feam04:525)
by Peter C. B. Phillips & Chirok Han - Jackknifing Bond Option Prices (RePEc:ecm:nawm04:115)
by Jun Yu & Peter Phillips - Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation (RePEc:ecm:nawm04:299)
by Sainan Jin & Peter Phillips & Yixiao Sun - Dating the timeline of financial bubbles during the subprime crisis (RePEc:ecm:quante:v:2:y:2011:i:3:p:455-491)
by Peter C. B. Phillips & Jun Yu - Accelerated Asymptotics for Diffusion Model Estimation (RePEc:ecm:wc2000:1656)
by Federico Bandi & Peter C. B. Phillips - An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy (RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:27-43)
by Zhije Xiao & Peter C.B. Phillips - Semiparametric cointegrating rank selection (RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s83-s104)
by Xu Cheng & P eter C. B. Phillips - Bimodal t-ratios: the impact of thick tails on inference (RePEc:ect:emjrnl:v:13:y:2010:i:2:p:271-289)
by Carlo V. Fiorio & Vassilis A. Hajivassiliou & Peter C. B. Phillips - Non‐parametric regression under location shifts (RePEc:ect:emjrnl:v:14:y:2011:i:3:p:457-486)
by Peter C. B. Phillips & Liangjun Su - Nonlinear econometric models with cointegrated and deterministically trending regressors (RePEc:ect:emjrnl:v:4:y:2001:i:1:p:1-36)
by Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips - A Gaussian approach for continuous time models of the short-term interest rate (RePEc:ect:emjrnl:v:4:y:2001:i:2:p:3)
by Jun Yu & Peter C. B. Phillips - Dynamic panel estimation and homogeneity testing under cross section dependence * (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259)
by Peter C. B. Phillips & Donggyu Sul - Expansions for approximate maximum likelihood estimators of the fractional difference parameter (RePEc:ect:emjrnl:v:8:y:2005:i:3:p:367-379)
by Offer Lieberman & Peter C. B. Phillips - Testing for cointegration using principal components methods (RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:205-230)
by Phillips, P. C. B. & Ouliaris, S. - Exact small sample theory in the simultaneous equations model (RePEc:eee:ecochp:1-08)
by Phillips, P.C.B. - The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression (RePEc:eee:ecolet:v:127:y:2015:i:c:p:89-92)
by Phillips, Peter C.B. & Han, Chirok - Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion (RePEc:eee:ecolet:v:172:y:2018:i:c:p:123-126)
by Yu, Ping & Phillips, Peter C.B. - The heterogeneous effects of the minimum wage on employment across states (RePEc:eee:ecolet:v:174:y:2019:i:c:p:179-185)
by Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun - Does GNP have a unit root? : A re-evaluation (RePEc:eee:ecolet:v:23:y:1987:i:2:p:139-145)
by Perron, Pierre & Phillips, Peter C. B. - The KPSS test with seasonal dummies (RePEc:eee:ecolet:v:77:y:2002:i:2:p:239-243)
by Phillips, Peter C. B. & Jin, Sainan - A simple proof of the latent root sensitivity formula (RePEc:eee:ecolet:v:9:y:1982:i:1:p:57-59)
by Phillips, P. C. B. - A new approach to robust inference in cointegration (RePEc:eee:ecolet:v:91:y:2006:i:2:p:300-306)
by Jin, Sainan & Phillips, Peter C.B. & Sun, Yixiao - The problem of identification in finite parameter continuous time models (RePEc:eee:econom:v:1:y:1973:i:4:p:351-362)
by Phillips, P. C. B. - Trending time series and macroeconomic activity: Some present and future challenges (RePEc:eee:econom:v:100:y:2001:i:1:p:21-27)
by Phillips, Peter C. B. - Higher order approximations for Wald statistics in time series regressions with integrated processes (RePEc:eee:econom:v:108:y:2002:i:1:p:157-198)
by Xiao, Zhijie & Phillips, Peter C. B. - A CUSUM test for cointegration using regression residuals (RePEc:eee:econom:v:108:y:2002:i:1:p:43-61)
by Xiao, Zhijie & Phillips, Peter C. B. - The concentration ellipsoid of a random vector (RePEc:eee:econom:v:11:y:1979:i:2-3:p:363-365)
by Phillips, P. C. B. - Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables (RePEc:eee:econom:v:111:y:2002:i:2:p:251-283)
by Chao, John C. & Phillips, Peter C. B. - New unit root asymptotics in the presence of deterministic trends (RePEc:eee:econom:v:111:y:2002:i:2:p:323-353)
by Phillips, Peter C. B. - Nonlinear log-periodogram regression for perturbed fractional processes (RePEc:eee:econom:v:115:y:2003:i:2:p:355-389)
by Sun, Yixiao & Phillips, Peter C. B. - Nonlinear instrumental variable estimation of an autoregression (RePEc:eee:econom:v:118:y:2004:i:1-2:p:219-246)
by Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon - Nonstationary discrete choice (RePEc:eee:econom:v:120:y:2004:i:1:p:103-138)
by Hu, Ling & Phillips, Peter C. B. - Local Whittle estimation of fractional integration and some of its variants (RePEc:eee:econom:v:130:y:2006:i:2:p:209-233)
by Shimotsu, Katsumi & Phillips, Peter C.B. - Limit theory for moderate deviations from a unit root (RePEc:eee:econom:v:136:y:2007:i:1:p:115-130)
by Phillips, Peter C.B. & Magdalinos, Tassos - Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence (RePEc:eee:econom:v:137:y:2007:i:1:p:162-188)
by Phillips, Peter C.B. & Sul, Donggyu - A simple approach to the parametric estimation of potentially nonstationary diffusions (RePEc:eee:econom:v:137:y:2007:i:2:p:354-395)
by Bandi, Federico M. & Phillips, Peter C.B. - Unit root log periodogram regression (RePEc:eee:econom:v:138:y:2007:i:1:p:104-124)
by Phillips, Peter C.B. - Nonstationary discrete choice: A corrigendum and addendum (RePEc:eee:econom:v:141:y:2007:i:2:p:1115-1130)
by Phillips, Peter C.B. & Jin, Sainan & Hu, Ling - Incidental trends and the power of panel unit root tests (RePEc:eee:econom:v:141:y:2007:i:2:p:416-459)
by Moon, Hyungsik Roger & Perron, Benoit & Phillips, Peter C.B. - Adaptive estimation of autoregressive models with time-varying variances (RePEc:eee:econom:v:142:y:2008:i:1:p:265-280)
by Xu, Ke-Li & Phillips, Peter C.B. - A complete asymptotic series for the autocovariance function of a long memory process (RePEc:eee:econom:v:147:y:2008:i:1:p:99-103)
by Lieberman, Offer & Phillips, Peter C.B. - A two-stage realized volatility approach to estimation of diffusion processes with discrete data (RePEc:eee:econom:v:150:y:2009:i:2:p:139-150)
by Phillips, Peter C.B. & Yu, Jun - Long memory and long run variation (RePEc:eee:econom:v:151:y:2009:i:2:p:150-158)
by Phillips, Peter C.B. - Indirect inference for dynamic panel models (RePEc:eee:econom:v:157:y:2010:i:1:p:68-77)
by Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun - Smoothing local-to-moderate unit root theory (RePEc:eee:econom:v:158:y:2010:i:2:p:274-279)
by Phillips, Peter C.B. & Magdalinos, Tassos & Giraitis, Liudas - Bootstrapping I(1) data (RePEc:eee:econom:v:158:y:2010:i:2:p:280-284)
by Phillips, Peter C.B. - Bias in estimating multivariate and univariate diffusions (RePEc:eee:econom:v:161:y:2011:i:2:p:228-245)
by Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun - Dynamic misspecification in nonparametric cointegrating regression (RePEc:eee:econom:v:168:y:2012:i:2:p:270-284)
by Kasparis, Ioannis & Phillips, Peter C.B. - Cointegrating rank selection in models with time-varying variance (RePEc:eee:econom:v:169:y:2012:i:2:p:155-165)
by Cheng, Xu & Phillips, Peter C.B. - Mean and autocovariance function estimation near the boundary of stationarity (RePEc:eee:econom:v:169:y:2012:i:2:p:166-178)
by Giraitis, Liudas & Phillips, Peter C.B. - Optimal estimation under nonstandard conditions (RePEc:eee:econom:v:169:y:2012:i:2:p:258-265)
by Ploberger, Werner & Phillips, Peter C.B. - First difference maximum likelihood and dynamic panel estimation (RePEc:eee:econom:v:175:y:2013:i:1:p:35-45)
by Han, Chirok & Phillips, Peter C.B. - Semiparametric estimation in triangular system equations with nonstationarity (RePEc:eee:econom:v:176:y:2013:i:1:p:59-79)
by Gao, Jiti & Phillips, Peter C.B. - Predictive regression under various degrees of persistence and robust long-horizon regression (RePEc:eee:econom:v:177:y:2013:i:2:p:250-264)
by Phillips, Peter C.B. & Lee, Ji Hyung - Optimal estimation of cointegrated systems with irrelevant instruments (RePEc:eee:econom:v:178:y:2014:i:p2:p:210-224)
by Phillips, Peter C.B. - Nonparametric predictive regression (RePEc:eee:econom:v:185:y:2015:i:2:p:468-494)
by Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B. - Testing linearity using power transforms of regressors (RePEc:eee:econom:v:187:y:2015:i:1:p:376-384)
by Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B. - Model selection in the presence of incidental parameters (RePEc:eee:econom:v:188:y:2015:i:2:p:474-489)
by Lee, Yoonseok & Phillips, Peter C.B. - On the behavior of inconsistent instrumental variable estimators (RePEc:eee:econom:v:19:y:1982:i:2-3:p:183-201)
by Maasoumi, Esfandiar & Phillips, Peter C. B. - Robust econometric inference with mixed integrated and mildly explosive regressors (RePEc:eee:econom:v:192:y:2016:i:2:p:433-450)
by Phillips, Peter C.B. & Lee, Ji Hyung - Estimating smooth structural change in cointegration models (RePEc:eee:econom:v:196:y:2017:i:1:p:180-195)
by Phillips, Peter C.B. & Li, Degui & Gao, Jiti - A multivariate stochastic unit root model with an application to derivative pricing (RePEc:eee:econom:v:196:y:2017:i:1:p:99-110)
by Lieberman, Offer & Phillips, Peter C.B. - Structural inference from reduced forms with many instruments (RePEc:eee:econom:v:199:y:2017:i:2:p:96-116)
by Phillips, Peter C.B. & Gao, Wayne Yuan - Inference in continuous systems with mildly explosive regressors (RePEc:eee:econom:v:201:y:2017:i:2:p:400-416)
by Chen, Ye & Phillips, Peter C.B. & Yu, Jun - Pythagorean generalization of testing the equality of two symmetric positive definite matrices (RePEc:eee:econom:v:202:y:2018:i:1:p:45-56)
by Cho, Jin Seo & Phillips, Peter C.B. - Threshold regression with endogeneity (RePEc:eee:econom:v:203:y:2018:i:1:p:50-68)
by Yu, Ping & Phillips, Peter C.B. - A frequentist approach to Bayesian asymptotics (RePEc:eee:econom:v:206:y:2018:i:2:p:359-378)
by Cheng, Tingting & Gao, Jiti & Phillips, Peter C.B. - Weak σ-convergence: Theory and applications (RePEc:eee:econom:v:209:y:2019:i:2:p:185-207)
by Kong, Jianning & Phillips, Peter C.B. & Sul, Donggyu - Random coefficient continuous systems: Testing for extreme sample path behavior (RePEc:eee:econom:v:209:y:2019:i:2:p:208-237)
by Tao, Yubo & Phillips, Peter C.B. & Yu, Jun - Econometric estimates of Earth’s transient climate sensitivity (RePEc:eee:econom:v:214:y:2020:i:1:p:6-32)
by Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude - Hybrid stochastic local unit roots (RePEc:eee:econom:v:215:y:2020:i:1:p:257-285)
by Lieberman, Offer & Phillips, Peter C.B. - Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression (RePEc:eee:econom:v:215:y:2020:i:2:p:607-632)
by Li, Degui & Phillips, Peter C.B. & Gao, Jiti - Asymptotic theory for near integrated processes driven by tempered linear processes (RePEc:eee:econom:v:216:y:2020:i:1:p:192-202)
by Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B. - Point optimal testing with roots that are functionally local to unity (RePEc:eee:econom:v:219:y:2020:i:2:p:231-259)
by Bykhovskaya, Anna & Phillips, Peter C.B. - Nonstationary panel models with latent group structures and cross-section dependence (RePEc:eee:econom:v:221:y:2021:i:1:p:198-222)
by Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun - Understanding temporal aggregation effects on kurtosis in financial indices (RePEc:eee:econom:v:227:y:2022:i:1:p:25-46)
by Lieberman, Offer & Phillips, Peter C.B. - Functional coefficient panel modeling with communal smoothing covariates (RePEc:eee:econom:v:227:y:2022:i:2:p:371-407)
by Phillips, Peter C.B. & Wang, Ying - Fully modified least squares cointegrating parameter estimation in multicointegrated systems (RePEc:eee:econom:v:232:y:2023:i:2:p:300-319)
by Kheifets, Igor L. & Phillips, Peter C.B. - When bias contributes to variance: True limit theory in functional coefficient cointegrating regression (RePEc:eee:econom:v:232:y:2023:i:2:p:469-489)
by Phillips, Peter C.B. & Wang, Ying - High-dimensional VARs with common factors (RePEc:eee:econom:v:233:y:2023:i:1:p:155-183)
by Miao, Ke & Phillips, Peter C.B. & Su, Liangjun - Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations (RePEc:eee:econom:v:234:y:2023:i:2:p:758-776)
by Jiang, Liang & Phillips, Peter C.B. & Tao, Yubo & Zhang, Yichong - Robust inference with stochastic local unit root regressors in predictive regressions (RePEc:eee:econom:v:235:y:2023:i:2:p:563-591)
by Liu, Yanbo & Phillips, Peter C.B. - High-dimensional IV cointegration estimation and inference (RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x)
by Phillips, Peter C.B. & Kheifets, Igor L. - Robust testing for explosive behavior with strongly dependent errors (RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421)
by Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun - Panel data models with time-varying latent group structures (RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000319)
by Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun - Robust inference on correlation under general heterogeneity (RePEc:eee:econom:v:240:y:2024:i:1:s030440762400037x)
by Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B. - Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach (RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076)
by Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun - The exact distribution of the Stein-rule estimator (RePEc:eee:econom:v:25:y:1984:i:1-2:p:123-131)
by Phillips, P.C.B. - The exact distribution of exogenous variable coefficient estimators (RePEc:eee:econom:v:26:y:1984:i:3:p:387-398)
by Phillips, P. C. B. - Understanding spurious regressions in econometrics (RePEc:eee:econom:v:33:y:1986:i:3:p:311-340)
by Phillips, P.C.B. - Conditional and unconditional statistical independence (RePEc:eee:econom:v:38:y:1988:i:3:p:341-348)
by Phillips, Peter C. B. - The Durbin-Watson ratio under infinite-variance errors (RePEc:eee:econom:v:47:y:1991:i:1:p:85-114)
by Phillips, Peter C. B. & Loretan, Mico - Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations (RePEc:eee:econom:v:51:y:1992:i:1-2:p:113-150)
by Choi, In & Phillips, Peter C. B. - Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root? (RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178)
by Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol - The spurious effect of unit roots on vector autoregressions : An analytical study (RePEc:eee:econom:v:59:y:1993:i:3:p:229-255)
by Toda, Hiro Y. & Phillips, Peter C. B. - Testing for a unit root by frequency domain regression (RePEc:eee:econom:v:59:y:1993:i:3:p:263-286)
by Choi, In & Phillips, Peter C. B. - An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator (RePEc:eee:econom:v:6:y:1977:i:2:p:147-164)
by Phillips, Peter C. B. - Bayesian model selection and prediction with empirical applications (RePEc:eee:econom:v:69:y:1995:i:1:p:289-331)
by Phillips, Peter C. B. - Bayesian prediction a response (RePEc:eee:econom:v:69:y:1995:i:1:p:351-365)
by Phillips, Peter C. B. - Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments (RePEc:eee:econom:v:80:y:1997:i:1:p:85-123)
by Kitamura, Yuichi & Phillips, Peter C. B. - Impulse response and forecast error variance asymptotics in nonstationary VARs (RePEc:eee:econom:v:83:y:1998:i:1-2:p:21-56)
by Phillips, Peter C. B. - Higher-order approximations for frequency domain time series regression (RePEc:eee:econom:v:86:y:1998:i:2:p:297-336)
by Xiao, Zhijie & Phillips, Peter C. B. - Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior (RePEc:eee:econom:v:87:y:1998:i:1:p:49-86)
by Chao, J. C. & Phillips, P. C. B. - The sampling distribution of forecasts from a first-order autoregression (RePEc:eee:econom:v:9:y:1979:i:3:p:241-261)
by Phillips, Peter C. B. - Model selection in partially nonstationary vector autoregressive processes with reduced rank structure (RePEc:eee:econom:v:91:y:1999:i:2:p:227-271)
by Chao, John C. & Phillips, Peter C. B. - Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248)
by Loretan, Mico & Phillips, Peter C. B. - Asset pricing with financial bubble risk (RePEc:eee:empfin:v:38:y:2016:i:pb:p:590-622)
by Lee, Ji Hyung & Phillips, Peter C.B. - New methodology for constructing real estate price indices applied to the Singapore residential market (RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s121-s131)
by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun - Forward exchange market unbiasedness: the case of the Australian dollar since 1984 (RePEc:eee:jimfin:v:16:y:1997:i:6:p:885-907)
by Phillips, Peter C. B. & McFarland, James W. - Some empirics on economic growth under heterogeneous technology (RePEc:eee:jmacro:v:29:y:2007:i:3:p:455-469)
by Phillips, Peter C.B. & Sul, Donggyu - The distribution of matrix quotients (RePEc:eee:jmvana:v:16:y:1985:i:1:p:157-161)
by Phillips, P. C. B. - An everywhere convergent series representation of the distribution of Hotelling's generalized T02 (RePEc:eee:jmvana:v:21:y:1987:i:2:p:238-249)
by Phillips, P. C. B. - Weak convergence to the matrix stochastic integral [integral operator]01 B dB' (RePEc:eee:jmvana:v:24:y:1988:i:2:p:252-264)
by Phillips, P. C. B. - A large deviation limit theorem for multivariate distributions (RePEc:eee:jmvana:v:7:y:1977:i:1:p:50-62)
by Phillips, P. C. B. - The impact of upzoning on housing construction in Auckland (RePEc:eee:juecon:v:136:y:2023:i:c:s0094119023000244)
by Greenaway-McGrevy, Ryan & Phillips, Peter C.B. - Challenges of trending time series econometrics (RePEc:eee:matcom:v:68:y:2005:i:5:p:401-416)
by Phillips, Peter C.B. - Modeling speculative bubbles with diverse investor expectations (RePEc:eee:reecon:v:70:y:2016:i:3:p:375-387)
by Phillips, Peter C.B. - Spherical matrix distributions and cauchy quotients (RePEc:eee:stapro:v:8:y:1989:i:1:p:51-53)
by Phillips, P. C. B. - Diagnosing housing fever with an econometric thermometer (RePEc:een:camaaa:2020-43)
by Shuping Shi & Peter C B Phillips - Inference in Near-Singular Regression (RePEc:eme:aecozz:s0731-905320160000036022)
by Peter C. B. Phillips - Testing Convergence Using HAR Inference (RePEc:eme:aecozz:s0731-905320200000041002)
by Jianning Kong & Peter C. B. Phillips & Donggyu Sul - Discrete Fourier Transforms of Fractional Processes with Econometric Applications (RePEc:eme:aecozz:s0731-90532023000045a001)
by Peter C. B. Phillips - Auditing the cost effectiveness of radon mitigation in the workplace (RePEc:eme:majpps:02686900010322344)
by A.R. Denman & E.P. Harris & M.R. Hermann & P. Phillips - Auditing the cost‐effectiveness of radon mitigation in the workplace (RePEc:eme:majpps:02686909910301547)
by A.R. Denman & E.P. Harris & M.R. Hermann & P. Phillips - Exact Local Whittle Estimation of Fractional Integration (RePEc:esx:essedp:8838)
by Shimotsu, Katsumi & Phillips, Peter C B - Testing forUnit Root in the Presence of Deterministic Trends (RePEc:fth:mistet:8904)
by Schmidt, P. & Phillips, P.C.B. - Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root? (RePEc:fth:mistet:8905)
by Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P. - Uniform Inference in Panel Autoregression (RePEc:gam:jecnmx:v:7:y:2019:i:4:p:45-:d:291103)
by John C. Chao & Peter C. B. Phillips - HAR Testing for Spurious Regression in Trend (RePEc:gam:jecnmx:v:7:y:2019:i:4:p:50-:d:298538)
by Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang - Dynamic Panel Modeling of Climate Change (RePEc:gam:jecnmx:v:8:y:2020:i:3:p:30-:d:391090)
by Peter C. B. Phillips - Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:hkm:wpaper:172011)
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:hkm:wpaper:222007)
by Peter C. B. Phillips & Yangru Wu & Jun Yu - Regression asymptotics using martingale convergence methods (RePEc:hrv:faseco:2624459)
by Ibragimov, Rustam & Phillips, Peter C.B. - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:hst:ghsdps:gd08-039)
by Peter C. B. Phillips & Jun Yu - Infinite Density at the Median and the Typical Shape of Stock Return Distributions (RePEc:iek:wpaper:0914)
by Chirok Han & Jin Seo Cho & Peter C. B. Phillips - LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (RePEc:iek:wpaper:0917)
by Jin Seo Cho & Chirok-Han & Peter C. B. Phillips - The Exact Distribution of LIML: I (RePEc:ier:iecrev:v:25:y:1984:i:1:p:249-61)
by Phillips, Peter C B - The Exact Distribution of LIML: II (RePEc:ier:iecrev:v:26:y:1985:i:1:p:21-36)
by Phillips, Peter C B - The Distribution of FIML in the Leading Case (RePEc:ier:iecrev:v:27:y:1986:i:1:p:239-43)
by Phillips, P C B - Spectral Density Estimation And Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation (RePEc:ier:iecrev:v:47:y:2006:i:3:p:837-894)
by Peter C. B. Phillips & Yixiao Sun & Sainan Jin - EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? (RePEc:ier:iecrev:v:52:y:2011:i:1:p:201-226)
by Peter C. B. Phillips & Yangru Wu & Jun Yu - Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s (RePEc:jae:japmet:v:11:y:1996:i:1:p:1-22)
by Phillips, Peter C B & McFarland, James W & McMahon, Patrick C - Descriptive econometrics for non-stationary time series with empirical illustrations (RePEc:jae:japmet:v:16:y:2001:i:3:p:389-413)
by Peter C. B. Phillips - Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly (RePEc:jae:japmet:v:16:y:2001:i:6:p:671-708)
by Alex Maynard & Peter C. B. Phillips - Economic transition and growth (RePEc:jae:japmet:v:24:y:2009:i:7:p:1153-1185)
by Peter C. B. Phillips & Donggyu Sul - To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends (RePEc:jae:japmet:v:6:y:1991:i:4:p:333-64)
by Phillips, P C B - Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum (RePEc:jae:japmet:v:6:y:1991:i:4:p:435-73)
by Phillips, P C B - Model Selection in the Presence of Incidental Parameters (RePEc:max:cprwps:159)
by Yoonseok Lee & Peter C.B. Phillips - Semiparametric Estimation in Multivariate Nonstationary Time Series Models (RePEc:msh:ebswps:2011-17)
by Jiti Gao & Peter C.B. Phillips - Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration (RePEc:msh:ebswps:2013-16)
by Jiti Gao & Peter C.B. Phillips - Estimating Smooth Structural Change in Cointegration Models (RePEc:msh:ebswps:2013-22)
by Peter C. B. Phillips & Degui Li & Jiti Gao - Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression (RePEc:msh:ebswps:2013-27)
by Degui Li & Peter C. B. Phillips & Jiti Gao - A Frequency Approach to Bayesian Asymptotics (RePEc:msh:ebswps:2016-5)
by Tingting Cheng & Jiti Gao & Peter CB Phillips - Kernel-based inference in time-varying coefficient models with multiple integrated regressors (RePEc:msh:ebswps:2017-11)
by Degui Li & Peter CB Phillips & Jiti Gao - Bayesian estimation based on summary statistics: Double asymptotics and practice (RePEc:msh:ebswps:2017-4)
by Tingting Cheng & Jiti Gao & Peter CB Phillips - Testing for a Unit Root in Time Series Regression (RePEc:mtl:montde:8633)
by Phillips, P.C.B. - Does Gnp Have a Unit Root? a Reevaluation (RePEc:mtl:montde:8640)
by Perron, P. & Phillips, P.C.B. - Homage to Halbert White (RePEc:oup:jfinec:v:12:y:2014:i:4:p:618-619.)
by Peter C. B. Phillips - Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† (RePEc:oup:jfinec:v:13:y:2015:i:3:p:521-555.)
by Peter C. B. Phillips - Common Bubble Detection in Large Dimensional Financial Systems (RePEc:oup:jfinec:v:21:y:2023:i:4:p:989-1063.)
by Ye ChenCapital & Peter C B Phillips & Shuping Shi - Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume (RePEc:oup:restud:v:47:y:1980:i:1:p:183-224.)
by P. C. B. Phillips - Multiple Time Series Regression with Integrated Processes (RePEc:oup:restud:v:53:y:1986:i:4:p:473-495.)
by P. C. B. Phillips & S. N. Durlauf - Statistical Inference in Instrumental Variables Regression with I(1) Processes (RePEc:oup:restud:v:57:y:1990:i:1:p:99-125.)
by Peter C. B. Phillips & Bruce E. Hansen - Estimating Long-run Economic Equilibria (RePEc:oup:restud:v:58:y:1991:i:3:p:407-436.)
by Peter C. B. Phillips & Mico Loretan - Structural Change Tests in Tail Behaviour and the Asian Crisis (RePEc:oup:restud:v:68:y:2001:i:3:p:633-663.)
by Carmela Quintos & Zhenhong Fan & Peter C. B. Phillips - Jackknifing Bond Option Prices (RePEc:oup:rfinst:v:18:y:2005:i:2:p:707-742)
by Peter C. B. Phillips - Simulation-Based Estimation of Contingent-Claims Prices (RePEc:oup:rfinst:v:22:y:2009:i:9:p:3669-3705)
by Peter C. B. Phillips & Jun Yu - John Denis Sargan (1924–1996) (RePEc:pal:palchp:978-1-137-58274-4_27)
by David F. Hendry & Peter C. B. Phillips - Testing Mean Stability of Heteroskedastic Time Series (RePEc:qmw:qmwecw:765)
by Violetta Dalla & Liudas Giraitis & Peter C.B. Phillips - Robust Tests for White Noise and Cross-Correlation (RePEc:qmw:qmwecw:906)
by Violetta Dalla & Liudas Giraitis & Peter C. B. Phillips - Unknown item RePEc:qmw:qmwecw:wp765 (paper)
- Change Detection and the Casual Impact of the Yield Curve (RePEc:qut:auncer:2015_05)
by Stan Hurn & Peter C B Phillips & Shuping Shi - Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship (RePEc:qut:auncer:2016_04)
by Shuping Shi & Stan Hurn & Peter C B Phillips - Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (RePEc:ris:smuesw:2017_018)
by Tao, Yubo & Phillips, Peter C.B. & Yu, Jun - The Heterogeneous Effects of the Minimum Wage on Employment Across States (RePEc:ris:smuesw:2018_011)
by Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun - Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence (RePEc:ris:smuesw:2020_007)
by Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun - A Panel Clustering Approach to Analyzing Bubble Behavior (RePEc:ris:smuesw:2022_001)
by Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun - Weak Identification of Long Memory with Implications for Inference (RePEc:ris:smuesw:2022_008)
by Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun - Robust Testing for Explosive Behavior with Strongly Dependent Errors (RePEc:ris:smuesw:2022_011)
by Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun - Incidental Trends and the Power of Panel Unit Root Tests (RePEc:scp:wpaper:05-38)
by Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips - Limit Theory for Continuous Time Systems with Mildly Explosive Regressors (RePEc:siu:wpaper:03-2015)
by Peter C. B. Phillips & Ye Chen & Jun Yu - Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 (RePEc:siu:wpaper:04-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors (RePEc:siu:wpaper:05-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Identifying Latent Structures in Panel Data (RePEc:siu:wpaper:07-2014)
by Liangjun Su & Zhentao Shi & Peter C. B. Phillips - Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan (RePEc:siu:wpaper:08-2005)
by Peter C. B. Phillips & Jun Yu - Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:siu:wpaper:08-2011)
by Shu-Ping Shi & Peter C.B. Phillips & Jun Yu - Testing for Multiple Bubbles (RePEc:siu:wpaper:09-2011)
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu - Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde (RePEc:siu:wpaper:13-2005)
by Peter C. B. Phillips & Jun Yu - Testing for Multiple Bubbles (RePEc:siu:wpaper:13-2012)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics (RePEc:siu:wpaper:15-2010)
by Peter C.B. Phillips & Jun Yu - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:siu:wpaper:15-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Measurement and High Finance (RePEc:siu:wpaper:17-2010)
by Peter C.B. Phillips & Jun Yu & Eric Ghysels - Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:siu:wpaper:17-2012)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:siu:wpaper:18-2009)
by Peter C. B. Phillips & Jun Yu - Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" (RePEc:siu:wpaper:18-2010)
by Peter C.B. Phillips & Jun Yu - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:siu:wpaper:19-2009)
by Peter C.B. PHILIPS & Yangru WU & Jun YU - A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market (RePEc:siu:wpaper:19-2014)
by Liang Jiang & Peter C.B. Phillips & Jun Yu - Information Loss in Volatility Measurement with Flat Price Trading (RePEc:skb:wpaper:cofie-01-2008)
by Peter C.B.Phillips & Jun Yu - Dynamic Misspecification in Nonparametric Cointegrating Regression (RePEc:skb:wpaper:cofie-01-2009)
by Peter C.B.Phillips & Ioannis Kasparis - SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (RePEc:skb:wpaper:cofie-01-2011)
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu - LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities (RePEc:skb:wpaper:cofie-02-2009)
by Peter C.B.Phillips & Jin Seo Cho & Chirok Han - Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (RePEc:skb:wpaper:cofie-03-2008)
by Peter C.B.Phillips & Yangru Wu & Jun Yu - Infinite Density at the Median and the Typical Shape of Stock Return Distributions (RePEc:skb:wpaper:cofie-03-2009)
by Peter C.B.Phillips & Jin Seo Cho & Chirok Han - Testing for Multiple Bubbles (RePEc:skb:wpaper:cofie-03-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes (RePEc:skb:wpaper:cofie-03-2013)
by Yong Bao & Aman Ullah & Yun Wang & Jun Yu - Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors (RePEc:skb:wpaper:cofie-04-2013)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Simulation-based Estimation of Contingent Claims Prices (RePEc:skb:wpaper:cofie-05-2008)
by Peter C.B.Phillips & Jun Yu - Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (RePEc:skb:wpaper:cofie-05-2009)
by Peter C.B.Phillips & Jun Yu - Econometric Inference in the Vicinity of Unity (RePEc:skb:wpaper:cofie-06-2009)
by Peter C.B.Phillips & Tassos Magdalinos - Dating the Timeline of Financial Bubbles During the Subprime Crisis (RePEc:skb:wpaper:cofie-07-2009)
by Peter C.B.Phillips & Jun Yu - Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (RePEc:skb:wpaper:cofie-08-2009)
by Peter C.B.Phillips & Jun Yu - Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (RePEc:skb:wpaper:cofie-09-2011)
by Peter C. B. Phillips & Shu-Ping Shi & Jun Yu - Parameter Constancy in Cointegrating Regressions (RePEc:spr:empeco:v:18:y:1993:i:4:p:675-706)
by Quintos, Carmela E & Phillips, Peter C B - A Reexamination of the Consumption Function Using Frequency Domain Regressions (RePEc:spr:empeco:v:19:y:1994:i:4:p:595-609)
by Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B - Information loss in volatility measurement with flat price trading (RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y)
by Peter C. B. Phillips & Jun Yu - Pitfalls in Bootstrapping Spurious Regression (RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00268-6)
by Peter C. B. Phillips - A Small Model Of Output, Employment, Capital Formation And Inflation, Applied To The New Zealand Economy (RePEc:syd:wpaper:2123/7559)
by Bailey, R.W. & Hall, V.B. & Phillips, P.C.B. - Nonstationary panel data analysis: an overview of some recent developments (RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286)
by Peter Phillips & Hyungsik Moon - Refined Inference on Long Memory in Realized Volatility (RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:254-267)
by Offer Lieberman & Peter Phillips - Nonlinearity Induced Weak Instrumentation (RePEc:taf:emetrv:v:33:y:2014:i:5-6:p:676-712)
by Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos - Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (RePEc:taf:emetrv:v:34:y:2015:i:4:p:512-536)
by Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor - Limit Theory for VARs with Mixed Roots Near Unity (RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1035-1056)
by Peter C. B. Phillips & Ji Hyung Lee - Meritocracy Voting: Measuring the Unmeasurable (RePEc:taf:emetrv:v:35:y:2016:i:1:p:2-40)
by Peter C. B. Phillips - Lag length selection in panel autoregression (RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:225-240)
by Chirok Han & Peter C. B. Phillips & Donggyu Sul - Econometric Reviews honors Esfandiar Maasoumi (RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:563-567)
by Peter C. B. Phillips & Aman Ullah - Reduced forms and weak instrumentation (RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:818-839)
by Peter C. B. Phillips - Infinite Density at the Median and the Typical Shape of Stock Return Distributions (RePEc:taf:jnlbes:v:29:y:2011:i:2:p:282-294)
by Chirok Han & Jin Seo Cho & Peter C. B. Phillips - Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (RePEc:taf:jnlbes:v:29:y:2011:i:4:p:518-528)
by Ke-Li Xu & Peter C. B. Phillips - Testing the Martingale Hypothesis (RePEc:taf:jnlbes:v:32:y:2014:i:4:p:537-554)
by Peter C. B. Phillips & Sainan Jin - Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea (RePEc:taf:jnlbes:v:36:y:2018:i:3:p:523-537)
by Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips - Forecasting New Zealand's real GDP (RePEc:taf:nzecpp:v:34:y:2000:i:2:p:159-181)
by Aaron Schiff & Peter Phillips - Albert Rex Bergstrom 1925-2005 (RePEc:taf:nzecpp:v:39:y:2005:i:2:p:129-152)
by Peter Phillips - Two New Zealand pioneer econometricians (RePEc:taf:nzecpp:v:44:y:2010:i:1:p:1-26)
by Peter Phillips - Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres (RePEc:taf:nzecpp:v:50:y:2016:i:1:p:88-113)
by Ryan Greenaway-McGrevy & Peter C.B. Phillips - House prices and affordability (RePEc:taf:nzecpp:v:55:y:2021:i:1:p:1-6)
by Ryan Greenaway-McGrevy & Peter C. B. Phillips - Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (RePEc:tpr:restat:v:106:y:2024:i:2:p:542-556)
by Liang Jiang & Xiaobin Liu & Peter C. B. Phillips & Yichong Zhang - Non-linearity Induced Weak Instrumentation (RePEc:ucy:cypeua:02-2012)
by Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos - Nonparametric Predictive Regression (RePEc:ucy:cypeua:14-2012)
by Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips - Dynamic Misspecification in Nonparametric Cointegrating Regression (RePEc:ucy:cypeua:2-2009)
by Ioannis Kasparis & Peter C. B. Phillips - A Rexamination of the Consumption Function Using Frequency Domain Regressions (RePEc:uia:iowaec:91-25)
by Corbae, D. & Ouliaris, S. & Phillips, P.C.B. - Band Spectral Regression with Trending Data (RePEc:uia:iowaec:97-09)
by Corbae, D. & Ouliaris, S. & Phillips, P.C.B. - Lag length selection for unit root tests in the presence of nonstationary volatility (RePEc:unm:umamet:2011056)
by Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R. - Continuously Updated Indirect Inference in Heteroskedastic Spatial Models (RePEc:ver:wpaper:15/2019)
by Maria Kyriacou & Peter C.B. Phillips & Francesca Rossi - On Confidence Intervals for Autoregressive Roots and Predictive Regression (RePEc:wly:emetrp:v:82:y:2014:i:3:p:1177-1195)
by Peter C. B. Phillips - Identifying Latent Structures in Panel Data (RePEc:wly:emetrp:v:84:y:2016:i::p:2215-2264)
by Liangjun Su & Zhentao Shi & Peter C. B. Phillips - Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) (RePEc:wly:emjrnl:v:14:y:2011:i::p:126-129)
by Peter C. B. Phillips & Jun Yu - Testing for common trends in semi‐parametric panel data models with fixed effects (RePEc:wly:emjrnl:v:15:y:2012:i:1:p:56-100)
by Yonghui Zhang & Liangjun Su & Peter C. B. Phillips - Point‐optimal panel unit root tests with serially correlated errors (RePEc:wly:emjrnl:v:17:y:2014:i:3:p:338-372)
by Hyungsik Roger Moon & Benoit Perron & Peter C. B. Phillips - Edmond Malinvaud: a tribute to his contributions in econometrics (RePEc:wly:emjrnl:v:18:y:2015:i:2:p:a1-a13)
by Peter C. B. Phillips - Indirect inference in spatial autoregression (RePEc:wly:emjrnl:v:20:y:2017:i:2:p:168-189)
by Maria Kyriacou & Peter C. B. Phillips & Francesca Rossi - Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500 (RePEc:wly:iecrev:v:56:y:2015:i:4:p:1043-1078)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors (RePEc:wly:iecrev:v:56:y:2015:i:4:p:1079-1134)
by Peter C. B. Phillips & Shuping Shi & Jun Yu - Business Cycles, Trend Elimination, And The Hp Filter (RePEc:wly:iecrev:v:62:y:2021:i:2:p:469-520)
by Peter C. B. Phillips & Sainan Jin - Boosting: Why You Can Use The Hp Filter (RePEc:wly:iecrev:v:62:y:2021:i:2:p:521-570)
by Peter C. B. Phillips & Zhentao Shi - Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves (RePEc:wly:iecrev:v:63:y:2022:i:1:p:391-456)
by Jin Seo Cho & Peter C. B. Phillips & Juwon Seo - A Panel Clustering Approach To Analyzing Bubble Behavior (RePEc:wly:iecrev:v:64:y:2023:i:4:p:1347-1395)
by Yanbo Liu & Peter C. B. Phillips & Jun Yu - Economic transition and growth (RePEc:wly:japmet:v:24:y:2009:i:7:p:1153-1185)
by Peter C. B. Phillips & Donggyu Sul - Sequentially testing polynomial model hypotheses using power transforms of regressors (RePEc:wly:japmet:v:33:y:2018:i:1:p:141-159)
by Jin Seo Cho & Peter C. B. Phillips - Homogeneity pursuit in panel data models: Theory and application (RePEc:wly:japmet:v:33:y:2018:i:6:p:797-815)
by Wuyi Wang & Peter C. B. Phillips & Liangjun Su - Testing Linearity Using Power Transforms of Regressors (RePEc:yon:wpaper:2015rwp-79)
by YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS - We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors" (RePEc:yon:wpaper:2015rwp-79a)
by YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS - Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea (RePEc:yon:wpaper:2016rwp-88)
by Jin Seo Cho & Myung-Ho Park & Peter C.B. Phillips - Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡± (RePEc:yon:wpaper:2016rwp-88a)
by Jin Seo Cho & Myung-Ho Park & Peter C.B. Phillips - Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices (RePEc:yon:wpaper:2016rwp-89)
by Jin Seo Cho & Peter C.B. Phillips - Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices" (RePEc:yon:wpaper:2016rwp-89a)
by Jin Seo Cho & Peter C.B. Phillips - Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors (RePEc:yon:wpaper:2016rwp-90)
by Jin Seo Cho & Peter C.B. Phillips - Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves (RePEc:yon:wpaper:2019rwp-153)
by Jin Seo Cho & Peter C. B. Phillips & Juwon Seo - Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves (RePEc:yon:wpaper:2023rwp-211)
by Jin Seo Cho & Peter C. B. Phillips & Juwon Seo - GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement (RePEc:yon:wpaper:2024rwp-232)
by Jin Seo Cho & Peter C.B. Phillips - Uniform limit theory for stationary autoregression (RePEc:yor:yorken:05/23)
by L Giraitis & P C B Phillips - The Elusive Empirical Shadow of Growth Convergence (RePEc:ysm:somwrk:ysm342)
by Peter C.B. Phillips & Donggyu Sul - Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation (RePEc:ysm:somwrk:ysm347)
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun - Incidental Trends and the Power of Panel Unit Root Tests (RePEc:ysm:somwrk:ysm414)
by Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron - Prewhitening Bias in HAC Estimation (RePEc:ysm:somwrk:ysm426)
by Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul - Long Run Variance Estimation Using Steep Origin Kernels Without Truncation (RePEc:ysm:somwrk:ysm427)
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun - Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence (RePEc:ysm:somwrk:ysm428)
by Peter C.B. Phillips & Donggyu Sul