Peter C. B. Phillips

University of Auckland Business School

Distinguished Alumnus, Professor

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

Singapore Management University - School of Economics

Professor of Economics

90 Stamford Road

178903

Singapore

  • University of Auckland Business School

    • Email
    • Tel: +64 9 373 7599 x7596

  • Yale University - Cowles Foundation

    • Email
    • Tel: 203-432-3695
    • Fax: 203-432-5429
SCHOLARLY PAPERS

202

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27,529

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1,659

Scholarly Papers (202)

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1.

Testing for Multiple Bubbles

Downloads 1,333 (25,390)
Citation 11

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 1,192 (29,430)
Citation 26

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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, Shuping Shi and Jun Yu
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 141 (340,153)
Citation 22

Abstract:

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

2.

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, Shuping Shi and Jun Yu
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 777 (54,392)
Citation 109

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

3.

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 University of Auckland Business School
Downloads 760 (55,959)
Citation 1

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

4.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 704 (62,015)
Citation 39

Abstract:

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

5.

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
University of Auckland Business School and Macquarie University
Downloads 556 (83,584)
Citation 12

Abstract:

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

6.

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 University of Auckland Business School
Downloads 529 (88,912)
Citation 3

Abstract:

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

7.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 488 (98,114)
Citation 5

Abstract:

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

8.

Challenges of Trending Time Series Econometrics

Number of pages: 21 Posted: 27 Jul 2004
Peter C. B. Phillips
University of Auckland Business School
Downloads 472 (102,122)
Citation 2

Abstract:

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

9.

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
University of Auckland Business School and Singapore Management University
Downloads 457 (106,665)
Citation 37

Abstract:

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

10.

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

Downloads 253 (108,597)
Citation 65

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
University of Auckland Business School, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University - School of Economics
Downloads 253 (200,699)
Citation 25

Abstract:

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

11.

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 University of Auckland Business School
Downloads 445 (109,444)
Citation 1

Abstract:

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

12.

Financial Bubble Implosion

Downloads 421 (117,162)
Citation 6

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 226 (225,190)
Citation 5

Abstract:

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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, Shuping Shi and Shuping Shi
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 195 (257,257)
Citation 5

Abstract:

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

13.

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 University of Auckland Business School
Downloads 413 (119,413)
Citation 6

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

14.

The Mysteries of Trend

Cowles Foundation Discussion Paper No. 1771
Number of pages: 13 Posted: 14 Sep 2010
Peter C. B. Phillips
University of Auckland Business School
Downloads 401 (123,574)
Citation 11

Abstract:

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

15.

The Elusive Empirical Shadow of Growth Convergence

Number of pages: 37 Posted: 03 Mar 2003
Peter C. B. Phillips and Donggyu Sul
University of Auckland Business School and Independent
Downloads 371 (134,936)

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

16.

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
University of Auckland Business School and Independent
Downloads 360 (139,566)
Citation 12

Abstract:

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

17.

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
Tsinghua University, Department of Economics, the Chinese University of Hong Kong and University of Auckland Business School
Downloads 333 (151,740)
Citation 5

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

18.

Bootstrapping Spurious Regression

Number of pages: 44 Posted: 14 Oct 2001
Peter C. B. Phillips
University of Auckland Business School
Downloads 320 (158,345)

Abstract:

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

19.

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 University of Auckland Business School
Downloads 314 (161,547)

Abstract:

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

20.

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
University of Auckland Business School and Independent
Downloads 309 (164,280)
Citation 29

Abstract:

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

21.

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 - School of Economics and University of Auckland Business School
Downloads 309 (164,280)

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Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

22.

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 University of Auckland Business School
Downloads 307 (165,419)
Citation 3

Abstract:

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

23.

Economic Transition and Growth

Number of pages: 60 Posted: 11 Jun 2005
Peter C. B. Phillips and Donggyu Sul
University of Auckland Business School and Independent
Downloads 297 (171,286)
Citation 19

Abstract:

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

24.

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

Downloads 293 (173,765)

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 University of Auckland Business School
Downloads 293 (172,751)

Abstract:

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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
Andrew Jeffrey, Dennis Kristensen, Dennis Kristensen, Oliver B. Linton, Thong Nguyen and Peter C. B. Phillips
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and University of Auckland Business School

Abstract:

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

25.

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
Independent and University of Auckland Business School
Downloads 288 (177,563)
Citation 9

Abstract:

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

26.

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
University of Auckland Business School and Independent
Downloads 257 (198,420)
Citation 1

Abstract:

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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

27.

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 University of Auckland Business School
Downloads 252 (202,372)
Citation 1

Abstract:

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Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

28.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 250 (203,975)
Citation 5

Abstract:

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

29.

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, Shuping Shi and Jun Yu
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 244 (208,777)
Citation 48

Abstract:

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

30.

Automated Discovery in Econometrics

Number of pages: 22 Posted: 27 Jul 2004
Peter C. B. Phillips
University of Auckland Business School
Downloads 242 (210,455)
Citation 1

Abstract:

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

31.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 233 (218,403)
Citation 3

Abstract:

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

32.

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

Downloads 229 (223,049)
Citation 7

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, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and University of Auckland Business School
Downloads 120 (385,277)
Citation 5

Abstract:

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

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, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and University of Auckland Business School
Downloads 109 (416,298)
Citation 5

Abstract:

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

33.

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 University of Auckland Business School
Downloads 226 (224,967)

Abstract:

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

34.

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 University of Auckland Business School
Downloads 211 (239,790)
Citation 16

Abstract:

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

35.

Regression with Slowly Varying Regressors

Number of pages: 46 Posted: 25 Aug 2001
Peter C. B. Phillips
University of Auckland Business School
Downloads 210 (240,819)

Abstract:

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

36.

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
University of Auckland Business School, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 205 (246,248)

Abstract:

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

37.

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 University of Auckland Business School
Downloads 195 (257,661)
Citation 1

Abstract:

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KPSS Test, Seasonal Dummies, Stationarity Test, Unit Root

38.

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
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 187 (267,658)

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

39.

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, Shuping Shi and Shuping Shi
Capital University of Economics and Business - International School of Economics and Management, University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 185 (270,233)
Citation 4

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

40.

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 University of Auckland Business School
Downloads 183 (272,746)
Citation 6

Abstract:

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

41.

Estimating Smooth Structural Change in Cointegration Models

Downloads 182 (274,044)
Citation 14

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 133 (356,190)
Citation 3

Abstract:

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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
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 49 (657,245)
Citation 9

Abstract:

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

42.

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 University of Auckland Business School
Downloads 168 (293,757)
Citation 1

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

43.

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 University of Auckland Business School
Downloads 166 (296,681)

Abstract:

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

44.

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 University of Auckland Business School
Downloads 166 (296,681)
Citation 6

Abstract:

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

45.

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 University of Auckland Business School
Downloads 165 (298,213)
Citation 3

Abstract:

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

46.

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-Nuffield College and University of Auckland Business School
Downloads 164 (299,756)

Abstract:

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

47.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 164 (299,756)
Citation 50

Abstract:

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

48.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 163 (301,337)
Citation 1

Abstract:

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

49.

Nonlinear Instrumental Variable Estimation of an Autoregression

Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
University of Auckland Business School, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 162 (302,866)
Citation 2

Abstract:

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

50.

GMM with Many Moment Conditions

Number of pages: 46 Posted: 11 Jun 2005
Chirok Han and Peter C. B. Phillips
Independent and University of Auckland Business School
Downloads 161 (304,452)
Citation 9

Abstract:

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

51.

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 University of Auckland Business School
Downloads 161 (304,452)
Citation 1

Abstract:

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

52.

Vision and Influence in Econometrics: John Denis Sargan

Number of pages: 20 Posted: 24 Jan 2003
Peter C. B. Phillips
University of Auckland Business School
Downloads 161 (304,452)

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

53.

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
University of Auckland Business School
Downloads 155 (314,358)

Abstract:

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Graduate training, Research, Econometrics

54.

Nonstationary Discrete Choice

Number of pages: 38 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and University of Auckland Business School
Downloads 155 (314,358)
Citation 1

Abstract:

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

55.

Unit Roots in Life and Research

Cowles Foundation Discussion Paper No. 2094
Number of pages: 13 Posted: 12 Jul 2017
Peter C. B. Phillips
University of Auckland Business School
Downloads 154 (316,108)

Abstract:

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Half Century of Econometrics, Initial Conditions, Unit Roots

56.

Prewhitening Bias in Hac Estimation

Number of pages: 30 Posted: 17 Sep 2003
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
Independent, University of Auckland Business School and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 151 (321,332)
Citation 1

Abstract:

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

57.

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 University of Auckland Business School
Downloads 149 (324,859)

Abstract:

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

58.

Simulation-Based Estimation of Contingent-Claims Prices

Downloads 147 (328,367)

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 147 (328,896)

Abstract:

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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
University of Auckland Business School and Singapore Management University - School of Economics

Abstract:

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C11, C15, G12

59.

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
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 147 (328,367)

Abstract:

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

60.

Functional Coefficient Nonstationary Regression

Downloads 143 (335,662)
Citation 8

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 University of Auckland Business School
Downloads 82 (500,202)
Citation 7

Abstract:

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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 University of Auckland Business School
Downloads 61 (591,197)
Citation 7

Abstract:

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

61.

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 University of Auckland Business School
Downloads 143 (335,662)
Citation 2

Abstract:

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62.

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 University of Auckland Business School
Downloads 142 (337,597)
Citation 8

Abstract:

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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

63.

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
University of Auckland Business School and University of York
Downloads 141 (339,452)
Citation 19

Abstract:

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

64.

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
Independent, University of Auckland Business School and Independent
Downloads 139 (343,272)
Citation 9

Abstract:

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

65.

Pitfalls and Possibilities in Predictive Regression

Cowles Foundation Discussion Paper No. 2003
Number of pages: 43 Posted: 25 Jun 2015
Peter C. B. Phillips
University of Auckland Business School
Downloads 136 (349,186)
Citation 1

Abstract:

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

66.

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 University of Auckland Business School
Downloads 136 (349,186)
Citation 23

Abstract:

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

67.

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 University of Auckland Business School
Downloads 135 (351,228)
Citation 6

Abstract:

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

68.

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
University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 134 (353,194)
Citation 12

Abstract:

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

69.

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
University of Auckland Business School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 134 (353,194)

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

70.

Detecting Financial Collapse and Ballooning Sovereign Risk

Downloads 132 (357,168)
Citation 4

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
University of Auckland Business School
Downloads 132 (358,239)
Citation 8

Abstract:

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

Detecting Financial Collapse and Ballooning Sovereign Risk

Oxford Bulletin of Economics and Statistics, 81(6), 1336-1361. DOI: 10.1111/obes.12307. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Peter C. B. Phillips, Shuping Shi and Shuping Shi
University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University

Abstract:

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71.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 131 (359,249)
Citation 2

Abstract:

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

72.

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
University of Auckland Business School and Indiana University Bloomington
Downloads 128 (365,575)

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

73.

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 University of Auckland Business School
Downloads 128 (365,575)

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

74.

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 University of Auckland Business School
Downloads 128 (365,575)
Citation 1

Abstract:

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

75.

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 University of Auckland Business School
Downloads 124 (374,377)
Citation 5

Abstract:

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

76.

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 University of Auckland Business School
Downloads 123 (376,652)
Citation 7

Abstract:

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

77.

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 University of Auckland Business School
Downloads 122 (378,943)
Citation 6

Abstract:

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

78.

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 University of Auckland Business School
Downloads 120 (383,620)
Citation 7

Abstract:

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

79.

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 University of Auckland Business School
Downloads 120 (385,930)

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

80.

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, Shuping Shi and Shuping Shi
Queensland University of Technology - School of Economics and Finance, University of Auckland Business School and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 119 (385,930)
Citation 8

Abstract:

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

81.

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 University of Auckland Business School
Downloads 119 (385,930)
Citation 5

Abstract:

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

82.

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 University of Auckland Business School
Downloads 115 (395,570)

Abstract:

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Arfima, Edgeworth Expansion, Fractional Differencing, Pivotal Statistic

83.

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
Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Auckland Business School, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 113 (400,694)
Citation 3

Abstract:

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

84.

Limit Theory for Moderate Deviations from a Unit Root

Number of pages: 28 Posted: 27 Jul 2004
Peter C. B. Phillips and Tassos Magdalinos
University of Auckland Business School and University of York
Downloads 113 (400,694)
Citation 2

Abstract:

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

85.

A Panel Clustering Approach to Analyzing Bubble Behavior

Cowles Foundation Discussion Paper No. 2323
Number of pages: 123 Posted: 02 Apr 2022
Yanbo Liu, Peter C. B. Phillips and Jun Yu
Singapore Management University, School of Economics, Students, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 110 (408,585)

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Bubbles, Clustering, Mildly explosive behavior, $k$-means, Latent membership detection

86.

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 University of Auckland Business School
Downloads 110 (408,585)

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

87.

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
Tongji University - School of Economics and Management, University of Auckland Business School, Zhejiang University - College of Economics and University of Sydney
Downloads 109 (411,241)
Citation 3

Abstract:

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

88.

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, Shuping Shi and Jun Yu
University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 107 (416,668)
Citation 6

Abstract:

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

89.

Hac Estimation by Automated Regression

Number of pages: 25 Posted: 27 Jul 2004
Peter C. B. Phillips
University of Auckland Business School
Downloads 105 (422,256)
Citation 1

Abstract:

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

90.

Weak Identification of Long Memory with Implications for Inference

Number of pages: 40 Posted: 27 Jun 2022
Jia Li, Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Singapore Management University, University of Auckland Business School, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University - School of Economics
Downloads 104 (425,141)
Citation 1

Abstract:

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Realized volatility; Weak identification; Disjoint confidence sets; Trading volume; Long memory

91.

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, University of Auckland Business School and Tsinghua University
Downloads 103 (428,080)
Citation 2

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

92.

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
University of Auckland Business School
Downloads 100 (436,994)
Citation 3

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

93.

Two New Zealand Pioneer Econometricians

Cowles Foundation Discussion Paper No. 1750
Number of pages: 37 Posted: 15 Jan 2010
Peter C. B. Phillips
University of Auckland Business School
Downloads 98 (442,924)

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

94.

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
Independent and University of Auckland Business School
Downloads 95 (452,041)
Citation 4

Abstract:

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

95.

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 University of Auckland Business School
Downloads 94 (455,122)

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

96.

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 University of Auckland Business School
Downloads 93 (458,293)
Citation 2

Abstract:

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

97.

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
University of Auckland Business School, University of Lugano - Institute of Finance and Yale University
Downloads 92 (461,509)
Citation 5

Abstract:

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

98.

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 Business School and University of Auckland Business School
Downloads 92 (461,509)
Citation 9

Abstract:

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

99.

Unit Root Model Selection

Cowles Foundation Discussion Paper No. 1653
Number of pages: 15 Posted: 21 May 2008
Peter C. B. Phillips
University of Auckland Business School
Downloads 92 (461,509)
Citation 1

Abstract:

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AIC, Consistency, Model selection, Nonparametric, Unit root

100.

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
University of Auckland Business School
Downloads 90 (467,776)
Citation 15

Abstract:

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

101.

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, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 90 (467,776)
Citation 9

Abstract:

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

102.

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
University of Auckland Business School
Downloads 89 (471,049)
Citation 2

Abstract:

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

103.

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
University of Auckland Business School and Independent
Downloads 89 (471,049)
Citation 18

Abstract:

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

104.

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
University of Auckland Business School and Singapore Management University
Downloads 88 (474,428)
Citation 2

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

105.

Long Memory and Long Run Variation

Cowles Foundation Discussion Paper No. 1656
Number of pages: 24 Posted: 21 May 2008
Peter C. B. Phillips
University of Auckland Business School
Downloads 88 (474,428)

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

106.

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, University of Auckland Business School and University of Verona - Department of Economics
Downloads 87 (477,680)

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

107.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 86 (481,201)

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

108.

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, University of Auckland Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 86 (481,201)

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

109.

Weak σ- Convergence: Theory and Applications

Downloads 84 (488,231)
Citation 1

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, University of Auckland Business School and Independent
Downloads 84 (493,008)
Citation 1

Abstract:

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

Weak σ-convergence: Theory and Applications

Journal of Econometrics, 209(2), 185-207. DOI: 10.1016/j.jeconom.2018.12.022. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Jianning Kong, Peter C. B. Phillips and Donggyu Sul
Shandong University, University of Auckland Business School and University of Texas at Dallas

Abstract:

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

110.

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
University of Auckland Business School
Downloads 84 (488,231)
Citation 15

Abstract:

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

111.

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 University of Auckland Business School
Downloads 84 (488,231)
Citation 3

Abstract:

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

112.

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 University of Auckland Business School
Downloads 82 (495,142)
Citation 4

Abstract:

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

113.

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 University of Auckland Business School
Downloads 81 (498,802)

Abstract:

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

114.

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 University of Auckland Business School
Downloads 81 (502,479)

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

115.

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 University of Auckland Business School
Downloads 80 (502,479)
Citation 1

Abstract:

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

116.

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 University of Auckland Business School
Downloads 80 (502,479)
Citation 5

Abstract:

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

117.

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
University of Auckland Business School and University of York
Downloads 78 (509,958)

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

118.

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 University of Auckland Business School
Downloads 78 (509,958)
Citation 2

Abstract:

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

119.

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: 04 Jun 2021
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 76 (517,658)
Citation 2

Abstract:

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

120.

Dynamic Panel GMM with Near Unity

Cowles Foundation Discussion Paper No. 1962
Number of pages: 37 Posted: 03 Dec 2014
Peter C. B. Phillips
University of Auckland Business School
Downloads 76 (517,658)
Citation 4

Abstract:

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

121.

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
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 76 (517,658)

Abstract:

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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.

122.

Nonstationary Discrete Choice: A Corrigendum and Addendum

Number of pages: 54 Posted: 11 Jun 2005
Peter C. B. Phillips, Sainan Jin and Ling Hu
University of Auckland Business School, Peking University - Guanghua School of Management and Yale University - Department of Economics
Downloads 75 (521,463)
Citation 1

Abstract:

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

123.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 74 (525,458)
Citation 1

Abstract:

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

124.

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
University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 73 (529,494)
Citation 4

Abstract:

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

125.

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
University of Auckland Business School and Ewha Womans University - Department of Economics
Downloads 73 (529,494)
Citation 1

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

126.

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
University of Auckland Business School and Singapore Management University - School of Economics
Downloads 72 (533,585)
Citation 2

Abstract:

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

127.

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
University of Auckland Business School
Downloads 72 (533,585)

Abstract:

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

128.

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 University of Auckland Business School
Downloads 71 (537,721)
Citation 1

Abstract:

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

129.

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
University of Auckland Business School and University of York
Downloads 71 (537,721)
Citation 3

Abstract:

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

130.

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
University of Auckland Business School
Downloads 71 (537,721)

Abstract:

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

131.

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 University of Auckland Business School
Downloads 70 (541,853)

Abstract:

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

132.

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
University of Auckland Business School and Yale University - Department of Economics
Downloads 70 (541,853)

Abstract:

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

133.

Tribute to T. W. Anderson

Cowles Foundation Discussion Paper No. 2081
Number of pages: 7 Posted: 13 Mar 2017
Peter C. B. Phillips
University of Auckland Business School
Downloads 69 (546,026)

Abstract:

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

134.

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 University of Auckland Business School
Downloads 68 (550,376)
Citation 18

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

135.

Meritocracy Voting: Measuring the Unmeasurable

Cowles Foundation Discussion Paper No. 1833
Number of pages: 25 Posted: 01 Nov 2011
Peter C. B. Phillips
University of Auckland Business School
Downloads 68 (550,376)

Abstract:

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

136.

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 University of Auckland Business School
Downloads 68 (550,376)
Citation 1

Abstract:

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

137.

Dynamic Panel Modeling of Climate Change

Cowles Foundation Discussion Paper No. 2150
Number of pages: 34 Posted: 14 Dec 2018
Peter C. B. Phillips
University of Auckland Business School
Downloads 64 (568,046)
Citation 1

Abstract:

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

138.

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
University of Auckland Business School
Downloads 64 (568,046)

Abstract:

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

139.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, 209(2), 208-237. https://doi.org/10.1016/j.jeconom.2019.01.002.
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 12 May 2023
Yubo Tao, Peter C. B. Phillips and Jun Yu
University of Macau - Department of Economics, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 62 (577,063)
Citation 2

Abstract:

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

140.

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 University of Auckland Business School
Downloads 62 (577,063)
Citation 1

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

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, Independent and University of Auckland Business School
Downloads 62 (577,063)

Abstract:

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

142.

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 University of Auckland Business School
Downloads 61 (581,646)
Citation 9

Abstract:

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

143.

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, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 58 (596,053)
Citation 2

Abstract:

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

144.

Bootstrapping I(1) Data

Cowles Foundation Discussion Paper No. 1689
Number of pages: 12 Posted: 21 Jan 2009
Peter C. B. Phillips
University of Auckland Business School
Downloads 58 (596,053)

Abstract:

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

145.

The Boosted HP Filter Is More General Than You Might Think

Downloads 57 (601,116)

The Boosted HP Filter Is More General Than You Might Think

Number of pages: 41 Posted: 28 Sep 2022
Ziwei Mei, Peter C. B. Phillips and Zhentao Shi
The Chinese University of Hong Kong (CUHK) - Department of Economics, University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong
Downloads 57 (611,796)

Abstract:

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Boosting, Business cycle, Machine learning, Macroeconomics, Recession

The Boosted HP Filter is More General Than You Might Think

ArXiv. /abs/2209.09810. DOI: 10.48550/arXiv.2209.09810., The University of Auckland Business School Research Paper Series
Posted: 07 Sep 2023
Ziwei Mei, Peter C. B. Phillips and Zhentao Shi
The Chinese University of Hong Kong (CUHK) - Department of Economics, University of Auckland Business School and Department of Economics, the Chinese University of Hong Kong

Abstract:

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Boosting, Business cycle, Machine learning, Macroeconomics, Recession

146.

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 University of Auckland Business School
Downloads 57 (601,116)
Citation 1

Abstract:

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Forecasting, Inversion, Recession indicator, Yield curve

147.

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
Korea Institute for International Economic Policy, Yonsei University - Department of Economics and University of Auckland Business School
Downloads 55 (611,208)
Citation 4

Abstract:

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

148.

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 University of Auckland Business School
Downloads 55 (611,208)

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

149.

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 University of Auckland Business School
Downloads 54 (616,532)

Abstract:

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

150.

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, University of Auckland Business School and University of York
Downloads 54 (616,532)

Abstract:

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

151.

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 University of Auckland Business School
Downloads 54 (616,532)
Citation 1

Abstract:

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

152.

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
University of Auckland Business School, University of York and University of York - Department of Mathematics and Economics
Downloads 54 (616,532)
Citation 1

Abstract:

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

153.

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
University of Auckland Business School, Renmin University of China and Singapore Management University
Downloads 53 (627,028)
Citation 1

Abstract:

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

154.

Inference in Near Singular Regression

Cowles Foundation Discussion Paper No. 2009
Number of pages: 21 Posted: 14 Jul 2015
Peter C. B. Phillips
University of Auckland Business School
Downloads 53 (621,687)
Citation 3

Abstract:

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

155.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 53 (621,687)
Citation 2

Abstract:

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

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 University of Auckland Business School
Downloads 52 (627,028)
Citation 1

Abstract:

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

157.

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
University of Auckland Business School and Independent
Downloads 51 (632,553)
Citation 4

Abstract:

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Dynamic panel, IV estimation, Levels and difference instruments

158.

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
Independent, University of Auckland Business School and Independent
Downloads 51 (632,553)
Citation 6

Abstract:

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

159.

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 University of Auckland Business School
Downloads 50 (637,958)
Citation 4

Abstract:

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

160.

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 University of Auckland Business School
Downloads 50 (637,958)
Citation 7

Abstract:

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

161.

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, University of Auckland Business School and University of Cyprus - Department of Economics
Downloads 49 (643,630)
Citation 1

Abstract:

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

162.

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 University of Auckland Business School
Downloads 49 (643,630)
Citation 1

Abstract:

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

163.

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
University of Auckland Business School and University of York
Downloads 49 (643,630)
Citation 3

Abstract:

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

164.

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), University of Auckland Business School and University of Sydney
Downloads 48 (649,262)
Citation 1

Abstract:

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

165.

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 University of Auckland Business School
Downloads 48 (649,262)
Citation 2

Abstract:

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

166.

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 University of Auckland Business School
Downloads 48 (649,262)
Citation 2

Abstract:

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

167.

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
University of Auckland Business School and University of Pennsylvania - Department of Economics
Downloads 44 (672,647)

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

168.

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, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 43 (678,821)
Citation 2

Abstract:

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

169.

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
University of Auckland Business School and University of Auckland Business School
Downloads 41 (691,371)
Citation 2

Abstract:

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

170.

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 University of Auckland Business School
Downloads 41 (691,371)
Citation 4

Abstract:

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

171.

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 University of Auckland Business School
Downloads 39 (704,441)

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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

172.

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 University of Auckland Business School
Downloads 37 (717,930)
Citation 5

Abstract:

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

173.

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 University of Auckland Business School
Downloads 37 (717,930)

Abstract:

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

174.

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, University of Auckland Business School and University of Verona - Department of Economics
Downloads 36 (724,936)
Citation 3

Abstract:

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

175.

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 University of Auckland Business School
Downloads 34 (738,940)
Citation 5

Abstract:

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

176.

Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations

Journal of Econometrics, Vol. 234 (2), 758-776. https://doi.org/10.1016/j.jeconom.2022.08.010
Number of pages: 103 Posted: 08 Jul 2021 Last Revised: 10 May 2023
Liang Jiang, Peter C. B. Phillips, Yubo Tao and Yichong Zhang
Fudan University - Fanhai International School of Finance (FISF), University of Auckland Business School, University of Macau - Department of Economics and Singapore Management University
Downloads 31 (761,302)
Citation 1

Abstract:

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Covariate-adaptive randomization, High-dimensional data, Regression adjustment, Quantile treatment effects.

177.

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 University of Auckland Business School
Downloads 31 (761,302)
Citation 3

Abstract:

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

178.

Estimation and Inference with Near Unit Roots

Econometric Theory, 39(2), 221-263. DOI: 10.1017/S0266466622000342., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Peter C. B. Phillips
University of Auckland Business School

Abstract:

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179.

Robust inference with stochastic local unit root regressors in predictive regressions

Journal of Econometrics, 235(2), 563-591. DOI: 10.1016/j.jeconom.2022.06.002., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Yanbo Liu and Peter C. B. Phillips
Singapore Management University, School of Economics, Students and University of Auckland Business School

Abstract:

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IVX, Long horizon, LSTUR, Predictability, Quantile regression, Robustness, Short horizon, STUR

180.

Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Journal of Econometrics, 232(2), 300-319. DOI: 10.1016/j.jeconom.2021.07.002., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Igor L. Kheifets and Peter C. B. Phillips
HSE University and University of Auckland Business School

Abstract:

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

181.

The impact of upzoning on housing construction in Auckland

Journal of Urban Economics, 136, 103555. DOI: 10.1016/j.jue.2023.103555., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Ryan Greenaway-McGrevy and Peter C. B. Phillips
University of Auckland Business School and University of Auckland Business School

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Upzoning, Land use regulations, Redevelopment, Housing construction, Housing affordability, Spillovers

182.

High-dimensional VARs with common factors

Journal of Econometrics, 233(1), 155-183. DOI: 10.1016/j.jeconom.2022.02.002., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Ke Miao, Peter C. B. Phillips and Liangjun Su
Fudan University, University of Auckland Business School and Tsinghua University

Abstract:

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Common factors, Connectedness, Cross-sectional dependence, Investor fear, High-dimensional VAR, Nuclear-norm regularization

183.

Discrete Fourier Transforms of Fractional Processes with Econometric Applications

In Essays in Honor of Joon Y. Park: Econometric Theory (pp. 3-71). Emerald Publishing Limited. DOI: 10.1108/S0731-90532023000045A001., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Peter C. B. Phillips
University of Auckland Business School

Abstract:

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Discreate Fourier transform, Fractional Brownian motion, Fractional integration, Log periodogram regression, Nonstationarity, Operator decomposition, Semiparametric estimation, Whittle likelihood

184.

The Heterogeneous Effects of the Minimum Wage on Employment Across States

Economics Letters, 174, 179-185. DOI: 10.1016/j.econlet.2018.11.002. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Jinan University, University of Auckland Business School and Tsinghua University

Abstract:

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Classification, C-Lasso, Latent group structures, Minimum wage, Unemployment

185.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behavior

Journal of Econometrics, 209(2), 208-237. DOI: 10.1016/j.jeconom.2019.01.002. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Yubo Tao, Peter C. B. Phillips and Jun Yu
University of Macau - Department of Economics, University of Auckland Business School and Singapore Management University - School of Economics

Abstract:

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

186.

Nonstationary Panel Models with Latent Group Structures and Cross-section Dependence

Journal of Econometrics, 221(1), 198-222. DOI:10.1016/j.jeconom.2020.05.003, The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Wenxin Huang, Sainan Jin, Peter C. B. Phillips and Liangjun Su
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Singapore Management University, University of Auckland Business School and Tsinghua University

Abstract:

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Nonstationarity, Parameter heterogeneity, Latent group patterns, Penalized principal component, Cross-section dependence, Classifier Lasso, R&D spillover

187.

Optimal Bandwidth Selection in Nonlinear Cointegrating Regression

Econometric Theory, 00, 2020, 1-13. DOI: 10.1017/S0266466620000390. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Qiying Wang and Peter C. B. Phillips
University of Sydney and University of Auckland Business School

Abstract:

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188.

Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs

The Review of Economics and Statistics, 1-47. DOI: 10.1162/rest_a_01089. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Liang Jiang, Xiaobin Liu, Peter C. B. Phillips and Yichong Zhang
Fudan University - Fanhai International School of Finance (FISF), School of Economics, Academy of Financial Research, Zhejiang University, University of Auckland Business School and Singapore Management University

Abstract:

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Bootstrap inference, matched pairs, quantile treatment effect, randomized control trials

189.

Parametric Conditional Mean Inference with Functional Data Applied to Lifetime Income Curves

International Economic Review, 63(1), 391-456. DOI: 10.1111/iere.12548. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Jin Seo Cho, Peter C. B. Phillips and Juwon Seo
Yonsei University - Department of Economics, University of Auckland Business School and National University of Singapore (NUS)

Abstract:

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190.

When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression

Journal of Econometrics. DOI: 10.1016/j.jeconom.2021.09.007., The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Peter C. B. Phillips and Ying Wang
University of Auckland Business School and Renmin University of China

Abstract:

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Bandwidth selection, Bias variability, Functional coefficient cointegration, Kernel regression, Nonstationarity

191.

Pitfalls in Bootstrapping Spurious Regression

Journal of Quantitative Economics, 19(1), 163-217. DOI: 10.1007/s40953-021-00268-6. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Peter C. B. Phillips
University of Auckland Business School

Abstract:

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Asymptotic theory, Bootstrap, Brownian motion, Cointegration, LK representation, Nonstationarity, Residual diagnostics, Unit root

192.

House Prices and Affordability

New Zealand Economic Papers, 55(1), 1-6. doi:10.1080/00779954.2021.1878328, The University of Auckland Business School Research Paper Series
Posted: 12 Jan 2022
Ryan Greenaway-McGrevy and Peter C. B. Phillips
University of Auckland Business School and University of Auckland Business School

Abstract:

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193.

Nonparametric Predictive Regression

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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 University of Auckland Business School

Abstract:

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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 University of Auckland Business School

Abstract:

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

194.

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
University of Auckland Business School and Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance

Abstract:

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

195.

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
Independent, Korea University - Department of Economics and University of Auckland Business School

Abstract:

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

196.

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 University of Auckland Business School

Abstract:

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197.

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 University of Auckland Business School

Abstract:

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

198.

Discrete Fourier Transforms of Fractional Processes

Working Paper No. 1243
Posted: 03 May 2000
Peter C. B. Phillips
University of Auckland Business School

Abstract:

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199.

Unit Root Log Periodogram Regression

Working Paper No. 1244
Posted: 03 May 2000
Peter C. B. Phillips
University of Auckland Business School

Abstract:

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200.

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

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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 University of Auckland Business School

Abstract:

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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 University of Auckland Business School

Abstract:

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

201.

Maximum Likelihood Estimation in Panels with Incidental Trends

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

Abstract:

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202.

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 University of Auckland Business School

Abstract:

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