Peter C. B. Phillips

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

University of Auckland

Distinguished Alumnus, Professor

Private Bag 92019

Com. A room: 102

Auckland

New Zealand

University of Southampton

Adjunct Professor of Economics

Southampton, SO17 1BJ

United Kingdom

Singapore Management University - School of Economics

Professor of Economics

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

189

DOWNLOADS
Rank 1,687

SSRN RANKINGS

Top 1,687

in Total Papers Downloads

21,901

SSRN CITATIONS
Rank 346

SSRN RANKINGS

Top 346

in Total Papers Citations

695

CROSSREF CITATIONS

1,786

Scholarly Papers (189)

1.
Downloads 962 ( 28,408)
Citation 16

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 853 (33,163)
Citation 24

Abstract:

Loading...

Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

Testing for Multiple Bubbles

CAFE Research Paper No. 13.18
Number of pages: 67 Posted: 27 Aug 2013
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 109 (298,938)
Citation 18

Abstract:

Loading...

Date-stamping strategy, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test

2.

Semiparametric Cointegrating Rank Selection

Cowles Foundation Discussion Paper No. 1658
Number of pages: 24 Posted: 21 May 2008
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 760 (39,426)

Abstract:

Loading...

Cointegrating rank, Consistency, Information criteria, Model selection, Nonparametric, Short memory, Unit roots

3.

Dating the Timeline of Financial Bubbles During the Subprime Crisis

Cowles Foundation Discussion Paper No. 1770
Number of pages: 41 Posted: 14 Sep 2010
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 662 (47,562)
Citation 30

Abstract:

Loading...

Financial bubbles, Crashes, Date stamping, Explosive behavior, Mildly explosive process, Subprime crisis, Timeline

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 603 (53,167)
Citation 109

Abstract:

Loading...

Date-stamping strategy, Flexible window, Generalized sup ADF test, Multiple bubbles, Rational bubble, Periodically collapsing bubbles, Sup ADF test 

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

International Economic Review, Vol. 56, Issue 4, pp. 1043-1078, 2015
Number of pages: 36 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University
Downloads 1 (798,432)
Citation 1
  • Add to Cart

Abstract:

Loading...

5.

A CUSUM Test for Cointegration Using Regression Residuals

Number of pages: 22 Posted: 14 Oct 2001
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation
Downloads 509 (66,304)
Citation 1

Abstract:

Loading...

Bandwidth, CUSUM Test, Fully Modified Regression, Null of Cointegration, Residual Based Test, Semiparametric Method

6.

Challenges of Trending Time Series Econometrics

Number of pages: 21 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 437 (79,875)
Citation 2

Abstract:

Loading...

Coordinate instrumental variables, coordinate reduced rank regression, coordinate trend functions, limitations of econometrics, nonstationarity, trend

7.

Cointegrating Rank Selection in Models with Time-Varying Variance

Cowles Foundation Discussion Paper No. 1688
Number of pages: 28 Posted: 21 Jan 2009
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 429 (81,653)
Citation 1

Abstract:

Loading...

Cointegrating rank, Consistency, Heterogeneity, Information criteria, Model selection, Nonparametric, Time varying variances, Unit roots

8.

Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

UC Santa Cruz Economics Working Paper No. 540
Number of pages: 56 Posted: 11 Nov 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 374 (95,738)
Citation 6

Abstract:

Loading...

Autoregression, Box Pierce test, conditional GLS, conditional heteroskedasticity, DW test, g-test, LM test, gl-test, serial correlation test, DF test, unit root test

Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?

Cowles Foundation Discussion Paper No. 1699
Number of pages: 37 Posted: 05 Jun 2009
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 213 (171,424)
Citation 25

Abstract:

Loading...

explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, unit root test

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

HKIMR Working Paper No. 22/2007
Number of pages: 40 Posted: 12 Feb 2008
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 136 (253,661)
Citation 16

Abstract:

Loading...

Explosive root, irrational exuberance, mildly explosive process, Nasdaq bubble, periodically collapsing bubble, sup test, time-varying discount rate, unit root test

Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values?

International Economic Review, Vol. 52, No. 1, pp. 201-226, 2011
Number of pages: 26 Posted: 09 Mar 2011
Peter C. B. Phillips and Yangru Wu
Yale University - Cowles Foundation and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 2 (784,455)
  • Add to Cart

Abstract:

Loading...

10.

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence

Number of pages: 41 Posted: 17 Sep 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 344 (105,141)
Citation 7

Abstract:

Loading...

Autoregression, bias, cross section, dependence, dynamic factors, dynamic panel estimation, incidental trends, panel unit root

11.
Downloads 342 (105,859)
Citation 4

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 192 (188,932)

Abstract:

Loading...

Bubble implosion, Dating algorithm, Limit theory, Market recovery, NASDAQ

Financial Bubble Implosion

Cowles Foundation Discussion Paper No. 1967
Number of pages: 47 Posted: 03 Dec 2014
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 150 (234,011)
Citation 5

Abstract:

Loading...

Bubble implosion, Dating algorithm, Limit theory, Market recovery, Nasdaq

12.

The Elusive Empirical Shadow of Growth Convergence

Number of pages: 37 Posted: 03 Mar 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 334 (108,751)

Abstract:

Loading...

Convergence Parameter, Conditional Convergence, Economic Growth, Growth Convergence, Heterogeneity, Neoclassical Economics, Transition Measures

13.

Business Cycles, Trend Elimination, and the HP Filter

Cowles Foundation Discussion Paper No. 2005
Number of pages: 56 Posted: 25 Jun 2015
Peter C. B. Phillips and Sainan Jin
Yale University - Cowles Foundation and Singapore Management University
Downloads 326 (111,659)
Citation 28

Abstract:

Loading...

Detrending, Graduation, Hodrick Prescott filter, Integrated process, Limit theory, Smoothing, Trend break, Whittaker filter

14.

Bootstrapping Spurious Regression

Number of pages: 44 Posted: 14 Oct 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 304 (120,386)

Abstract:

Loading...

Asymptotic Theory, Bootstrap, Brownian Motion, Cointegration, LK Representation, Nonstationarity, Residual Diagnostics, Unit Root

15.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 302 (121,219)
Citation 4

Abstract:

Loading...

Classification; Cluster analysis; Convergence club; Dynamic panel; Group Lasso; High dimensionality; Oracle property; Panel structure model; Parameter heterogeneity; Penalized least squares; Penalized GMM

16.

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate

Number of pages: 23 Posted: 20 Aug 2001
Jun Yu and Peter C. B. Phillips
Singapore Management University and Yale University - Cowles Foundation
Downloads 297 (123,382)

Abstract:

Loading...

Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

17.

Efficient Estimation of Stock Volatility

UC Santa Cruz Economics Working Paper No. 543
Number of pages: 35 Posted: 04 Jun 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 292 (125,572)

Abstract:

Loading...

AR-ARCH, conditional GLS, conditional heteroskedasticity, efficient IV, restricted ARCH, stock volatility, inflation rate, unit root

18.

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market

Cowles Foundation Discussion Paper No. 1969
Number of pages: 23 Posted: 03 Dec 2014
Liang Jiang, Peter C. B. Phillips and Jun Yu
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 286 (128,389)
Citation 3

Abstract:

Loading...

Repeat sales, Hedonic models, Prediction, Index, Explosive, Cooling measures

19.

The Mysteries of Trend

Cowles Foundation Discussion Paper No. 1771
Number of pages: 13 Posted: 14 Sep 2010
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 283 (129,831)
Citation 11

Abstract:

Loading...

Climate change, Etymology of trend, Paleoclimatology, Policy, Stochastic trend

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Number of pages: 48 Posted: 25 Aug 2001
Andrew Jeffrey, Oliver B. Linton, Thong Nguyen and Peter C. B. Phillips
Yale School of Management, University of Cambridge, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 280 (130,585)

Abstract:

Loading...

Measurement Error, Multifactor Model, Nonparametric Estimation, Volatility Structure

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 251-289, 2004
Posted: 29 Feb 2008
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and Yale University - Cowles Foundation

Abstract:

Loading...

continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric

21.

Transition Modeling and Econometric Convergence Tests

Cowles Foundation Discussion Paper No. 1595
Number of pages: 73 Posted: 02 Jan 2007
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 264 (139,543)
Citation 12

Abstract:

Loading...

Club convergence, Relative convergence, Common factor, Convergence, log t regression test, Panel data, Transition

22.

GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity

Cowles Foundation Discussion Paper No. 1599
Number of pages: 46 Posted: 25 Oct 2006
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 254 (144,973)
Citation 5

Abstract:

Loading...

Asymptotic normality, Asymptotic power envelope, Moment conditions, Panel unit roots, Point optimal test, Unit root tests, Weak instruments

23.

Fully Nonparametric Estimation of Scalar Diffusion Models

Number of pages: 48 Posted: 14 Oct 2001
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 250 (147,279)
Citation 3

Abstract:

Loading...

Diffusion, Drift, Infill Asymptotics, Kernel Density, Local Time, Long Span Asymptotics, Martingale, Nonparametric Estimation, Semimartingale, Stochastic Differential Equation

24.

Economic Transition and Growth

Number of pages: 60 Posted: 11 Jun 2005
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 249 (147,859)
Citation 7

Abstract:

Loading...

Economic growth, Growth convergence, Heterogeneity, Neoclassical growth, Relative transition, Transition curve, Transitional divergence.

25.

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Number of pages: 57 Posted: 01 Jun 2002
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 235 (156,419)
Citation 1

Abstract:

Loading...

Autoregression, Bias, Cross Section Dependence, Dynamic Factors, Dynamic Panel Estimation, GLS Estimation, Homogeneity Tests, Median Unbiased Estimation, Modified Hausman Tests, Median Unbiased SUR Estimation, Orothogonalization Procedure, Panel Unit Root Test

26.

Jackknifing Bond Option Prices

Cowles Foundation Discussion Paper No. 1392
Number of pages: 52 Posted: 24 Jan 2003 Last Revised: 15 Nov 2013
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 231 (159,032)
Citation 3

Abstract:

Loading...

Bias Reduction, Option Pricing, Bond Pricing, Term Structure of Interest Rates, Re-sampling, Estimation of Continuous Time Models

27.

Automated Discovery in Econometrics

Number of pages: 22 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 225 (163,161)

Abstract:

Loading...

Automation, discovery, HAC estimation, HAR inference, model building, online econometrics, policy analysis, prediction, trends

28.

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Cowles Foundation Discussion Paper No. 1597
Number of pages: 35 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 213 (171,725)
Citation 2

Abstract:

Loading...

Maximum likelihood, Transition density, Discrete sampling, Continuous record, Realized volatility, Bias reduction, Jackknife, Indirect inference

29.

Fractional Brownian Motion as a Differentiable Generalized Gaussian Process

Number of pages: 11 Posted: 24 Jan 2003
Victoria Zinde‐Walsh and Peter C. B. Phillips
McGill University - Department of Economics and Yale University - Cowles Foundation
Downloads 202 (180,505)

Abstract:

Loading...

Brownian Motion, Fractional Brownian motion, Fractional Derivative, Covariance Functional, Delta Function, Generalized Derivative, Generalized Gaussian Process

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Cowles Foundation Discussion Paper No. 1915
Number of pages: 76 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 197 (184,548)
Citation 19

Abstract:

Loading...

Bubble duration, Consistency, Dating algorithm, Limit theory, Multiple bubbles, Real time detector

Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors

International Economic Review, Vol. 56, Issue 4, pp. 1079-1134, 2015
Number of pages: 56 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University
Downloads 0
Citation 8
  • Add to Cart

Abstract:

Loading...

31.

Incidental Trends and the Power of Panel Unit Root Tests

Cowles Foundation Discussion Paper No. 1435, USC CLEO Research Paper No. C03-17, IEPR Working Paper No. 05-38
Number of pages: 64 Posted: 05 Sep 2003
Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
Downloads 195 (186,384)
Citation 16

Abstract:

Loading...

Asymptotic power envelope, common point, optimal test, heterogeneous alternatives, incidental trends, local to unity, power function, panel unit root test

32.

Regression with Slowly Varying Regressors

Number of pages: 46 Posted: 25 Aug 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 188 (192,684)

Abstract:

Loading...

Asymptotic Expansion, Collinearity, Karamata Representation, Slow Variation, Smooth Variation, Trend Regression

33.

Real Time Monitoring of Asset Markets: Bubbles and Crises

Cowles Foundation Discussion Paper No. 2152
Number of pages: 25 Posted: 14 Dec 2018
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Macquarie University
Downloads 187 (193,587)
Citation 5

Abstract:

Loading...

Bubbles, Crises, Real-time detection, Recursive evolving test

34.

Efficient Regression in Time Series Partial Linear Models

Number of pages: 47 Posted: 01 Jun 2002
Peter C. B. Phillips, Binbin Guo and Zhijie Xiao
Yale University - Cowles Foundation, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 179 (201,187)

Abstract:

Loading...

Efficient Estimation, Partial Linear Regression, Spectral Regression, Kernel Estimation, Nonparametric, Semiparametric, Weak Dependence

35.

The KPSS Test with Seasonal Dummies

Number of pages: 7 Posted: 13 Jun 2002
Sainan Jin and Peter C. B. Phillips
Peking University - Guanghua School of Management and Yale University - Cowles Foundation
Downloads 178 (202,182)
Citation 1

Abstract:

Loading...

KPSS Test, Seasonal Dummies, Stationarity Test, Unit Root

36.

Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach

Number of pages: 36 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 166 (214,564)
Citation 5

Abstract:

Loading...

Extended Arc Sine Laws, Federal Funds Target Rate, Interest Rate, Monetary Policy, Nonstationary Discrete Choice

37.

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Number of pages: 51 Posted: 16 Mar 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 163 (217,891)

Abstract:

Loading...

Consistent HAC Estimation, Data Determined Kernel Estimation, Long Run Variance, Mercer's Theorem, Power Parameter, Sharp Origin Kernel

38.

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Number of pages: 63 Posted: 21 Nov 2002
Hyungsik Roger Moon and Peter C. B. Phillips
University of Southern California - Department of Economics and Yale University - Cowles Foundation
Downloads 155 (227,348)
Citation 6

Abstract:

Loading...

Bias, Boundary Point Asymptotics, GMM Estimation, Local to Unity, Moment Conditions, Nuisance Parameters, Panel Data, Pooled Regression, Projected Score

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 115 (287,662)
Citation 3

Abstract:

Loading...

Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

Estimating Smooth Structural Change in Cointegration Models

Cowles Foundation Discussion Paper No. 1910
Number of pages: 43 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 39 (516,954)
Citation 9

Abstract:

Loading...

Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

40.

John Denis Sargan at the London School of Economics

Cowles Foundation Discussion Paper No. 2082
Number of pages: 21 Posted: 13 Mar 2017
David F. Hendry and Peter C. B. Phillips
University of Oxford - Department of Economics and Yale University - Cowles Foundation
Downloads 153 (229,763)

Abstract:

Loading...

John Denis Sargan, London School of Economics, Econometrics, Asymptotic theory, Small-sample distributions, Dynamic models, Autocorrelated errors, Empirical modelling, Doctoral training

41.
Downloads 152 (230,986)
Citation 35

Prewhitening Bias in Hac Estimation

Number of pages: 30 Posted: 17 Sep 2003
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 138 (250,760)
Citation 1

Abstract:

Loading...

Bias, HAC estimator, KPSS testing, long run variance, prewhitening, recursive demeaning

Prewhitening Bias in Hac Estimation

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 4, pp. 517-546, August 2005
Number of pages: 30 Posted: 03 Aug 2005
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 14 (681,231)
Citation 3
  • Add to Cart

Abstract:

Loading...

42.

Adaptive Estimation of Autoregression Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585
Number of pages: 31 Posted: 17 Oct 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 149 (234,734)

Abstract:

Loading...

Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

43.

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations

Number of pages: 28 Posted: 18 Jul 2005
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 149 (234,734)
Citation 1

Abstract:

Loading...

Maximum likelihood, Girsnov theorem, Discrete sampling, Continuous record, Realized volatility

44.

Indirect Inference for Dynamic Panel Models

Cowles Foundation Discussion Paper No. 1550
Number of pages: 21 Posted: 12 Jan 2006
Christian Gourieroux, Peter C. B. Phillips and Jun Yu
University of Toronto - Department of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 147 (237,341)
Citation 50

Abstract:

Loading...

Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

45.

Nonlinear Instrumental Variable Estimation of an Autoregression

Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
Yale University - Cowles Foundation, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 147 (237,341)
Citation 1

Abstract:

Loading...

Cauchy Estimator, Instrumental Variable Autoregression, Nonlinear Instruments, Sojourn Time, Unit Root

46.

Vision and Influence in Econometrics: John Denis Sargan

Number of pages: 20 Posted: 24 Jan 2003
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 146 (238,634)

Abstract:

Loading...

Academic Bodhisattva, Asymptotic Expansion, Bodhicitta, Edgeworth, Finite Sample Theory, Intellectual Influence, Vision

47.

Regression Asymptotics Using Martingale Convergence Methods

Number of pages: 43 Posted: 27 Jul 2004
Rustam Ibragimov and Peter C. B. Phillips
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 143 (242,821)
Citation 1

Abstract:

Loading...

Semimartingale, martingale, convergence, stochastic integrals, bilinear forms, multilinear forms, U-statistics, unit root, stationarity, Brownian motion, invariance principle, unification

48.

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications, 2nd Version

Number of pages: 29 Posted: 18 Apr 2008 Last Revised: 19 Jan 2010
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 138 (249,961)
Citation 3

Abstract:

Loading...

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusions, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

49.
Downloads 137 (251,345)
Citation 1

Robust Tests for White Noise and Cross-Correlation

Cowles Foundation Discussion Paper No. 2194, April 2019
Number of pages: 83 Posted: 05 Sep 2019
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
National and Kapodistrian University of Athens - Department of Economics, Queen Mary and Yale University - Cowles Foundation
Downloads 93 (332,655)
Citation 2

Abstract:

Loading...

Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

Robust Tests for White Noise and Cross-Correlation

Cowles Foundation Discussion Paper No. 2194R
Number of pages: 89 Posted: 02 Apr 2020
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
National and Kapodistrian University of Athens - Department of Economics, Queen Mary and Yale University - Cowles Foundation
Downloads 44 (493,077)
Citation 1

Abstract:

Loading...

Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

50.

Unit Roots in Life — A Graduate Student Story

Cowles Foundation Discussion Paper No. 1913
Number of pages: 23 Posted: 18 Sep 2013
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 137 (251,345)

Abstract:

Loading...

Graduate training, Research, Econometrics

51.

Nonstationary Discrete Choice

Number of pages: 38 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 136 (252,828)

Abstract:

Loading...

Brownian Motion, Brownian Local Time, Discrete Choice Model, Dual Convergence Rates, Extended Arc Sine Laws, Integrated Time Series, Maximum Likelihood Estimation, Threshold Parameters

52.

Unit Roots in Life and Research

Cowles Foundation Discussion Paper No. 2094
Number of pages: 13 Posted: 12 Jul 2017
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 129 (263,194)

Abstract:

Loading...

Half Century of Econometrics, Initial Conditions, Unit Roots

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Cowles Foundation Discussion Paper No. 2059
Number of pages: 59 Posted: 08 Dec 2016
Shuping Shi, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 69 (397,914)
Citation 3

Abstract:

Loading...

Time-varying Granger causality, subsample Wald tests, Money-Income

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 49 Posted: 01 Sep 2018
Shuping Shi, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 60 (428,258)
Citation 5

Abstract:

Loading...

Time-varying Granger causality, Subsample Wald tests, Money-income causality

54.

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

Number of pages: 48 Posted: 17 Sep 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 129 (263,194)

Abstract:

Loading...

Exponentiated kernel, lag kernel, long run variance, optimal exponent, spectral window, spectrum

55.

GMM with Many Moment Conditions

Number of pages: 46 Posted: 11 Jun 2005
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 122 (274,392)
Citation 5

Abstract:

Loading...

Epiconvergence, GMM, Irrelevant instruments, IV, Large numbers of instruments, LIML estimation, Panel models, Pseudo true value, Signal, Signal Variability, Weak instrumentation.

56.

Threshold Regression with Endogeneity

Cowles Foundation Discussion Paper No. 1966
Number of pages: 85 Posted: 03 Dec 2014
Ping Yu and Peter C. B. Phillips
The University of Hong Kong and Yale University - Cowles Foundation
Downloads 121 (276,000)
Citation 8

Abstract:

Loading...

Threshold regression, Endogeneity, Local shifter, Identification, Efficiency, Integrated difference kernel estimator, Regression discontinuity design, Optimal rate of convergence, Partial linear model, Specification test, U-statistic, Wild bootstrap, Threshold treatment model, 401(k) plan

57.

X-Differencing and Dynamic Panel Model Estimation

Cowles Foundation Discussion Paper No. 1747
Number of pages: 62 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 118 (281,073)
Citation 9

Abstract:

Loading...

GMM, Panel full aggregation, Stacked and pooled least squares, Panel unit root, X-Differencing

58.

Structural Change Tests in Tail Behaviour and the Asian Crisis

NYU Working Paper No. SOR-99-2
Number of pages: 32 Posted: 31 Oct 2008
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, New York University (NYU) and Yale University - Cowles Foundation
Downloads 118 (281,073)
Citation 2

Abstract:

Loading...

Simulation-Based Estimation of Contingent-Claims Prices

Cowles Foundation Discussion Paper No. 1596
Number of pages: 31 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 116 (285,881)

Abstract:

Loading...

Bias reduction, Bond pricing, Indirect inference, Option pricing, Simulation-based estimation

Simulation-Based Estimation of Contingent-Claims Prices

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3669-3705, 2009
Posted: 08 Sep 2009
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University

Abstract:

Loading...

C11, C15, G12

60.

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

Cowles Foundation Discussion Paper No. 1871
Number of pages: 53 Posted: 05 Sep 2012
Peter C. B. Phillips and Zhipeng Liao
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 115 (286,250)

Abstract:

Loading...

Cointegrated system, HAC estimation, Instrumental variables, Lasso regression, Karhunen-Loève representation, Long-run variance, Reproducing kernel Hilbert space, Oracle effciency, Orthonormal system, Trend basis

61.

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications

Cowles Foundation Discussion Paper No. 1612
Number of pages: 32 Posted: 14 Jun 2007 Last Revised: 19 Jul 2010
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 112 (291,579)

Abstract:

Loading...

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusion, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

62.

Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity

Cowles Foundation Discussion Paper No. 1541
Number of pages: 45 Posted: 05 Dec 2005
S.H. Hong and Peter C. B. Phillips
Korea Institute of Public Finance and Yale University - Cowles Foundation
Downloads 111 (293,381)
Citation 1

Abstract:

Loading...

Nonlinear cointegration, Specification test, RESET test, Noncentral chi-squared distribution

63.

Exact Local Whittle Estimation of Fractional Integration

Number of pages: 35 Posted: 01 Jun 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 111 (293,381)
Citation 17

Abstract:

Loading...

Discrete Fourier Transform, Fractional Integration, Long Memory, Nonstationarity, Semiparametric Estimation, Whittle Likelihood

64.

Efficient Estimation of Second Moment Parameters in Arch Models

UC Santa Cruz Economics Working Paper No. 541
Number of pages: 42 Posted: 09 Nov 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 110 (295,297)
Citation 6

Abstract:

Loading...

AR-ARCH, conditional GLS, conditional heteroskedasticity, efficient IV, restricted ARCH, unit root

65.

Structural Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1657
Number of pages: 26 Posted: 21 May 2008
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 105 (304,974)
Citation 5

Abstract:

Loading...

Brownian Local time, Cointegration, Functional regression, Gaussian process, Integrated process, Kernel estimate, Nonlinear functional, Nonparametric regression, Structural estimation, Unit root

66.

Information Loss in Volatility Measurement with Flat Price Trading

Cowles Foundation Discussion Paper No. 1598
Number of pages: 28 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 105 (304,974)

Abstract:

Loading...

Bernoulli process, Brownian semimartingale, Flat trading, Quarticity function, Realized volatility

67.

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Cowles Foundation Discussion Paper No. 1594
Number of pages: 27 Posted: 10 Dec 2006
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 105 (304,974)
Citation 6

Abstract:

Loading...

Brownian Local time, Cointegration, Integrated process, Local time density estimation, Nonlinear functionals, Nonparametric regression, Unit root

68.

Automated Estimation of Vector Error Correction Models

Cowles Foundation Discussion Paper No. 1873
Number of pages: 92 Posted: 05 Sep 2012
Zhipeng Liao and Peter C. B. Phillips
University of California, Los Angeles (UCLA) - Department of Economics and Yale University - Cowles Foundation
Downloads 103 (308,933)
Citation 7

Abstract:

Loading...

Adaptive shrinkage, Automation, Cointegrating rank, Lasso regression, Oracle efficiency, Transient dynamics, Vector error correction

69.

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585R
Number of pages: 31 Posted: 10 Dec 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 103 (308,933)
Citation 5

Abstract:

Loading...

Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

70.
Downloads 102 (310,953)
Citation 7

Functional Coefficient Nonstationary Regression

Cowles Foundation Discussion Paper No. 1911
Number of pages: 56 Posted: 19 Sep 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 58 (435,583)
Citation 7

Abstract:

Loading...

Aggregate consumption, Asymptotic theory, Cointegration, Density, Local time, Nonlinear functional, Nonparametric estimation, Semiparametric, Time series, Varying coefficient model

Functional Coefficient Nonstationary Regression

Number of pages: 55 Posted: 03 Aug 2013 Last Revised: 05 Aug 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 44 (493,077)
Citation 1

Abstract:

Loading...

Aggregate consumption, Asymptotic theory, cointegration, density, local time, nonlinear functional, nonparametric estimation, semiparametric, time series, varying coefficient model

71.

Pitfalls and Possibilities in Predictive Regression

Cowles Foundation Discussion Paper No. 2003
Number of pages: 43 Posted: 25 Jun 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 101 (313,074)
Citation 1

Abstract:

Loading...

Bias, Endogenous instrumentation, Indirect inference, IVX estimation, Local unit roots, Mild integration, Prediction, Quantile crossing, Unit roots, Zero coverage probability

72.

Log Periodogram Regression: The Nonstationary Case

Cowles Foundation Discussion Paper No. 1587
Number of pages: 30 Posted: 17 Oct 2006
Chang Sik Kim and Peter C. B. Phillips
Ewha Womans University - Department of Economics and Yale University - Cowles Foundation
Downloads 99 (317,079)

Abstract:

Loading...

Discrete Fourier transform, Fractional Brownian motion, Fractional integration, Inconsistency, Log periodogram regression, Long memory parameter, Nonstationarity, Semiparametric estimation

73.

Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter

Number of pages: 15 Posted: 25 Aug 2001
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 99 (317,079)

Abstract:

Loading...

Arfima, Edgeworth Expansion, Fractional Differencing, Pivotal Statistic

74.

Limit Theory for Moderate Deviations from a Unit Root Under Weak Dependence

Number of pages: 47 Posted: 11 Jun 2005
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 98 (319,206)
Citation 12

Abstract:

Loading...

Central limit theory, Diffusion, Explosive autoregression, Local to unity, Moderate deviations, Unit root distribution, Weak dependence

Change Detection and the Causal Impact of the Yield Curve

Cowles Foundation Discussion Paper No. 2058
Number of pages: 68 Posted: 08 Dec 2016
Stan Hurn, Peter C. B. Phillips and Shuping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 95 (328,025)
Citation 8

Abstract:

Loading...

Causality, Forward recursion, Hypothesis testing, Output, Recursive rolling test, Rolling window, Yield curve

Change Detection and the Causal Impact of the Yield Curve

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 966-987, 2018
Number of pages: 22 Posted: 07 Oct 2018
Shuping Shi, Peter C. B. Phillips and Stan Hurn
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Queensland University of Technology - School of Economics and Finance
Downloads 1 (798,432)
Citation 4
  • Add to Cart

Abstract:

Loading...

Causality, forward recursion, hypothesis testing, recursive evolving test, rolling window, yield curve, real economic activity

76.

Refined Inference on Long Memory in Realized Volatility

Cowles Foundation Discussion Paper No. 1549
Number of pages: 16 Posted: 05 Jan 2006
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 96 (323,438)

Abstract:

Loading...

ARFIMA, Edgeworth expansion, Fourier integral expansion, fractional differencing, improved inference, long memory, pivotal statistic, realized volatility, singularity

77.

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna - Department of Economics, Yale University - Cowles Foundation, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 95 (325,591)
Citation 3

Abstract:

Loading...

Unit root test, Lag selection, Information criteria, Wild bootstrap, Nonstationary volatility

78.

Hac Estimation by Automated Regression

Number of pages: 25 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 93 (330,104)
Citation 1

Abstract:

Loading...

Asymptotic mean squared error, automation, bias, HAC estimation, long run variance, trend regression, trignonometric polynomial

79.

Weak Convergence to Stochastic Integrals for Econometric Applications

Cowles Foundation Discussion Paper No. 1971
Number of pages: 30 Posted: 03 Dec 2014
Hanying Liang, Peter C. B. Phillips, Hanchao Wang and Qiying Wang
Tong Ji University - School of Economics and Management, Yale University - Cowles Foundation, Zhejiang University - College of Economics and University of Sydney
Downloads 90 (336,978)
Citation 3

Abstract:

Loading...

Decomposition, FM regression, Linear process, Long memory, Stochastic integral, Semimartingale, α-mixing

Detecting Financial Collapse and Ballooning Sovereign Risk

Cowles Foundation Discussion Paper No. 2110
Number of pages: 31 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 84 (354,669)
Citation 4

Abstract:

Loading...

Collapse, Crash, Exuberance, Recursive test, Rolling test, Sovereign risk

Detecting Financial Collapse and Ballooning Sovereign Risk

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 6, pp. 1336-1361, 2019
Number of pages: 26 Posted: 02 Jun 2020
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

81.

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior

Cowles Foundation Discussion Paper No. 1842
Number of pages: 32 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 83 (353,917)
Citation 3

Abstract:

Loading...

Unit root test, Mildly explosive process, Recursive regression, Size and power

82.

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Number of pages: 41 Posted: 01 Jun 2002
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 83 (353,917)
Citation 2

Abstract:

Loading...

Asymptotic Bias, Asymptotic Normality, Bias Reduction, Fractional Components Model, Perturbed Fractional Process, Rate of Convergence, Testing Perturbations

83.

Testing Mean Stability of Heteroskedastic Time Series

Cowles Foundation Discussion Paper No. 2006
Number of pages: 49 Posted: 26 Jun 2015
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), Queen Mary and Yale University - Cowles Foundation
Downloads 82 (356,506)
Citation 3

Abstract:

Loading...

Heteroskedasticity, KPSS test, Mean stability, Variance stability, VS test

84.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Number of pages: 50 Posted: 18 Jul 2005
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 81 (359,143)

Abstract:

Loading...

Diffusion, Drift Local time, Parametric estimation, Semimartingale, Stochastic differential equation

85.

Folklore Theorems, Implicit Maps and New Unit Root Limit Theory

Cowles Foundation Discussion Paper No. 1781
Number of pages: 43 Posted: 12 Jan 2011
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 79 (364,447)
Citation 3

Abstract:

Loading...

Binding function, Delta method, Exact bias, Implicit continuous maps, Indirect inference, Maximum likelihood

86.

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Cowles Foundation Discussion Paper No. 1547
Number of pages: 45 Posted: 04 Jan 2006
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 78 (367,156)
Citation 8

Abstract:

Loading...

Asymptotic efficiency, cointegrated system, instrumental variables, irrelevant instrument, Karhunen-Loève representation, long memory, optimal estimation, orthonormal basis, trend basis, trend likelihood

87.

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Cowles Foundation Discussion Paper No. 1661
Number of pages: 94 Posted: 23 May 2008
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 77 (369,917)

Abstract:

Loading...

Asymptotic expansion, Bias, Confidence interval, Coverage probability, Edgeworth expansion, Lag kernel, Long run variance, Optimal bandwidth, Spectrum

88.

Limit Theory for Moderate Deviations from a Unit Root

Number of pages: 28 Posted: 27 Jul 2004
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 77 (369,917)
Citation 2

Abstract:

Loading...

Central limit theory, Diffusion, Explosive autoregression, Local to unity, Moderate deviations, Unit root distribution

89.

Unit Root Model Selection

Cowles Foundation Discussion Paper No. 1653
Number of pages: 15 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 76 (372,650)

Abstract:

Loading...

AIC, Consistency, Model selection, Nonparametric, Unit root

90.

Homogeneity Pursuit in Panel Data Models: Theory and Applications

Cowles Foundation Discussion Paper No. 2063
Number of pages: 58 Posted: 08 Dec 2016
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 75 (375,531)
Citation 2

Abstract:

Loading...

CARDS, Clustering, Heterogeneous slopes, Income and democracy, Minimum wage and employment, Oracle estimator, Panel structure model

91.

First Difference MLE and Dynamic Panel Estimation

Cowles Foundation Discussion Paper No. 1780
Number of pages: 33 Posted: 12 Jan 2011
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 75 (375,531)
Citation 4

Abstract:

Loading...

Asymptote, Bounded support, Dynamic panel, Efficiency, First difference MLE, Likelihood, Quartic equation, Restricted extremum estimator

92.

Gaussian Inference in Ar(1) Time Series with or Without a Unit Root

Cowles Foundation Discussion Paper No. 1546
Number of pages: 17 Posted: 04 Jan 2006
Peter C. B. Phillips and Chirok Han
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 75 (375,531)
Citation 18

Abstract:

Loading...

Autoregression, differencing, Gaussian limit, mildly explosive processes, uniformity, unit root

93.

Two New Zealand Pioneer Econometricians

Cowles Foundation Discussion Paper No. 1750
Number of pages: 37 Posted: 15 Jan 2010
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 74 (378,358)

Abstract:

Loading...

Aitken, Cramér Rao bound, HP filter, Minimum variance unbiased estimation, Projection, GLS; Bergstrom, Continuous time, Exact distribution, LIML, UK economy; Pioneers of econometrics

94.

Long Memory and Long Run Variation

Cowles Foundation Discussion Paper No. 1656
Number of pages: 24 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 74 (378,358)

Abstract:

Loading...

Asymptotic expansion, Autocovariance function, Fractional pole, Fourier integral, Generalized function, Long memory, Long range dependence, Singularity

95.

Common Bubble Detection in Large Dimensional Financial Systems

Macquarie Business School Research Paper
Number of pages: 44 Posted: 10 Oct 2019 Last Revised: 27 Apr 2020
Ye Zoe Chen, Peter C. B. Phillips and Shuping Shi
Capital University of Economics and Business - International School of Economics and Management, Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 73 (381,133)
Citation 4

Abstract:

Loading...

Common Bubbles, Mildly Explosive Process, Factor Analysis, Date Stamping, Real Estate Markets

96.

Edmond Malinvaud: A Tribute to His Contributions in Econometrics

Cowles Foundation Discussion Paper No. 2002
Number of pages: 16 Posted: 25 Jun 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 73 (381,133)
Citation 2

Abstract:

Loading...

Edmond Malinvaud, Statistical Methods of Econometrics, Linear Estimation, Nonlinear regression

97.

A New Approach to Robust Inference in Cointegration

Cowles Foundation Discussion Paper No. 1538
Number of pages: 16 Posted: 24 Oct 2005
Sainan Jin, Peter C. B. Phillips and Yixiao Sun
Peking University - Guanghua School of Management, Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 73 (381,133)

Abstract:

Loading...

Cointegration, HAC estimation, long-run covariance matrix, robust inference, steep origin kernel, fully modified estimation

98.

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Cowles Foundation Discussion Paper No. 1545
Number of pages: 52 Posted: 04 Jan 2006
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, Yale University - Cowles Foundation and Peking University - Guanghua School of Management
Downloads 72 (384,050)
Citation 3

Abstract:

Loading...

Asymptotic expansion, bandwidth choice, kernel method, long-run variance, loss function, nonstandard asymptotics, robust standard error, Type I and Type II errors

99.

Econometric Measurement of Earth's Transient Climate Sensitivity

Cowles Foundation Discussion Paper No. 2083
Number of pages: 53 Posted: 13 Mar 2017
Peter C. B. Phillips, Thomas Leirvik and Trude Storelvmo
Yale University - Cowles Foundation, University of Lugano - Institute of Finance and Yale University
Downloads 71 (387,000)
Citation 3

Abstract:

Loading...

Climate Sensitivity, Cointegration, Common Stochastic Trend, Idiosyncratic Trend, Spatio-Temporal Model, Unit Root

100.

Boosting: Why you Can Use the HP Filter

Cowles Foundation Discussion Paper No. 2212, December 2019
Number of pages: 57 Posted: 07 Dec 2019
Peter C. B. Phillips and Zhentao Shi
Yale University - Cowles Foundation and Department of Economics, the Chinese University of Hong Kong
Downloads 69 (393,122)
Citation 3

Abstract:

Loading...

Boosting, Cycles, Empirical macroeconomics, Hodrick-Prescott filter, Machine learning, Nonstationary time series, Trends, Unit root processes

101.

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Number of pages: 20 Posted: 27 Jul 2004
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 69 (393,122)

Abstract:

Loading...

ARFIMA; Bootstrap; Edgeworth expansion; Fractional differencing; Pivotal statistic

102.

Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra

Number of pages: 23 Posted: 13 Jun 2002
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 69 (393,122)

Abstract:

Loading...

Asymptotic Expansion, Higher Cumulants, Long Memory, Singularity, Spectral Density, Toeplitz Matrix

103.

Limit Theory for Explosively Cointegrated Systems

Cowles Foundation Discussion Paper No. 1614
Number of pages: 25 Posted: 14 Jun 2007
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 68 (396,087)

Abstract:

Loading...

Central limit theory, Exposive cointegration, Explosive process, Mixed normality

104.

Weak σ- Convergence: Theory and Applications

Cowles Foundation Discussion Paper No. 2072
Number of pages: 67 Posted: 18 Jan 2017
Jianning Kong, Peter C. B. Phillips and Donggyu Sul
Shandong University, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 67 (399,224)
Citation 1

Abstract:

Loading...

Asymptotics under misspecified trend regression, Cross section dependence, Evaporating trend, Relative convergence, Trend regression, Weak σ-convergence

105.

Testing the Martingale Hypothesis

Cowles Foundation Discussion Paper No. 1912
Number of pages: 47 Posted: 18 Sep 2013
Peter C. B. Phillips and Sainan Jin
Yale University - Cowles Foundation and Singapore Management University
Downloads 66 (402,365)
Citation 2

Abstract:

Loading...

Brownian functional, Martingale hypothesis, Kolmogorov-Smirnov test, Cramér-von Mises test, Explosive process, Exchange rates

106.

A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process

Cowles Foundation Discussion Paper No. 1586
Number of pages: 23 Posted: 17 Oct 2006
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 63 (412,198)
Citation 2

Abstract:

Loading...

Autocovariance, Asymptotic expansion, Critical point, Fourier integral, Long memory

107.

Specification Testing for Nonlinear Cointegrating Regression

Cowles Foundation Discussion Paper No. 1779
Number of pages: 67 Posted: 12 Jan 2011 Last Revised: 21 Feb 2011
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 62 (415,509)
Citation 3

Abstract:

Loading...

Intersection local time, Kernel regression, Nonlinear nonparametric model, Ornstein-Uhlenbeck process, Specification tests, Weak convergence

108.

Uniform Limit Theory for Stationary Autoregression

Number of pages: 10 Posted: 27 Jul 2004
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 62 (415,509)
Citation 5

Abstract:

Loading...

Autoregression, Gaussian limit theory, local to unity, uniform limit

109.

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Cowles Foundation Discussion Paper No. 1879
Number of pages: 28 Posted: 22 Sep 2012
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 61 (418,753)
Citation 15

Abstract:

Loading...

Autoregressive root, Confidence belt, Confidence interval, Coverage probability, Local to unity, Localizing coefficient, Predictive regression, Tightness

110.

Improved Har Inference Using Power Kernels Without Truncation

Number of pages: 52 Posted: 11 Jun 2005
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 61 (418,753)

Abstract:

Loading...

Asymptotic expansion, consistent HAC estimation, data-determined kernel estimation, exact distribution, HAR inference, large p asymptotics, long run variance, loss function, power parameter, sharp origin kernel.

111.

A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

Cowles Foundation Discussion Paper No. 1704
Number of pages: 32 Posted: 05 Jun 2009
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 60 (422,216)

Abstract:

Loading...

bias-correction, endogeneity, Kernel regression, L_{2} regression, location shift, nonparametric IV, nonstationarity, paradox, spatial regression, structural estimation

112.

Long Run Covariance Matrices for Fractionally Integrated Processes

Cowles Foundation Discussion Paper No. 1611
Number of pages: 15 Posted: 14 Jun 2007
Peter C. B. Phillips and Chang Sik Kim
Yale University - Cowles Foundation and Ewha Womans University - Department of Economics
Downloads 60 (422,216)
Citation 1

Abstract:

Loading...

Asymptotic expansion, Autocovariance function, Fourier integral, Long memory, Long run variance, Spectral density

113.

Nonstationary Discrete Choice: A Corrigendum and Addendum

Number of pages: 54 Posted: 11 Jun 2005
Peter C. B. Phillips, Sainan Jin and Ling Hu
Yale University - Cowles Foundation, Peking University - Guanghua School of Management and Yale University - Department of Economics
Downloads 60 (422,216)
Citation 1

Abstract:

Loading...

Brownian motion, Brownian local time, Discrete choices, Integrated processes, Pile-up problem, Threshold parameters.

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Number of pages: 60 Posted: 25 Jul 2017 Last Revised: 24 Aug 2017
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 33 (548,717)
Citation 1

Abstract:

Loading...

Cointegration; FM-kernel Estimation; Generalized Wald Test; Global Rotation; Kernel Degeneracy; Local Rotation; Super-Consistency; Time-Varying Coefficients

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Cowles Foundation Discussion Paper No. 2109
Number of pages: 60 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 25 (598,905)
Citation 2

Abstract:

Loading...

Cointegration, FM-kernel estimation, Generalized Wald test, Global rotation, Kernel degeneracy, Local rotation, Super-consistency, Time-varying coefficients

115.

Restricted Likelihood Ratio Tests in Predictive Regression

Cowles Foundation Discussion Paper No. 1968
Number of pages: 66 Posted: 03 Dec 2014
Peter C. B. Phillips and Ye Chen
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 58 (429,187)
Citation 1

Abstract:

Loading...

Localized drift, Predictive regression, Restricted likelihood ratio test, Size distortion

116.

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

HKIMR Working Paper No.17/2011
Number of pages: 32 Posted: 29 Jun 2011
Shuping Shi, Peter C. B. Phillips and Jun Yu
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University
Downloads 58 (429,187)

Abstract:

Loading...

Unit Root Test, Mildly Explosive Process, Recursive Regression, Size, Power

117.

Diagnosing Housing Fever with an Econometric Thermometer

CAMA Working Paper No. 43/2020, Macquarie Business School Research Paper, The University of Auckland Business School Research Paper
Number of pages: 32 Posted: 05 May 2020
Shuping Shi and Peter C. B. Phillips
Macquarie University and Yale University - Cowles Foundation
Downloads 57 (432,792)
Citation 1

Abstract:

Loading...

Housing bubbles, periodically collapsing, unobservable, fundamentals, explosive, IVX, Australia housing markets

118.

VARs with Mixed Roots Near Unity

Cowles Foundation Discussion Paper No. 1845
Number of pages: 25 Posted: 09 Jan 2012
Peter C. B. Phillips and Ji Hyung Lee
Yale University - Cowles Foundation and Yale University - Department of Economics
Downloads 56 (436,337)

Abstract:

Loading...

Common roots, Local to unity, Mildly explosive, Mixed roots, Model selection, Persistence, Tests of common roots

119.

Local Limit Theory and Spurious Nonparametric Regression

Cowles Foundation Discussion Paper No. 1654
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 56 (436,337)

Abstract:

Loading...

Brownian motion, Kernel method, Local R² , Local Durbin-Watson ratio, Local time, Integrated process, Nonparametric regression, Spurious regression

120.

Tribute to T. W. Anderson

Cowles Foundation Discussion Paper No. 2081
Number of pages: 7 Posted: 13 Mar 2017
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 55 (439,987)

Abstract:

Loading...

T. W. Anderson, Cowles Commission, Limited information maximum likelihood, Multivariate analysis, Time series

121.

Inconsistent VAR Regression with Common Explosive Roots

Cowles Foundation Discussion Paper No. 1777
Number of pages: 33 Posted: 12 Jan 2011
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 55 (439,987)
Citation 3

Abstract:

Loading...

Co-explosive behavior, Common roots, Endogeneity, Forward instrumentation, Geometric multiplicity, Reverse martingale

122.

Meritocracy Voting: Measuring the Unmeasurable

Cowles Foundation Discussion Paper No. 1833
Number of pages: 25 Posted: 01 Nov 2011
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 54 (443,594)

Abstract:

Loading...

Bibliometric data, Election, Fellowship, Measurement, Meritocracy, Peer review, Quantification, Subjective assessment, Voting

123.

Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres

Cowles Foundation Discussion Paper No. 2004
Number of pages: 34 Posted: 25 Jun 2015
Ryan Greenaway-McGrevy and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 53 (447,373)
Citation 9

Abstract:

Loading...

Bubble, Exuberance, Collapse, Contagion, Dating methods, House prices, Property market, Sup test

124.

Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor

Cowles Foundation Discussion Paper No. 1702
Number of pages: 43 Posted: 04 Jun 2009
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 53 (447,373)
Citation 2

Abstract:

Loading...

fixed effects, kernel regression, location shift, mixing, nonparametric IV, nonstationarity, panel model, structural estimation

125.

Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process

Cowles Foundation Discussion Paper No. 2131
Number of pages: 28 Posted: 25 May 2018
Farzad Sabzikar, Qiying Wang and Peter C. B. Phillips
Iowa State University, University of Sydney and Yale University - Cowles Foundation
Downloads 51 (454,871)

Abstract:

Loading...

Asymptotics, Fractional Brownian motion, Long memory, Near Integration, Tempered processes

126.

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects

Cowles Foundation Discussion Paper No. 1832
Number of pages: 25 Posted: 01 Nov 2011
Zhang Yonghui, Liangjun Su and Peter C. B. Phillips
affiliation not provided to SSRN, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 50 (458,847)
Citation 1

Abstract:

Loading...

Common trends, Local polynomial estimation, Nonparametric goodness-of-fit, Panel data, Profile least squares

127.

Semiparametric Estimation in Time Series of Simultaneous Equations

Cowles Foundation Discussion Paper No. 1769
Number of pages: 51 Posted: 14 Sep 2010
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 49 (462,757)
Citation 1

Abstract:

Loading...

Endogeneity, exogeneity, Nonstationarity, Partially linear model, Simultaneous equation, Stochastic detrending, Vector semiparametric regression

128.

A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing

Cowles Foundation Discussion Paper No. 1964
Number of pages: 57 Posted: 03 Dec 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 48 (466,844)

Abstract:

Loading...

Autoregression; Derivative, Diffusion, Options, Similarity, Stochastic unit root, Time-varying coefficients

129.

Dynamic Panel GMM with Near Unity

Cowles Foundation Discussion Paper No. 1962
Number of pages: 37 Posted: 03 Dec 2014
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 48 (466,844)
Citation 4

Abstract:

Loading...

Cauchy limit theory, Dynamic panel, GMM estimation, Instrumental variable, Irrelevant instruments, Panel unit roots, Persistence

130.

Fully Modified Least Squares for Multicointegrated Systems

Cowles Foundation Discussion Paper No. 2210, November 2019
Number of pages: 36 Posted: 07 Dec 2019
Igor Kheifets and Peter C. B. Phillips
Instituto Tecnológico Autónomo de México (ITAM) and Yale University - Cowles Foundation
Downloads 47 (471,003)

Abstract:

Loading...

Cointegration, Multicointegration, Fully modified regression, Singular long run variance matrix, Degenerate Wald test, Fiscal sustainability

131.

Testing Equality of Covariance Matrices via Pythagorean Means

Cowles Foundation Discussion Paper No. 1970
Number of pages: 49 Posted: 03 Dec 2014
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 46 (475,109)
Citation 1

Abstract:

Loading...

Matrix equality, Trace, Determinant, Arithmetic mean, Geometric mean, Harmonic mean, Information matrix, Eigenvalues, Parametric bootstrap

132.

Exact Distribution Theory in Structural Estimation with an Identity

Cowles Foundation Discussion Paper No. 1613
Number of pages: 28 Posted: 14 Jun 2007
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 46 (475,109)

Abstract:

Loading...

Exact distribution, Identity, IV estimation, LIML, Structural equation, Uniform asymptotic expansion

133.

Dynamic Misspecification in Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1700
Number of pages: 33 Posted: 05 Jun 2009
Ioannis Kasparis and Peter C. B. Phillips
University of Cyprus - Department of Economics and Yale University - Cowles Foundation
Downloads 45 (479,357)
Citation 9

Abstract:

Loading...

dynamic misspecification, functional regression, integrable function, integrated process, local time, misspecification, mixed normality, nonlinear cointegration, nonparametric regression

134.

Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution

Cowles Foundation Discussion Paper No. 1548
Number of pages: 25 Posted: 05 Jan 2006
Nicholas Z. Muller and Peter C. B. Phillips
Yale University - School of Forestry and Environmental Studies and Yale University - Cowles Foundation
Downloads 43 (488,067)

Abstract:

Loading...

Air pollution, idiosyncratic component, regional variation, semi-parametric model, sinusoidal function, spatial-temporal data, tropospheric ozone

135.

A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation

Cowles Foundation Discussion Paper No. 1540
Number of pages: 14 Posted: 05 Dec 2005
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 43 (488,067)

Abstract:

Loading...

Attraction, bimodality, concentration parameter, identity, inverse normal, point of compression, structural equation, weak instrumentation

136.

Dynamic Panel Modeling of Climate Change

Cowles Foundation Discussion Paper No. 2150
Number of pages: 34 Posted: 14 Dec 2018
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 42 (492,390)
Citation 1

Abstract:

Loading...

Climate modeling, Cointegration, Difference GMM, Dynamic panel, Spatio-temporal modeling, System GMM, Transient climate sensitivity, Within group estimation

137.

Testing Linearity Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 1917
Number of pages: 54 Posted: 18 Sep 2013
Yaein Baek, Jin Seo Cho and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics, Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 42 (492,390)
Citation 4

Abstract:

Loading...

Box Cox transform, Gaussian stochastic process, Neglected nonlinearity, Power transformation, Quasi-likelihood ratio test, Trend exponent, Trifold identification problem

138.

Bootstrapping I(1) Data

Cowles Foundation Discussion Paper No. 1689
Number of pages: 12 Posted: 21 Jan 2009
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 42 (492,390)

Abstract:

Loading...

Asymptotic theory, Block bootstrap, Bootstrap, Brownian motion, Continuous path bootstrap, Embedding, Unit root

139.

Consistent Misspecification Testing in Spatial Autoregressive Models

Number of pages: 58 Posted: 03 Sep 2020
Jungyoon Lee, Peter C. B. Phillips and Francesca Rossi
University of London, Royal Holloway College - Department of Economics, Yale University - Cowles Foundation and University of Verona - Department of Economics
Downloads 41 (496,892)

Abstract:

Loading...

Conditional moment test, Misspecification test, Omnibus testing, Spatial AR, Weight matrix misspecification

140.

Identifying Latent Structures in Panel Data

Cowles Foundation Discussion Paper No. 1965
Number of pages: 77 Posted: 03 Dec 2014
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University - School of Economics, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 40 (501,367)
Citation 18

Abstract:

Loading...

Classification, Cluster analysis, Convergence club, Dynamic panel, Group Lasso, High dimensionality, Oracle property, Panel structure model, Parameter heterogeneity, Penalized least squares, Penalized GMM

141.

LAD Asymptotics Under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Cowles Foundation Discussion Paper No. 1703
Number of pages: 11 Posted: 04 Jun 2009
Jin Seo Cho, Chirok Han and Peter C. B. Phillips
Korea University - Department of Economics, University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 40 (501,367)

Abstract:

Loading...

asymptotic leptokurtosis, convex function, infinite density, least absolute deviations, median, weak convergence

142.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 17 Mar 2019
Yubo Tao, Peter C. B. Phillips and Jun Yu
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 39 (506,003)
Citation 3

Abstract:

Loading...

Continuous time models, Explosive path, Extreme behaviour, Random coefficient autoregression, Infill asymptotics, Bubble testing

143.

Bias in Estimating Multivariate and Univariate Diffusions

Cowles Foundation Discussion Paper No. 1778
Number of pages: 38 Posted: 12 Jan 2011
Xiaohu Wang, Peter C. B. Phillips and Jun Yu
University of Central Florida - Department of Public Administration, Yale University - Cowles Foundation and Singapore Management University
Downloads 37 (515,326)
Citation 2

Abstract:

Loading...

Bias, Diffusion, Euler approximation, Trapezoidal approximation, Milstein approximation

144.

Nonlinear Cointegrating Regression Under Weak Identification

Cowles Foundation Discussion Paper 1768
Number of pages: 47 Posted: 14 Sep 2010
Xiaoxia Shi and Peter C. B. Phillips
University of Wisconsin - Madison and Yale University - Cowles Foundation
Downloads 37 (515,326)
Citation 2

Abstract:

Loading...

Integrated process, Local time, Nonlinear regression, Uniform weak convergence, Weak identification

145.

Model Selection in the Presence of Incidental Parameters

Cowles Foundation Discussion Paper No. 1919
Number of pages: 39 Posted: 06 Oct 2013
Yoonseok Lee and Peter C. B. Phillips
Syracuse University - Center for Policy Research and Yale University - Cowles Foundation
Downloads 36 (520,110)
Citation 7

Abstract:

Loading...

(Adaptive) model selection, incidental parameters, profile likelihood, Kullback-Leibler information, Bayes factor, integrated likelihood, robust prior, model complexity, fixed effects, lag order

146.

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Cowles Foundation Discussion Paper No. 1690
Number of pages: 35 Posted: 21 Jan 2009
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 36 (520,110)
Citation 1

Abstract:

Loading...

Asymptotic normality, Integrated periodogram, Linear process, Local to unity, Localizing coefficient, Moderate deviation, Unit root

147.

Inference in Near Singular Regression

Cowles Foundation Discussion Paper No. 2009
Number of pages: 21 Posted: 14 Jul 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 35 (525,202)
Citation 4

Abstract:

Loading...

Endogeneity, Instrumental variable, Overidentification test, Regression, Singular Signal Matrix, Structural equation

148.

Smoothing Local-to-Moderate Unit Root Theory

Cowles Foundation Discussion Paper No. 1659
Number of pages: 18 Posted: 21 May 2008
Peter C. B. Phillips, Tassos Magdalinos and Liudas Giraitis
Yale University - Cowles Foundation, University of York and University of York - Department of Mathematics and Economics
Downloads 35 (525,202)
Citation 2

Abstract:

Loading...

Edgeworth expansion, Local to unity, Moderate deviations, Unit root distribution

149.

Inference and Specification Testing in Threshold Regression with Endogeneity

Cowles Foundation Discussion Paper No. 2209, November 2019
Number of pages: 87 Posted: 07 Dec 2019
Ping Yu, Qin Liao and Peter C. B. Phillips
The University of Hong Kong, The University of Hong Kong and Yale University - Cowles Foundation
Downloads 34 (530,358)
Citation 1

Abstract:

Loading...

Threshold regression, Endogeneity, Identification, Confidence interval, 2SLS, IDKE, Secification testing, Bootstrap, U-statistic

150.

True Limit Distributions of the Anderson-Hsiao Iv Estimators in Panel Autoregression

Cowles Foundation Discussion Paper No. 1963
Number of pages: 10 Posted: 03 Dec 2014
Peter C. B. Phillips and Chirok Han
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 33 (535,501)
Citation 4

Abstract:

Loading...

Dynamic panel, IV estimation, Levels and difference instruments

151.

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Cowles Foundation Discussion Paper No. 1749
Number of pages: 51 Posted: 15 Jan 2010
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, Yale University - Cowles Foundation and Peking University - Guanghua School of Management
Downloads 33 (535,501)
Citation 2

Abstract:

Loading...

Asymptotic expansion, HAC estimation, Long run variance, Loss function, Optimal smoothing parameter, Power kernel, Power maximization, Size control, Type I error, Type II error

152.

Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

Cowles Foundation Discussion Paper No. 1746
Number of pages: 32 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 33 (535,501)
Citation 6

Abstract:

Loading...

Aggregating information, Asymptotic normality, Bias Reduction, Differencing, Efficiency, Full aggregation, Maximum likelihood estimation.

153.

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

Cowles Foundation Discussion Paper No. 1687
Number of pages: 25 Posted: 21 Jan 2009
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 33 (535,501)
Citation 1

Abstract:

Loading...

Brownian local time, Cointegration, Integrated process, Local time density estimation, Nonlinear functionals, Nonparametric regression, Unit root, Zero energy functional

Boundary Limit Theory for Functional Local to Unity Regression

Cowles Foundation Discussion Paper No. 2108
Number of pages: 46 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 31 (560,098)
Citation 3

Abstract:

Loading...

Boundary asymptotics, Functional local unit root, Local to unity, Sequential limits, Simultaneous limits, Unit

Boundary Limit Theory for Functional Local to Unity Regression

Journal of Time Series Analysis, Vol. 39, Issue 4, pp. 523-562, 2018
Number of pages: 40 Posted: 12 Jun 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 1 (798,432)
  • Add to Cart

Abstract:

Loading...

Boundary asymptotics, functional local unit root, local to unity, sequential limits, simultaneous limits, unit root model

155.

Uniform Inference in Panel Autoregression

Cowles Foundation Discussion Paper No. 2071
Number of pages: 325 Posted: 18 Jan 2017
John C. Chao and Peter C. B. Phillips
University of Maryland and Yale University - Cowles Foundation
Downloads 32 (540,718)
Citation 2

Abstract:

Loading...

Confidence interval, Dynamic panel data models, panel IV, pooled OLS, Pretesting, Uniform inference

156.

Optimal Estimation Under Nonstandard Conditions

Cowles Foundation Discussion Paper No. 1748
Number of pages: 20 Posted: 15 Jan 2010
Werner Ploberger and Peter C. B. Phillips
affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 32 (540,718)
Citation 1

Abstract:

Loading...

Bayesian asymptotics, Asymptotic normality, Local asymptotic normality, Locally asymptotic quadratic, Optimality property of MLE, Weak convergence

157.

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Cowles Foundation Discussion Paper No. 1929
Number of pages: 25 Posted: 26 Nov 2013 Last Revised: 18 Dec 2013
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 31 (546,020)
Citation 2

Abstract:

Loading...

Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients

158.

Unit Root and Cointegrating Limit Theory When Initialization is in the Infinite Past

Cowles Foundation Discussion Paper No. 1655
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 31 (546,020)
Citation 3

Abstract:

Loading...

Cauchy limit distribution, Cointegration, Distant past initialization, Infinite past initialization, Random orthonormalization, Singular limit theory

159.

Structural Inference from Reduced Forms with Many Instruments

Cowles Foundation Discussion Paper No. 2062
Number of pages: 46 Posted: 08 Dec 2016
Peter C. B. Phillips and Wayne Yuan Gao
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 29 (557,109)

Abstract:

Loading...

Exact distributions, Partial identification, Partially restricted reduced form, Structural inference, Unidentified structure, Weak reduced form

160.

Latent Variable Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 2111
Number of pages: 29 Posted: 20 Sep 2017 Last Revised: 16 Mar 2018
Qiying Wang, Peter C. B. Phillips and Ioannis Kasparis
University of Sydney, Yale University - Cowles Foundation and University of Cyprus - Department of Economics
Downloads 28 (562,937)
Citation 1

Abstract:

Loading...

Cointegrating regression, Kernel regression, Latent variable, Local time, Misspecification, Nonlinear nonparametric nonstationary regression

161.

Non-Linearity Induced Weak Instrumentation

Cowles Foundation Discussion Paper No. 1872
Number of pages: 39 Posted: 07 Sep 2012
Ioannis Kasparis, Peter C. B. Phillips and Tassos Magdalinos
University of Cyprus - Department of Economics, Yale University - Cowles Foundation and University of York
Downloads 28 (562,937)

Abstract:

Loading...

Instrumental variables, Integrable function, Integrated process, Invariance principle, Local time, Mixed normality, Stationarity, Nonlinear cointegration, Unit roots, Weak Instruments

162.

Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices

Cowles Foundation Discussion Paper No. 2151
Number of pages: 40 Posted: 11 Dec 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 27 (568,958)

Abstract:

Loading...

Autoregression, Diffusion, Kurtosis, Stochastic unit root, Time-varying coefficients

163.

Nonlinear Cointegrating Power Function Regression with Endogeneity

Cowles Foundation Discussion Paper No. 2211, December 2019
Number of pages: 42 Posted: 07 Dec 2019
Zhishui Hu, Peter C. B. Phillips and Qiying Wang
University of Science and Technology of China (USTC), Yale University - Cowles Foundation and University of Sydney
Downloads 26 (575,241)

Abstract:

Loading...

Nonlinear power regression, Least squares estimation, Nonstationarity, Endogeneity, Heteroscedasticity

164.

HAR Testing for Spurious Regression in Trend

Cowles Foundation Discussion Paper No. 2153
Number of pages: 37 Posted: 14 Dec 2018
Peter C. B. Phillips, Yonghui Zhang and Xiaohu Wang
Yale University - Cowles Foundation, Renmin University of China and Singapore Management University
Downloads 26 (575,241)

Abstract:

Loading...

HAR inference, Karhunen-Loève representation, Spurious regression, t-statistics

Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions

Cowles Foundation Discussion Paper No. 1916
Number of pages: 49 Posted: 18 Sep 2013
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 25 (598,905)

Abstract:

Loading...

Autoregression, Consistency, Nonlinear diffusion, Nonstationarity, Similarity, Small sigma approximation, Stochastic unit root, Time-varying coefficients

Norming Rates and Limit Theory for Some Time‐Varying Coefficient Autoregressions

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 592-623, 2014
Number of pages: 32 Posted: 24 Oct 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 1 (798,432)
  • Add to Cart

Abstract:

Loading...

Autoregression, consistency, nonlinear diffusion, non‐stationarity, similarity, small‐sigma approximation, stochastic unit root, time‐varying coefficients.JEL. C22

166.

Hybrid Stochastic Local Unit Roots

Cowles Foundation Discussion Paper No. 2113
Number of pages: 40 Posted: 12 Dec 2017 Last Revised: 16 Mar 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 25 (581,570)
Citation 4

Abstract:

Loading...

Autoregression, Nonlinear diffusion, Stochastic unit roo, Time-varying coefficient

167.

Point Optimal Testing with Roots That Are Functionally Local to Unity

Cowles Foundation Discussion Paper No. 2107
Number of pages: 40 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 24 (588,015)
Citation 5

Abstract:

Loading...

Functional local unit root, Local to unity, Uniform confidence interval, Unit root model

168.

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 2060
Number of pages: 47 Posted: 08 Dec 2016
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 24 (588,015)
Citation 5

Abstract:

Loading...

QLR test, Asymptotic null distribution, Misspecification, Mincer equation, Nonlinearity, Polynomial model, Power Gaussian process, Sequential testing

169.

Minimum Distance Testing and Top Income Shares in Korea

Cowles Foundation Discussion Paper No. 2007
Number of pages: 49 Posted: 26 Jun 2015
Jin Seo Cho, Myung-Ho Park and Peter C. B. Phillips
Yonsei University - Department of Economics, Korea Institute of Public Finance and Yale University - Cowles Foundation
Downloads 24 (588,015)

Abstract:

Loading...

Brownian bridge, Cramér-von Mises statistic, Distribution-free asymptotics, Null distribution, Minimum distance estimator, Empirical distribution, goodness-of-fit test, Crámer-von Mises distance, Top income shares, Pareto interpolation

170.

IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models

Cowles Foundation Discussion Paper No. 2061
Number of pages: 46 Posted: 08 Dec 2016
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 19 (621,338)
Citation 2

Abstract:

Loading...

Autoregression, Diffusion; Similarity, Stochastic unit root, Time-varying coefficients

171.

Inference in Autoregression Under Heteroskedasticity

Journal of Time Series Analysis, Vol. 27, No. 2, pp. 289-308, March 2006
Number of pages: 20 Posted: 08 May 2006
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 17 (635,097)
Citation 3
  • Add to Cart

Abstract:

Loading...

172.

Functional Coefficient Panel Modeling with Communal Smoothing Covariates

Cowles Foundation Discussion Paper No. 2193, May 2019
Number of pages: 81 Posted: 05 Sep 2019
Peter C. B. Phillips and Ying Wang
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 14 (656,511)
Citation 2

Abstract:

Loading...

Climate modeling, Communal covariates, Fixed effects, Functional coefficients, Panel data, Spatial modeling

173.

Pooled Log Periodogram Regression

Number of pages: 37 Posted: 19 Nov 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 14 (656,511)
Citation 1
  • Add to Cart

Abstract:

Loading...

174.

Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US

Cowles Foundation Discussion Paper No. 2259
Number of pages: 20 Posted: 27 Oct 2020
Todd Henry and Peter C. B. Phillips
University of Auckland and Yale University - Cowles Foundation
Downloads 10 (686,238)

Abstract:

Loading...

Forecasting, Inversion, Recession indicator, Yield curve

175.

Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation

International Economic Review, Vol. 47, No. 3, pp. 837-894, August 2006
Number of pages: 58 Posted: 01 Mar 2007
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 10 (686,238)
  • Add to Cart

Abstract:

Loading...

176.

Continuously Updated Indirect Inference in Heteroskedastic Spatial Models

Cowles Foundation Discussion Paper No. 2208, October 2019
Number of pages: 41 Posted: 07 Dec 2019
Maria Kyriacou, Peter C. B. Phillips and Francesca Rossi
University of Southampton, Yale University - Cowles Foundation and University of Verona - Department of Economics
Downloads 9 (693,792)
Citation 1

Abstract:

Loading...

Spatial autoregression, Unknown heteroskedasticity, Indirect inference, Robust methods, Weights matrix

177.

Boosting the Hodrick-Prescott Filter

Cowles Foundation Discussion Paper No. 2192, May 2019
Number of pages: 46 Posted: 05 Sep 2019
Peter C. B. Phillips and Zhentao Shi
Yale University - Cowles Foundation and Department of Economics, the Chinese University of Hong Kong
Downloads 5 (724,392)
Citation 4

Abstract:

Loading...

Boosting, Cycles, Empirical macroeconomics, Hodrick-Prescott filter, Machine learning, Nonstationary time series, Trends, Unit root processes

178.

A Primer on Unit Root Testing

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 423-470, 1998
Number of pages: 48 Posted: 13 Sep 2012
Peter C. B. Phillips and Zhijie Xiao
Yale University - Cowles Foundation and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 1 (762,819)
Citation 2
  • Add to Cart

Abstract:

Loading...

179.

Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 3, pp. 315-333, 2014
Number of pages: 19 Posted: 24 Apr 2014
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 0 (780,600)
Citation 7
  • Add to Cart

Abstract:

Loading...

180.
Downloads 0 (762,819)

Nonparametric Predictive Regression

Cowles Foundation Discussion Paper No. 1878
Posted: 22 Sep 2012
Ioannis Kasparis, Elena Andreou and Peter C. B. Phillips
University of Cyprus - Department of Economics, University of Cyprus - Department of Economics and Yale University - Cowles Foundation

Abstract:

Loading...

Functional regression, Nonparametric predictability test, Nonparametric regression, Stock returns, Predictive regression

Nonparametric Predictive Regression

CEPR Discussion Paper No. DP9570
Posted: 24 Jul 2013
Elena Andreou, Ioannis Kasparis and Peter C. B. Phillips
University of Cyprus - Department of Economics, University of Cyprus - Department of Economics and Yale University - Cowles Foundation

Abstract:

Loading...

functional regression, nonparametric predictability test, nonparametric regression, predictive regression, stock returns

181.

Early Develoment of Econometric Software at the University of Auckland

Journal of Economic and Social Measure, Vol. 29, No. 1-3, pp. 127-133, 2004 , COMPUTATIONAL ECONOMETRICS: ITS IMPACT ON THE DEVELOPMENT OF QUANTITATIVE ECONOMICS, Charles G. Renfro, ed., October 1, 2004
Posted: 15 Jan 2010
Peter C. B. Phillips and Viv Hall
Yale University - Cowles Foundation and Victoria University of Wellington - School of Economics & Finance

Abstract:

Loading...

New Zealand, Econometric, Computer programs, Estimation, Dynamic Linear models, Simultaneous equation models

182.

Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Cowles Foundation Discussion Paper No. 1701
Posted: 04 Jun 2009
Chirok Han, Jin Seo Cho and Peter C. B. Phillips
University of Auckland - Department of Economics, Korea University - Department of Economics and Yale University - Cowles Foundation

Abstract:

Loading...

asymptotic leptokurtosis, infinite density at the median, least absolute deviations, Kernel density estimation, stock returns, stylized facts

183.

Band Spectral Regression with Trending Data

Posted: 16 May 2002
Philip Dean Corbae, Sam Ouliaris and Peter C. B. Phillips
University of Wisconsin - Madison - Department of Finance, Investment and Banking, National University of Singapore (NUS) - Department of Economics and Yale University - Cowles Foundation

Abstract:

Loading...

184.

Measuring Change in Tail Behavior

New York University SOR 99-2
Posted: 25 Jul 2000
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, affiliation not provided to SSRN and Yale University - Cowles Foundation

Abstract:

Loading...

Extreme Value Theory, Hill's estimator, Structural Change, Tail estimation, Value at Risk

185.

Discrete Fourier Transforms of Fractional Processes

Working Paper No. 1243
Posted: 03 May 2000
Peter C. B. Phillips
Yale University - Cowles Foundation

Abstract:

Loading...

186.

Unit Root Log Periodogram Regression

Working Paper No. 1244
Posted: 03 May 2000
Peter C. B. Phillips
Yale University - Cowles Foundation

Abstract:

Loading...

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Working Paper No. 1245
Posted: 03 May 2000
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and Yale University - Cowles Foundation

Abstract:

Loading...

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Posted: 04 Sep 2001
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and Yale University - Cowles Foundation

Abstract:

Loading...

Nonlinear regressions, Integrated time series, Nonlinear least squares, Brownian motion, Brownian local time

188.

Maximum Likelihood Estimation in Panels with Incidental Trends

Working Paper No. 1246
Posted: 01 May 2000
Peter C. B. Phillips and Hyungsik Roger Moon
Yale University - Cowles Foundation and University of Southern California - Department of Economics

Abstract:

Loading...

189.

An Adf Coefficient Test for a Unit Root in Arma Models of Unknown Order with Empirical Applications to the Us Economy

Posted: 03 Apr 1999
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation

Abstract:

Loading...