Peter C. B. Phillips

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

University of Auckland

Distinguished Alumnus, Professor

Private Bag 92019

Com. A room: 102

Auckland

New Zealand

University of Southampton

Adjunct Professor of Economics

Southampton, SO17 1BJ

United Kingdom

Singapore Management University - School of Economics

Professor of Economics

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

182

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19,608

CITATIONS
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628

Scholarly Papers (182)

1.
Downloads 808 ( 28,924)
Citation 9

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 712 (33,890)
Citation 7

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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 and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 96 (270,937)
Citation 8

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

2.
Downloads 758 ( 31,628)
Citation 8

Semiparametric Cointegrating Rank Selection

Cowles Foundation Discussion Paper No. 1658
Number of pages: 24 Posted: 21 May 2008
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 756 (31,247)

Abstract:

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

Semiparametric Cointegrating Rank Selection

Econometrics Journal, Vol. 12, Issue s1, pp. S83-S104, January 2009
Number of pages: 22 Posted: 04 Jul 2009
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 2 (661,121)
Citation 9
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3.

Dating the Timeline of Financial Bubbles During the Subprime Crisis

Cowles Foundation Discussion Paper No. 1770
Number of pages: 41 Posted: 14 Sep 2010
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 640 (39,719)
Citation 75

Abstract:

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

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

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 516 (51,915)
Citation 96

Abstract:

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

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

International Economic Review, Vol. 56, Issue 4, pp. 1043-1078, 2015
Number of pages: 36 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University
Downloads 1 (675,648)
Citation 1
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5.

A CUSUM Test for Cointegration Using Regression Residuals

Cowles Foundation Discussion Paper No. 1329
Number of pages: 22 Posted: 14 Oct 2001
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation
Downloads 492 (55,776)
Citation 3

Abstract:

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

6.

Challenges of Trending Time Series Econometrics

Cowles Foundation Discussion Paper No. 1472
Number of pages: 21 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 428 (66,245)
Citation 8

Abstract:

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

7.

Cointegrating Rank Selection in Models with Time-Varying Variance

Cowles Foundation Discussion Paper No. 1688
Number of pages: 28 Posted: 21 Jan 2009
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 422 (67,349)
Citation 4

Abstract:

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

8.

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

UC Santa Cruz Economics Working Paper No. 540
Number of pages: 56 Posted: 11 Nov 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 343 (85,902)
Citation 7

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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

9.

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

Cowles Foundation Discussion Paper No. 1438
Number of pages: 41 Posted: 17 Sep 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 339 (87,072)
Citation 55

Abstract:

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

10.

The Elusive Empirical Shadow of Growth Convergence

Cowles Foundation Discussion Paper No. 1398
Number of pages: 37 Posted: 03 Mar 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 313 (95,087)
Citation 4

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

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

Cowles Foundation Discussion Paper No. 1699
Number of pages: 37 Posted: 05 Jun 2009
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 184 (161,881)
Citation 115

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

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

HKIMR Working Paper No. 22/2007
Number of pages: 40 Posted: 12 Feb 2008
Peter C. B. Phillips, Yangru Wu and Jun Yu
Yale University - Cowles Foundation, Rutgers University, Newark - School of Business - Department of Finance & Economics and Singapore Management University
Downloads 116 (237,293)
Citation 4

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

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

International Economic Review, Vol. 52, No. 1, pp. 201-226, 2011
Number of pages: 26 Posted: 09 Mar 2011
Peter C. B. Phillips and Yangru Wu
Yale University - Cowles Foundation and Rutgers University, Newark - School of Business - Department of Finance & Economics
Downloads 2 (661,121)
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12.

Bootstrapping Spurious Regression

Cowles Foundation Discussion Paper No. 1330
Number of pages: 44 Posted: 14 Oct 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 300 (99,514)
Citation 4

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

13.
Downloads 299 ( 99,867)
Citation 1

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 184 (161,881)

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 and Shuping Shi
Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 115 (238,807)
Citation 1

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

14.

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

Yale Cowles Foundation Disc. Paper No. 1309; AFA 2002 Atlanta Mtgs.
Number of pages: 23 Posted: 20 Aug 2001
Jun Yu and Peter C. B. Phillips
Singapore Management University and Yale University - Cowles Foundation
Downloads 292 (102,490)
Citation 5

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Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

15.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 288 (104,086)
Citation 4

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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

16.

Efficient Estimation of Stock Volatility

UC Santa Cruz Economics Working Paper No. 543
Number of pages: 35 Posted: 04 Jun 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 288 (104,086)

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

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

Yale Cowles Foundation Discussion Paper No. 1311
Number of pages: 48 Posted: 25 Aug 2001
Andrew Jeffrey, Oliver B. Linton, Thong Nguyen and Peter C. B. Phillips
Yale School of Management, University of Cambridge, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 278 (107,515)
Citation 1

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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
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and Yale University - Cowles Foundation

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

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Cowles Foundation Discussion Paper No. 1362
Number of pages: 57 Posted: 01 Jun 2002
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 230 (130,791)

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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

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Econometrics Journal, Vol. 6, pp. 217-259, June 2003
Number of pages: 43 Posted: 18 Sep 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 27 (489,853)
Citation 108
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19.

Business Cycles, Trend Elimination, and the HP Filter

Cowles Foundation Discussion Paper No. 2005
Number of pages: 56 Posted: 25 Jun 2015
Peter C. B. Phillips and Sainan Jin
Yale University - Cowles Foundation and Singapore Management University
Downloads 253 (119,302)
Citation 10

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

20.

The Mysteries of Trend

Cowles Foundation Discussion Paper No. 1771
Number of pages: 13 Posted: 14 Sep 2010
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 249 (121,220)
Citation 10

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

21.

Transition Modeling and Econometric Convergence Tests

Cowles Foundation Discussion Paper No. 1595
Number of pages: 73 Posted: 02 Jan 2007
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 243 (124,210)
Citation 52

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

22.

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

Cowles Foundation Discussion Paper No. 1599
Number of pages: 46 Posted: 25 Oct 2006
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 240 (125,807)
Citation 35

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

23.

Economic Transition and Growth

Cowles Foundation Discussion Paper No. 1514
Number of pages: 60 Posted: 11 Jun 2005
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 232 (130,178)
Citation 26

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

24.

Fully Nonparametric Estimation of Scalar Diffusion Models

Cowles Foundation Discussion Paper No. 1332
Number of pages: 48 Posted: 14 Oct 2001
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 229 (131,804)
Citation 47

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

25.

Jackknifing Bond Option Prices

Cowles Foundation Discussion Paper No. 1392
Number of pages: 52 Posted: 24 Jan 2003 Last Revised: 15 Nov 2013
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 227 (132,971)
Citation 13

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

26.

Automated Discovery in Econometrics

Cowles Foundation Discussion Paper No. 1469
Number of pages: 22 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 220 (137,045)
Citation 3

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

27.

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

Cowles Foundation Discussion Paper No. 1597
Number of pages: 35 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 204 (147,175)
Citation 10

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

28.

Fractional Brownian Motion as a Differentiable Generalized Gaussian Process

Cowles Foundation Discussion Paper No. 1391
Number of pages: 11 Posted: 24 Jan 2003
Victoria Zinde‐Walsh and Peter C. B. Phillips
McGill University - Department of Economics and Yale University - Cowles Foundation
Downloads 196 (152,854)
Citation 1

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

29.

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

Cowles Foundation Discussion Paper No. 1969
Number of pages: 23 Posted: 03 Dec 2014
Liang Jiang, Peter C. B. Phillips and Jun Yu
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 191 (156,467)
Citation 2

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

30.

Incidental Trends and the Power of Panel Unit Root Tests

Cowles Foundation Discussion Paper No. 1435, USC CLEO Research Paper No. C03-17, IEPR Working Paper No. 05-38
Number of pages: 64 Posted: 05 Sep 2003
Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
Downloads 188 (158,738)
Citation 20

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

31.

Regression with Slowly Varying Regressors

Yale Cowles Foundation Discussion Paper No. 1310
Number of pages: 46 Posted: 25 Aug 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 181 (164,290)
Citation 2

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

32.

Efficient Regression in Time Series Partial Linear Models

Cowles Foundation Discussion Paper No. 1363
Number of pages: 47 Posted: 01 Jun 2002
Peter C. B. Phillips, Binbin Guo and Zhijie Xiao
Yale University - Cowles Foundation, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 173 (171,056)

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

33.

The KPSS Test with Seasonal Dummies

Cowles Foundation Discussion Paper No. 1373
Number of pages: 7 Posted: 13 Jun 2002
Sainan Jin and Peter C. B. Phillips
Peking University - Guanghua School of Management and Yale University - Cowles Foundation
Downloads 172 (171,918)

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KPSS Test, Seasonal Dummies, Stationarity Test, Unit Root

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Cowles Foundation Discussion Paper No. 1915
Number of pages: 76 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 163 (180,286)
Citation 26

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

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

International Economic Review, Vol. 56, Issue 4, pp. 1079-1134, 2015
Number of pages: 56 Posted: 29 Oct 2015
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Singapore Management University and Singapore Management University
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Citation 1
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35.

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

Cowles Foundation Discussion Paper No. 1365
Number of pages: 36 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 162 (180,967)
Citation 22

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

36.

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

Cowles Foundation Discussion Paper No. 1407; UCSD Department of Economics Working Paper No. 2003-05
Number of pages: 51 Posted: 16 Mar 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 156 (186,864)
Citation 10

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

37.

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Cowles Foundation Discussion Paper No. 1390; USC CLEO Research Paper No. C02-27
Number of pages: 63 Posted: 21 Nov 2002
Hyungsik Roger Moon and Peter C. B. Phillips
University of Southern California - Department of Economics and Yale University - Cowles Foundation
Downloads 149 (194,229)
Citation 35

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

38.
Downloads 147 (196,330)
Citation 19

Prewhitening Bias in Hac Estimation

Cowles Foundation Discussion Paper No. 1436
Number of pages: 30 Posted: 17 Sep 2003
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 133 (213,492)

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

Prewhitening Bias in Hac Estimation

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 4, pp. 517-546, August 2005
Number of pages: 30 Posted: 03 Aug 2005
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 14 (571,737)
Citation 34
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39.

Adaptive Estimation of Autoregression Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585
Number of pages: 31 Posted: 17 Oct 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 146 (197,455)

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

40.

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

Cowles Foundation Discussion Paper No. 1523
Number of pages: 28 Posted: 18 Jul 2005
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 145 (198,570)
Citation 5

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

41.

Nonlinear Instrumental Variable Estimation of an Autoregression

Cowles Foundation Discussion Paper No. 1331
Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
Yale University - Cowles Foundation, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 143 (200,768)
Citation 3

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

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 108 (249,787)
Citation 2

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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
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 34 (454,071)
Citation 10

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

43.

Indirect Inference for Dynamic Panel Models

Cowles Foundation Discussion Paper No. 1550
Number of pages: 21 Posted: 12 Jan 2006
Christian Gourieroux, Peter C. B. Phillips and Jun Yu
University of Toronto - Department of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 139 (205,437)
Citation 267

Abstract:

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

44.

Regression Asymptotics Using Martingale Convergence Methods

Cowles Foundation Discussion Paper No. 1473
Number of pages: 43 Posted: 27 Jul 2004
Rustam Ibragimov and Peter C. B. Phillips
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 138 (206,626)
Citation 10

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

45.

Vision and Influence in Econometrics: John Denis Sargan

Cowles Foundation Discussion Paper No. 1393
Number of pages: 20 Posted: 24 Jan 2003
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 138 (206,626)
Citation 1

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

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 - Department of Economics and Yale University - Cowles Foundation
Downloads 137 (207,844)
Citation 1

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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.

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

Number of pages: 29 Posted: 18 Apr 2008 Last Revised: 19 Jan 2010
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 135 (210,279)
Citation 2

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

48.

Unit Roots in Life — A Graduate Student Story

Cowles Foundation Discussion Paper No. 1913
Number of pages: 23 Posted: 18 Sep 2013
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 133 (212,820)
Citation 1

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Graduate training, Research, Econometrics

49.

Nonstationary Discrete Choice

Cowles Foundation Discussion Paper No. 1364
Number of pages: 38 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 128 (219,350)
Citation 1

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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

50.

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

Cowles Foundation Discussion Paper No. 1437
Number of pages: 48 Posted: 17 Sep 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 125 (223,327)

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

51.

Unit Roots in Life and Research

Cowles Foundation Discussion Paper No. 2094
Number of pages: 13 Posted: 12 Jul 2017
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 119 (231,660)

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Half Century of Econometrics, Initial Conditions, Unit Roots

52.

GMM with Many Moment Conditions

Cowles Foundation Discussion Paper No. 1515
Number of pages: 46 Posted: 11 Jun 2005
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 115 (237,634)
Citation 26

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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.

53.

Structural Change Tests in Tail Behaviour and the Asian Crisis

NYU Working Paper No. SOR-99-2
Number of pages: 32 Posted: 31 Oct 2008
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, New York University (NYU) and Yale University - Cowles Foundation
Downloads 114 (239,089)
Citation 20

Abstract:

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Simulation-Based Estimation of Contingent-Claims Prices

Cowles Foundation Discussion Paper No. 1596
Number of pages: 31 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 113 (241,843)
Citation 6

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
Yale University - Cowles Foundation and Singapore Management University

Abstract:

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C11, C15, G12

55.

Threshold Regression with Endogeneity

Cowles Foundation Discussion Paper No. 1966
Number of pages: 85 Posted: 03 Dec 2014
Ping Yu and Peter C. B. Phillips
The University of Hong Kong and Yale University - Cowles Foundation
Downloads 112 (242,104)
Citation 4

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

56.

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications

Cowles Foundation Discussion Paper No. 1612
Number of pages: 32 Posted: 14 Jun 2007 Last Revised: 19 Jul 2010
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 109 (246,838)
Citation 2

Abstract:

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

57.

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

Cowles Foundation Discussion Paper No. 1871
Number of pages: 53 Posted: 05 Sep 2012
Peter C. B. Phillips and Zhipeng Liao
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 108 (248,437)
Citation 1

Abstract:

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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

58.

X-Differencing and Dynamic Panel Model Estimation

Cowles Foundation Discussion Paper No. 1747
Number of pages: 62 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 108 (248,437)
Citation 21

Abstract:

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

59.

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

Cowles Foundation Discussion Paper No. 1541
Number of pages: 45 Posted: 05 Dec 2005
S.H. Hong and Peter C. B. Phillips
Korea Institute of Public Finance and Yale University - Cowles Foundation
Downloads 108 (248,437)
Citation 14

Abstract:

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

60.

Exact Local Whittle Estimation of Fractional Integration

Cowles Foundation Discussion Paper No. 1367
Number of pages: 35 Posted: 01 Jun 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 105 (253,414)
Citation 82

Abstract:

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

61.

Efficient Estimation of Second Moment Parameters in Arch Models

UC Santa Cruz Economics Working Paper No. 541
Number of pages: 42 Posted: 09 Nov 2003
Binbin Guo and Peter C. B. Phillips
First Quadrant, L.P. and Yale University - Cowles Foundation
Downloads 103 (256,752)
Citation 6

Abstract:

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

62.

Structural Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1657
Number of pages: 26 Posted: 21 May 2008
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 99 (263,674)
Citation 30

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

63.

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Cowles Foundation Discussion Paper No. 1594
Number of pages: 27 Posted: 10 Dec 2006
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 99 (263,674)
Citation 48

Abstract:

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

64.

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585R
Number of pages: 31 Posted: 10 Dec 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 98 (265,474)
Citation 14

Abstract:

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

65.

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

Yale Cowles Foundation Discussion Paper No. 1308
Number of pages: 15 Posted: 25 Aug 2001
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 97 (267,218)
Citation 6

Abstract:

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Arfima, Edgeworth Expansion, Fractional Differencing, Pivotal Statistic

66.

Information Loss in Volatility Measurement with Flat Price Trading

Cowles Foundation Discussion Paper No. 1598
Number of pages: 28 Posted: 02 Jan 2007
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 95 (270,822)

Abstract:

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

67.

Pitfalls and Possibilities in Predictive Regression

Cowles Foundation Discussion Paper No. 2003
Number of pages: 43 Posted: 25 Jun 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 92 (276,471)

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

68.

Refined Inference on Long Memory in Realized Volatility

Cowles Foundation Discussion Paper No. 1549
Number of pages: 16 Posted: 05 Jan 2006
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 92 (276,471)
Citation 9

Abstract:

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

69.

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

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna, Yale University - Cowles Foundation, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 89 (282,323)
Citation 2

Abstract:

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

70.

Hac Estimation by Automated Regression

Cowles Foundation Discussion Paper No. 1470
Number of pages: 25 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 89 (282,323)
Citation 18

Abstract:

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

71.
Downloads 88 (284,354)
Citation 5

Functional Coefficient Nonstationary Regression

Cowles Foundation Discussion Paper No. 1911
Number of pages: 56 Posted: 19 Sep 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 50 (390,029)
Citation 5

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 Yale University - Cowles Foundation
Downloads 38 (436,476)
Citation 1

Abstract:

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

72.

Log Periodogram Regression: The Nonstationary Case

Cowles Foundation Discussion Paper No. 1587
Number of pages: 30 Posted: 17 Oct 2006
Chang Sik Kim and Peter C. B. Phillips
Ewha Womans University - Department of Economics and Yale University - Cowles Foundation
Downloads 88 (284,354)
Citation 1

Abstract:

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

73.

Automated Estimation of Vector Error Correction Models

Cowles Foundation Discussion Paper No. 1873
Number of pages: 92 Posted: 05 Sep 2012
Zhipeng Liao and Peter C. B. Phillips
University of California, Los Angeles (UCLA) - Department of Economics and Yale University - Cowles Foundation
Downloads 86 (288,502)
Citation 6

Abstract:

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

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Cowles Foundation Discussion Paper No. 1474
Number of pages: 20 Posted: 27 Jul 2004
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 64 (345,502)

Abstract:

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

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Econometrics Journal, Vol. 8, No. 3, pp. 367-379, December 2005
Number of pages: 13 Posted: 28 Dec 2005
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 22 (520,223)
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Abstract:

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

75.

Weak Convergence to Stochastic Integrals for Econometric Applications

Cowles Foundation Discussion Paper No. 1971
Number of pages: 30 Posted: 03 Dec 2014
Hanying Liang, Peter C. B. Phillips, Hanchao Wang and Qiying Wang
Tong Ji University - School of Economics and Management, Yale University - Cowles Foundation, Zhejiang University - College of Economics and University of Sydney
Downloads 83 (294,813)
Citation 4

Abstract:

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

76.

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

Cowles Foundation Discussion Paper No. 1517
Number of pages: 47 Posted: 11 Jun 2005
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 83 (294,813)
Citation 59

Abstract:

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

77.

Real Time Monitoring of Asset Markets: Bubbles and Crises

Cowles Foundation Discussion Paper No. 2152
Number of pages: 25 Posted: 14 Dec 2018
Peter C. B. Phillips and Shuping Shi
Yale University - Cowles Foundation and Macquarie University
Downloads 79 (303,628)

Abstract:

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

78.

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Cowles Foundation Discussion Paper No. 1366
Number of pages: 41 Posted: 01 Jun 2002
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 79 (303,628)
Citation 17

Abstract:

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

Change Detection and the Causal Impact of the Yield Curve

Cowles Foundation Discussion Paper No. 2058
Number of pages: 68 Posted: 08 Dec 2016
Stan Hurn, Peter C. B. Phillips and Shuping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Department of Economics, Macquarie University
Downloads 77 (311,386)
Citation 4

Abstract:

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

Change Detection and the Causal Impact of the Yield Curve

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 966-987, 2018
Number of pages: 22 Posted: 07 Oct 2018
Shuping Shi, Peter C. B. Phillips and Stan Hurn
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Queensland University of Technology - School of Economics and Finance
Downloads 1 (675,648)
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Abstract:

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

80.

Folklore Theorems, Implicit Maps and New Unit Root Limit Theory

Cowles Foundation Discussion Paper No. 1781
Number of pages: 43 Posted: 12 Jan 2011
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 75 (313,020)
Citation 1

Abstract:

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

81.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Cowles Foundation Discussion Paper No. 1522
Number of pages: 50 Posted: 18 Jul 2005
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 75 (313,020)
Citation 9

Abstract:

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

82.

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

Cowles Foundation Discussion Paper No. 1546
Number of pages: 17 Posted: 04 Jan 2006
Peter C. B. Phillips and Chirok Han
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 72 (320,306)
Citation 237

Abstract:

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

83.

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Cowles Foundation Discussion Paper No. 1547
Number of pages: 45 Posted: 04 Jan 2006
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 72 (320,306)
Citation 101

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

84.

Testing Mean Stability of Heteroskedastic Time Series

Cowles Foundation Discussion Paper No. 2006
Number of pages: 49 Posted: 26 Jun 2015
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), Queen Mary and Yale University - Cowles Foundation
Downloads 71 (322,760)
Citation 1

Abstract:

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

85.

Long Memory and Long Run Variation

Cowles Foundation Discussion Paper No. 1656
Number of pages: 24 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 71 (322,760)
Citation 1

Abstract:

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

86.

Unit Root Model Selection

Cowles Foundation Discussion Paper No. 1653
Number of pages: 15 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 71 (322,760)
Citation 12

Abstract:

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AIC, Consistency, Model selection, Nonparametric, Unit root

87.

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

Cowles Foundation Discussion Paper No. 1842
Number of pages: 32 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
Downloads 70 (325,292)
Citation 5

Abstract:

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

88.

A New Approach to Robust Inference in Cointegration

Cowles Foundation Discussion Paper No. 1538
Number of pages: 16 Posted: 24 Oct 2005
Sainan Jin, Peter C. B. Phillips and Yixiao Sun
Peking University - Guanghua School of Management, Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 70 (325,292)
Citation 1

Abstract:

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

89.

Homogeneity Pursuit in Panel Data Models: Theory and Applications

Cowles Foundation Discussion Paper No. 2063
Number of pages: 58 Posted: 08 Dec 2016
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 67 (333,091)
Citation 2

Abstract:

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

90.

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Cowles Foundation Discussion Paper No. 1545
Number of pages: 52 Posted: 04 Jan 2006
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, Yale University - Cowles Foundation and Peking University - Guanghua School of Management
Downloads 67 (333,091)
Citation 29

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

91.

Limit Theory for Moderate Deviations from a Unit Root

Cowles Foundation Discussion Paper No. 1471
Number of pages: 28 Posted: 27 Jul 2004
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 67 (333,091)

Abstract:

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

92.

First Difference MLE and Dynamic Panel Estimation

Cowles Foundation Discussion Paper No. 1780
Number of pages: 33 Posted: 12 Jan 2011
Chirok Han and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 66 (335,703)
Citation 4

Abstract:

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

93.

Edmond Malinvaud: A Tribute to His Contributions in Econometrics

Cowles Foundation Discussion Paper No. 2002
Number of pages: 16 Posted: 25 Jun 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 64 (341,134)
Citation 1

Abstract:

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

94.

Two New Zealand Pioneer Econometricians

Cowles Foundation Discussion Paper No. 1750
Number of pages: 37 Posted: 15 Jan 2010
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 64 (341,134)
Citation 3

Abstract:

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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

95.

Limit Theory for Explosively Cointegrated Systems

Cowles Foundation Discussion Paper No. 1614
Number of pages: 25 Posted: 14 Jun 2007
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 64 (341,134)
Citation 8

Abstract:

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

96.

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

Cowles Foundation Discussion Paper No. 1374
Number of pages: 23 Posted: 13 Jun 2002
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 64 (341,134)
Citation 2

Abstract:

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

97.

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Cowles Foundation Discussion Paper No. 1661
Number of pages: 94 Posted: 23 May 2008
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 63 (343,861)

Abstract:

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

98.

Detecting Financial Collapse and Ballooning Sovereign Risk

Cowles Foundation Discussion Paper No. 2110
Number of pages: 31 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 61 (349,454)
Citation 1

Abstract:

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

99.

Testing the Martingale Hypothesis

Cowles Foundation Discussion Paper No. 1912
Number of pages: 47 Posted: 18 Sep 2013
Peter C. B. Phillips and Sainan Jin
Yale University - Cowles Foundation and Singapore Management University
Downloads 60 (352,318)
Citation 1

Abstract:

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

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

Cowles Foundation Discussion Paper No. 2059
Number of pages: 59 Posted: 08 Dec 2016
Shuping Shi, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 43 (416,036)
Citation 1

Abstract:

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

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 49 Posted: 01 Sep 2018
Shuping Shi, Stan Hurn and Peter C. B. Phillips
Department of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 16 (558,516)
Citation 1

Abstract:

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

101.

Econometric Measurement of Earth's Transient Climate Sensitivity

Cowles Foundation Discussion Paper No. 2083
Number of pages: 53 Posted: 13 Mar 2017
Peter C. B. Phillips, Thomas Leirvik and Trude Storelvmo
Yale University - Cowles Foundation, University of Lugano - Institute of Finance and Yale University
Downloads 58 (358,214)
Citation 1

Abstract:

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

102.

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Cowles Foundation Discussion Paper No. 1879
Number of pages: 28 Posted: 22 Sep 2012
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 58 (358,214)
Citation 16

Abstract:

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

103.

Uniform Limit Theory for Stationary Autoregression

Cowles Foundation Discussion Paper No. 1475
Number of pages: 10 Posted: 27 Jul 2004
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 58 (358,214)
Citation 24

Abstract:

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

104.

A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

Cowles Foundation Discussion Paper No. 1704
Number of pages: 32 Posted: 05 Jun 2009
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 56 (364,323)

Abstract:

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

105.

Long Run Covariance Matrices for Fractionally Integrated Processes

Cowles Foundation Discussion Paper No. 1611
Number of pages: 15 Posted: 14 Jun 2007
Peter C. B. Phillips and Chang Sik Kim
Yale University - Cowles Foundation and Ewha Womans University - Department of Economics
Downloads 56 (364,323)
Citation 16

Abstract:

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

106.

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

Cowles Foundation Discussion Paper No. 1586
Number of pages: 23 Posted: 17 Oct 2006
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 56 (364,323)
Citation 2

Abstract:

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

107.

Specification Testing for Nonlinear Cointegrating Regression

Cowles Foundation Discussion Paper No. 1779
Number of pages: 67 Posted: 12 Jan 2011 Last Revised: 21 Feb 2011
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 55 (367,505)
Citation 4

Abstract:

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

108.

Nonstationary Discrete Choice: A Corrigendum and Addendum

Cowles Foundation Discussion Paper No. 1516
Number of pages: 54 Posted: 11 Jun 2005
Peter C. B. Phillips, Sainan Jin and Ling Hu
Yale University - Cowles Foundation, Peking University - Guanghua School of Management and Yale University - Department of Economics
Downloads 55 (367,505)
Citation 12

Abstract:

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

109.

VARs with Mixed Roots Near Unity

Cowles Foundation Discussion Paper No. 1845
Number of pages: 25 Posted: 09 Jan 2012
Peter C. B. Phillips and Ji Hyung Lee
Yale University - Cowles Foundation and Yale University - Department of Economics
Downloads 54 (370,667)

Abstract:

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

110.

Improved Har Inference Using Power Kernels Without Truncation

Cowles Foundation Discussion Paper No. 1513
Number of pages: 52 Posted: 11 Jun 2005
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 54 (370,667)

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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.

111.

Weak σ- Convergence: Theory and Applications

Cowles Foundation Discussion Paper No. 2072
Number of pages: 67 Posted: 18 Jan 2017
Jianning Kong, Peter C. B. Phillips and Donggyu Sul
Shandong University, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 52 (376,960)

Abstract:

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

112.

Inconsistent VAR Regression with Common Explosive Roots

Cowles Foundation Discussion Paper No. 1777
Number of pages: 33 Posted: 12 Jan 2011
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 52 (376,960)
Citation 2

Abstract:

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

113.

Local Limit Theory and Spurious Nonparametric Regression

Cowles Foundation Discussion Paper No. 1654
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 52 (376,960)
Citation 10

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

114.

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

HKIMR Working Paper No.17/2011
Number of pages: 32 Posted: 29 Jun 2011
Shuping Shi, Peter C. B. Phillips and Jun Yu
Department of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University
Downloads 51 (380,211)

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

115.

Tribute to T. W. Anderson

Cowles Foundation Discussion Paper No. 2081
Number of pages: 7 Posted: 13 Mar 2017
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 50 (383,511)

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

116.

Restricted Likelihood Ratio Tests in Predictive Regression

Cowles Foundation Discussion Paper No. 1968
Number of pages: 66 Posted: 03 Dec 2014
Peter C. B. Phillips and Ye Chen
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 49 (386,823)

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

117.

Meritocracy Voting: Measuring the Unmeasurable

Cowles Foundation Discussion Paper No. 1833
Number of pages: 25 Posted: 01 Nov 2011
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 49 (386,823)

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

118.

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

Cowles Foundation Discussion Paper No. 1832
Number of pages: 25 Posted: 01 Nov 2011
Zhang Yonghui, Liangjun Su and Peter C. B. Phillips
affiliation not provided to SSRN, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 48 (390,377)
Citation 2

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

119.

Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor

Cowles Foundation Discussion Paper No. 1702
Number of pages: 43 Posted: 04 Jun 2009
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 48 (390,377)
Citation 2

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

120.

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

Cowles Foundation Discussion Paper No. 1964
Number of pages: 57 Posted: 03 Dec 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 46 (397,233)
Citation 3

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

121.

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

Cowles Foundation Discussion Paper No. 2004
Number of pages: 34 Posted: 25 Jun 2015
Ryan Greenaway-McGrevy and Peter C. B. Phillips
University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 45 (400,717)
Citation 9

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

122.

Semiparametric Estimation in Time Series of Simultaneous Equations

Cowles Foundation Discussion Paper No. 1769
Number of pages: 51 Posted: 14 Sep 2010
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 45 (400,717)

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

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Number of pages: 60 Posted: 25 Jul 2017 Last Revised: 24 Aug 2017
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 23 (520,223)

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

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Cowles Foundation Discussion Paper No. 2109
Number of pages: 60 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 21 (526,582)

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

124.

Dynamic Panel GMM with Near Unity

Cowles Foundation Discussion Paper No. 1962
Number of pages: 37 Posted: 03 Dec 2014
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 44 (404,325)
Citation 2

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

125.

Dynamic Misspecification in Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1700
Number of pages: 33 Posted: 05 Jun 2009
Ioannis Kasparis and Peter C. B. Phillips
University of Cyprus - Department of Economics and Yale University - Cowles Foundation
Downloads 42 (411,712)
Citation 6

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

126.

Exact Distribution Theory in Structural Estimation with an Identity

Cowles Foundation Discussion Paper No. 1613
Number of pages: 28 Posted: 14 Jun 2007
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 42 (411,712)
Citation 5

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

127.

Testing Equality of Covariance Matrices via Pythagorean Means

Cowles Foundation Discussion Paper No. 1970
Number of pages: 49 Posted: 03 Dec 2014
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 41 (415,341)

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

128.

A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation

Cowles Foundation Discussion Paper No. 1540
Number of pages: 14 Posted: 05 Dec 2005
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 40 (419,161)
Citation 6

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

129.

Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process

Cowles Foundation Discussion Paper No. 2131
Number of pages: 28 Posted: 25 May 2018
Farzad Sabzikar, Qiying Wang and Peter C. B. Phillips
Iowa State University, University of Sydney and Yale University - Cowles Foundation
Downloads 39 (423,037)
Citation 5

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

130.

Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution

Cowles Foundation Discussion Paper No. 1548
Number of pages: 25 Posted: 05 Jan 2006
Nicholas Z. Muller and Peter C. B. Phillips
Yale University - School of Forestry and Environmental Studies and Yale University - Cowles Foundation
Downloads 39 (423,037)

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

131.

LAD Asymptotics Under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Cowles Foundation Discussion Paper No. 1703
Number of pages: 11 Posted: 04 Jun 2009
Jin Seo Cho, Chirok Han and Peter C. B. Phillips
Korea University - Department of Economics, University of Auckland - Department of Economics and Yale University - Cowles Foundation
Downloads 38 (427,154)
Citation 1

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

132.

Bootstrapping I(1) Data

Cowles Foundation Discussion Paper No. 1689
Number of pages: 12 Posted: 21 Jan 2009
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 38 (427,154)
Citation 2

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

133.

Bias in Estimating Multivariate and Univariate Diffusions

Cowles Foundation Discussion Paper No. 1778
Number of pages: 38 Posted: 12 Jan 2011
Xiaohu Wang, Peter C. B. Phillips and Jun Yu
University of Central Florida - Department of Public Administration, Yale University - Cowles Foundation and Singapore Management University
Downloads 35 (439,425)
Citation 3

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

134.

Nonlinear Cointegrating Regression Under Weak Identification

Cowles Foundation Discussion Paper 1768
Number of pages: 47 Posted: 14 Sep 2010
Xiaoxia Shi and Peter C. B. Phillips
University of Wisconsin - Madison and Yale University - Cowles Foundation
Downloads 35 (439,425)
Citation 8

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

135.

Model Selection in the Presence of Incidental Parameters

Cowles Foundation Discussion Paper No. 1919
Number of pages: 39 Posted: 06 Oct 2013
Yoonseok Lee and Peter C. B. Phillips
Syracuse University - Center for Policy Research and Yale University - Cowles Foundation
Downloads 34 (443,577)
Citation 5

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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

136.

Testing Linearity Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 1917
Number of pages: 54 Posted: 18 Sep 2013
Yaein Baek, Jin Seo Cho and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics, Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 33 (447,789)
Citation 4

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

137.

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Cowles Foundation Discussion Paper No. 1690
Number of pages: 35 Posted: 21 Jan 2009
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 33 (447,789)

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

138.

Inference in Near Singular Regression

Cowles Foundation Discussion Paper No. 2009
Number of pages: 21 Posted: 14 Jul 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 32 (452,214)
Citation 2

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

139.

Identifying Latent Structures in Panel Data

Cowles Foundation Discussion Paper No. 1965
Number of pages: 77 Posted: 03 Dec 2014
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University - School of Economics, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 32 (452,214)
Citation 11

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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

140.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 17 Mar 2019
Yubo Tao, Peter C. B. Phillips and Jun Yu
School of Economics, Singapore Management University, Yale University - Cowles Foundation and Singapore Management University
Downloads 30 (461,585)
Citation 1

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

141.

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

Cowles Foundation Discussion Paper No. 1963
Number of pages: 10 Posted: 03 Dec 2014
Peter C. B. Phillips and Chirok Han
Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 30 (461,585)
Citation 2

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Dynamic panel, IV estimation, Levels and difference instruments

142.

Smoothing Local-to-Moderate Unit Root Theory

Cowles Foundation Discussion Paper No. 1659
Number of pages: 18 Posted: 21 May 2008
Peter C. B. Phillips, Tassos Magdalinos and Liudas Giraitis
Yale University - Cowles Foundation, University of York and University of York - Department of Mathematics and Economics
Downloads 30 (461,585)
Citation 2

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

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, Yale University - Cowles Foundation and Peking University - Guanghua School of Management
Downloads 29 (466,369)
Citation 4

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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.

Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

Cowles Foundation Discussion Paper No. 1746
Number of pages: 32 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
University of Auckland - Department of Economics, Yale University - Cowles Foundation and University of Auckland - Department of Economics
Downloads 29 (466,369)
Citation 11

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

145.

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

Cowles Foundation Discussion Paper No. 1687
Number of pages: 25 Posted: 21 Jan 2009
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 29 (466,369)
Citation 17

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

146.

Uniform Inference in Panel Autoregression

Cowles Foundation Discussion Paper No. 2071
Number of pages: 325 Posted: 18 Jan 2017
John C. Chao and Peter C. B. Phillips
University of Maryland and Yale University - Cowles Foundation
Downloads 28 (471,273)

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

Boundary Limit Theory for Functional Local to Unity Regression

Cowles Foundation Discussion Paper No. 2108
Number of pages: 46 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 26 (495,631)
Citation 1

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

Boundary Limit Theory for Functional Local to Unity Regression

Journal of Time Series Analysis, Vol. 39, Issue 4, pp. 523-562, 2018
Number of pages: 40 Posted: 12 Jun 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 1 (675,648)
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Boundary asymptotics, functional local unit root, local to unity, sequential limits, simultaneous limits, unit root model

148.

Structural Inference from Reduced Forms with Many Instruments

Cowles Foundation Discussion Paper No. 2062
Number of pages: 46 Posted: 08 Dec 2016
Peter C. B. Phillips and Wayne Yuan Gao
Yale University - Cowles Foundation and Yale University, Faculty of Arts & Sciences, Department of Economics
Downloads 27 (476,385)
Citation 1

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

149.

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

Cowles Foundation Discussion Paper No. 1929
Number of pages: 25 Posted: 26 Nov 2013 Last Revised: 18 Dec 2013
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 27 (476,385)
Citation 3

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

150.

Optimal Estimation Under Nonstandard Conditions

Cowles Foundation Discussion Paper No. 1748
Number of pages: 20 Posted: 15 Jan 2010
Werner Ploberger and Peter C. B. Phillips
affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 27 (476,385)
Citation 4

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

151.

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

Cowles Foundation Discussion Paper No. 1655
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 27 (476,385)
Citation 12

Abstract:

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

152.

Non-Linearity Induced Weak Instrumentation

Cowles Foundation Discussion Paper No. 1872
Number of pages: 39 Posted: 07 Sep 2012
Ioannis Kasparis, Peter C. B. Phillips and Tassos Magdalinos
University of Cyprus - Department of Economics, Yale University - Cowles Foundation and University of York
Downloads 26 (481,627)
Citation 3

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

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

Cowles Foundation Discussion Paper No. 1916
Number of pages: 49 Posted: 18 Sep 2013
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 22 (520,223)
Citation 2

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

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

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 592-623, 2014
Number of pages: 32 Posted: 24 Oct 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
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Citation 2
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Autoregression, consistency, nonlinear diffusion, non‐stationarity, similarity, small‐sigma approximation, stochastic unit root, time‐varying coefficients.JEL. C22

154.

HAR Testing for Spurious Regression in Trend

Cowles Foundation Discussion Paper No. 2153
Number of pages: 37 Posted: 14 Dec 2018
Peter C. B. Phillips, Yonghui Zhang and Xiaohu Wang
Yale University - Cowles Foundation, Renmin University of China and Singapore Management University
Downloads 22 (503,818)
Citation 3

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

155.

Dynamic Panel Modeling of Climate Change

Cowles Foundation Discussion Paper No. 2150
Number of pages: 34 Posted: 14 Dec 2018
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 21 (509,558)

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

156.

Minimum Distance Testing and Top Income Shares in Korea

Cowles Foundation Discussion Paper No. 2007
Number of pages: 49 Posted: 26 Jun 2015
Jin Seo Cho, Myung-Ho Park and Peter C. B. Phillips
Yonsei University - Department of Economics, Korea Institute of Public Finance and Yale University - Cowles Foundation
Downloads 21 (509,558)

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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

157.

Hybrid Stochastic Local Unit Roots

Cowles Foundation Discussion Paper No. 2113
Number of pages: 40 Posted: 12 Dec 2017 Last Revised: 16 Mar 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 20 (515,204)
Citation 1

Abstract:

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

158.

Latent Variable Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 2111
Number of pages: 29 Posted: 20 Sep 2017 Last Revised: 16 Mar 2018
Qiying Wang, Peter C. B. Phillips and Ioannis Kasparis
University of Sydney, Yale University - Cowles Foundation and University of Cyprus - Department of Economics
Downloads 20 (515,204)
Citation 7

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

159.

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 2060
Number of pages: 47 Posted: 08 Dec 2016
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 18 (526,893)
Citation 1

Abstract:

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

160.

Inference in Autoregression Under Heteroskedasticity

Journal of Time Series Analysis, Vol. 27, No. 2, pp. 289-308, March 2006
Number of pages: 20 Posted: 08 May 2006
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 17 (532,650)
Citation 16
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161.

Point Optimal Testing with Roots That Are Functionally Local to Unity

Cowles Foundation Discussion Paper No. 2107
Number of pages: 40 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 16 (538,334)
Citation 3

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

162.

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

Cowles Foundation Discussion Paper No. 2061
Number of pages: 46 Posted: 08 Dec 2016
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 16 (538,334)
Citation 1

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

163.

Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices

Cowles Foundation Discussion Paper No. 2151
Number of pages: 40 Posted: 11 Dec 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 14 (550,201)

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

164.

Pooled Log Periodogram Regression

Journal of Time Series Analysis, Vol. 23, No. 1, pp. 57-93, 2002
Number of pages: 37 Posted: 19 Nov 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 14 (550,201)
Citation 8
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165.

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

International Economic Review, Vol. 47, No. 3, pp. 837-894, August 2006
Number of pages: 58 Posted: 01 Mar 2007
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
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Citation 18
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166.

Bimodal T-Ratios: The Impact of Thick Tails on Inference

Econometrics Journal, Vol. 13, Issue 2, pp. 271-289, July 2010
Number of pages: 19 Posted: 10 May 2010
Carlo V. Fiorio, Vassilis Hajivassiliou and Peter C. B. Phillips
University of Milan - Dipartimento di Scienze Economiche, Aziendali e Statistiche, London School of Economics & Political Science (LSE) - Department of Economics and Yale University - Cowles Foundation
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Citation 2
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167.

Testing for Common Trends in Semi‐Parametric Panel Data Models with Fixed Effects

The Econometrics Journal, Vol. 15, Issue 1, pp. 56-100, 2012
Number of pages: 45 Posted: 17 Feb 2012
Yonghui Zhang, Liangjun Su and Peter C. B. Phillips
affiliation not provided to SSRN, Singapore Management University and Yale University - Cowles Foundation
Downloads 2 (631,025)
Citation 1
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Common trends, Local polynomial estimation, Non‐parametric goodness‐of‐fit, Panel data, Profile least squares

168.

A Primer on Unit Root Testing

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 423-470, 1998
Number of pages: 48 Posted: 13 Sep 2012
Peter C. B. Phillips and Zhijie Xiao
Yale University - Cowles Foundation and University of Illinois at Urbana-Champaign - Department of Economics
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Citation 5
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169.

Non‐Parametric Regression Under Location Shifts

The Econometrics Journal, Vol. 14, Issue 3, pp. 457-486, 2011
Number of pages: 30 Posted: 26 Oct 2011
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University
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Bias‐correction, Endogeneity, Kernel regression, Location shift, Non‐parametric IV, Non‐stationarity, Paradox, Spatial  regression, Structural estimation

170.

Indirect Inference in Spatial Autoregression

The Econometrics Journal, Vol. 20, Issue 2, pp. 168-189, 2017
Number of pages: 22 Posted: 09 Aug 2017
Maria Kyriacou, Peter C. B. Phillips and Francesca Rossi
University of Southampton, Yale University - Cowles Foundation and University of Verona - Department of Economics
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Bias, Binding function, Inconsistency, Indirect Inference, Spatial autoregression, Weight matrix

171.

Point‐Optimal Panel Unit Root Tests with Serially Correlated Errors

The Econometrics Journal, Vol. 17, Issue 3, pp. 338-372, 2014
Number of pages: 35 Posted: 20 Oct 2014
Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
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Citation 2
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Bias correction, Incidental trends, Long‐run variance, Point‐optimal test, Serial dependence

172.

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

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 3, pp. 315-333, 2014
Number of pages: 19 Posted: 24 Apr 2014
Peter C. B. Phillips, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University
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Citation 22
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173.
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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 Yale University - Cowles Foundation

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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 Yale University - Cowles Foundation

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

174.

Early Develoment of Econometric Software at the University of Auckland

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

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

175.

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

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

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

176.

Band Spectral Regression with Trending Data

Econometrica, Vol. 70, pp. 1067-1109, 2002
Posted: 16 May 2002
Philip Dean Corbae, Sam Ouliaris and Peter C. B. Phillips
University of Wisconsin - Madison - Department of Finance, Investment and Banking, National University of Singapore (NUS) - Department of Economics and Yale University - Cowles Foundation

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177.

Measuring Change in Tail Behavior

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

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

178.

Discrete Fourier Transforms of Fractional Processes

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

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179.

Unit Root Log Periodogram Regression

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

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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 Yale University - Cowles Foundation

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Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Econometrics Journal, Vol. 4, pp. 1-36, 2001
Posted: 04 Sep 2001
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and Yale University - Cowles Foundation

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

181.

Maximum Likelihood Estimation in Panels with Incidental Trends

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

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182.

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

The Econometrics Journal, Vol. 1, 1998
Posted: 03 Apr 1999
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation

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