Peter C. B. Phillips

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

University of Auckland Business School

Distinguished Alumnus, Professor

12 Grafton Rd

Private Bag 92019

Auckland, 1010

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

190

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22,562

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719

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1,796

Scholarly Papers (190)

1.
Downloads 1,042 ( 27,297)
Citation 16

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 926 (31,836)
Citation 24

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

Testing for Multiple Bubbles

CAFE Research Paper No. 13.18
Number of pages: 67 Posted: 27 Aug 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 116 (303,532)
Citation 18

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

2.

Semiparametric Cointegrating Rank Selection

Cowles Foundation Discussion Paper No. 1658
Number of pages: 24 Posted: 21 May 2008
Xu Cheng and Peter C. B. Phillips
University of Pennsylvania - Department of Economics and Yale University - Cowles Foundation
Downloads 760 (42,412)

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

3.

Dating the Timeline of Financial Bubbles During the Subprime Crisis

Cowles Foundation Discussion Paper No. 1770
Number of pages: 41 Posted: 14 Sep 2010
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 665 (50,687)
Citation 32

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, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 657 (50,842)
Citation 109

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 (839,074)
Citation 1
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5.

A CUSUM Test for Cointegration Using Regression Residuals

Number of pages: 22 Posted: 14 Oct 2001
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation
Downloads 513 (70,493)
Citation 1

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

Number of pages: 21 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 439 (85,033)
Citation 2

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 430 (87,098)
Citation 1

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 379 (100,742)
Citation 6

Abstract:

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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

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 219 (177,966)
Citation 25

Abstract:

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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 138 (266,433)
Citation 16

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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 (825,714)
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10.
Downloads 353 (109,113)
Citation 4

Financial Bubble Implosion

Number of pages: 46 Posted: 28 Aug 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 194 (199,238)

Abstract:

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

Financial Bubble Implosion

Cowles Foundation Discussion Paper No. 1967
Number of pages: 47 Posted: 03 Dec 2014
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 159 (237,140)
Citation 5

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

11.

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

Number of pages: 41 Posted: 17 Sep 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and Independent
Downloads 346 (111,571)
Citation 8

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

12.

The Elusive Empirical Shadow of Growth Convergence

Number of pages: 37 Posted: 03 Mar 2003
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and Independent
Downloads 341 (113,447)

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

13.

Business Cycles, Trend Elimination, and the HP Filter

Cowles Foundation Discussion Paper No. 2005
Number of pages: 56 Posted: 25 Jun 2015
Peter C. B. Phillips and Sainan Jin
Yale University - Cowles Foundation and Singapore Management University
Downloads 340 (113,827)
Citation 31

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

14.

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 317 (122,817)
Citation 3

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

15.

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 313 (124,442)
Citation 11

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

16.

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 306 (127,500)
Citation 5

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

17.

Bootstrapping Spurious Regression

Number of pages: 44 Posted: 14 Oct 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 305 (127,940)

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

18.

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 298 (131,210)

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

19.

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

Number of pages: 23 Posted: 20 Aug 2001
Jun Yu and Peter C. B. Phillips
Singapore Management University and Yale University - Cowles Foundation
Downloads 298 (131,210)

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Gaussian Estimation, Nonlinear Diffusion, Normalizing Transformation

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

Number of pages: 48 Posted: 25 Aug 2001
Andrew Jeffrey, Oliver B. Linton, Thong Nguyen and Peter C. B. Phillips
Yale School of Management, University of Cambridge, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 281 (138,749)

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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, Aarhus University - CREATESUniversity 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

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 Independent
Downloads 270 (145,304)
Citation 12

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

22.

Fully Nonparametric Estimation of Scalar Diffusion Models

Number of pages: 48 Posted: 14 Oct 2001
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 265 (148,643)
Citation 3

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

23.

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

Cowles Foundation Discussion Paper No. 1599
Number of pages: 46 Posted: 25 Oct 2006
Chirok Han and Peter C. B. Phillips
Independent and Yale University - Cowles Foundation
Downloads 263 (149,218)
Citation 7

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

24.

Economic Transition and Growth

Number of pages: 60 Posted: 11 Jun 2005
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and Independent
Downloads 254 (154,517)
Citation 8

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

25.

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Number of pages: 57 Posted: 01 Jun 2002
Peter C. B. Phillips and Donggyu Sul
Yale University - Cowles Foundation and Independent
Downloads 237 (165,329)
Citation 1

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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

26.

Jackknifing Bond Option Prices

Cowles Foundation Discussion Paper No. 1392
Number of pages: 52 Posted: 24 Jan 2003 Last Revised: 15 Nov 2013
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 234 (167,380)
Citation 3

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

27.

Automated Discovery in Econometrics

Number of pages: 22 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 228 (171,598)

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

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors

Cowles Foundation Discussion Paper No. 1915
Number of pages: 76 Posted: 18 Sep 2013
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 214 (181,865)
Citation 21

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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
Downloads 0
Citation 7
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29.

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 214 (182,134)
Citation 2

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

30.

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 207 (187,857)
Citation 6

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

31.

Fractional Brownian Motion as a Differentiable Generalized Gaussian Process

Number of pages: 11 Posted: 24 Jan 2003
Victoria Zinde‐Walsh and Peter C. B. Phillips
McGill University - Department of Economics and Yale University - Cowles Foundation
Downloads 205 (189,530)

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

32.

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 198 (195,741)
Citation 16

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

33.

Regression with Slowly Varying Regressors

Number of pages: 46 Posted: 25 Aug 2001
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 189 (204,095)

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

34.

Efficient Regression in Time Series Partial Linear Models

Number of pages: 47 Posted: 01 Jun 2002
Peter C. B. Phillips, Binbin Guo and Zhijie Xiao
Yale University - Cowles Foundation, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 182 (210,992)

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

35.

The KPSS Test with Seasonal Dummies

Number of pages: 7 Posted: 13 Jun 2002
Sainan Jin and Peter C. B. Phillips
Peking University - Guanghua School of Management and Yale University - Cowles Foundation
Downloads 180 (213,034)
Citation 1

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KPSS Test, Seasonal Dummies, Stationarity Test, Unit Root

36.

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

Number of pages: 36 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 168 (225,852)
Citation 6

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

37.

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

Number of pages: 51 Posted: 16 Mar 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 167 (227,044)

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

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 117 (301,630)
Citation 3

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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 39 (547,472)
Citation 9

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

39.

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Number of pages: 63 Posted: 21 Nov 2002
Hyungsik Roger Moon and Peter C. B. Phillips
University of Southern California - Department of Economics and Yale University - Cowles Foundation
Downloads 156 (240,526)
Citation 6

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

40.

Robust Tests for White Noise and Cross-Correlation

Cowles Foundation Discussion Paper No. 2194R
Number of pages: 89 Posted: 02 Apr 2020
Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips
National and Kapodistrian University of Athens - Department of Economics, Queen Mary and Yale University - Cowles Foundation
Downloads 155 (241,745)
Citation 1

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Serial correlation, Cross-correlation, Heteroskedasticity, Martingale differences

41.

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 155 (241,745)

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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

42.
Downloads 155 (241,745)
Citation 35

Prewhitening Bias in Hac Estimation

Number of pages: 30 Posted: 17 Sep 2003
Donggyu Sul, Peter C. B. Phillips and C. Y. Choi
Independent, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 141 (261,805)
Citation 1

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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
Independent, Yale University - Cowles Foundation and University of Texas at Arlington - College of Business Administration - Department of Economics
Downloads 14 (720,573)
Citation 3
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43.

Adaptive Estimation of Autoregression Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585
Number of pages: 31 Posted: 17 Oct 2006
Ke-Li Xu, Ke-Li Xu and Peter C. B. Phillips
Texas A&M UniversityIndiana University Bloomington and Yale University - Cowles Foundation
Downloads 150 (248,421)

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

44.

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

Number of pages: 28 Posted: 18 Jul 2005
Peter C. B. Phillips and Jun Yu
Yale University - Cowles Foundation and Singapore Management University
Downloads 150 (248,421)
Citation 1

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

45.

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 148 (251,113)
Citation 50

Abstract:

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

46.

Vision and Influence in Econometrics: John Denis Sargan

Number of pages: 20 Posted: 24 Jan 2003
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 148 (251,113)

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

47.

Nonlinear Instrumental Variable Estimation of an Autoregression

Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
Yale University - Cowles Foundation, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 148 (251,113)
Citation 1

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

48.

Regression Asymptotics Using Martingale Convergence Methods

Number of pages: 43 Posted: 27 Jul 2004
Rustam Ibragimov and Peter C. B. Phillips
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 146 (253,877)
Citation 1

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

49.

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, Ke-Li Xu and Peter C. B. Phillips
Texas A&M UniversityIndiana University Bloomington and Yale University - Cowles Foundation
Downloads 139 (264,009)
Citation 3

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

50.

Unit Roots in Life — A Graduate Student Story

Cowles Foundation Discussion Paper No. 1913
Number of pages: 23 Posted: 18 Sep 2013
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 138 (265,548)

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Graduate training, Research, Econometrics

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

Cowles Foundation Discussion Paper No. 2059
Number of pages: 59 Posted: 08 Dec 2016
Shuping Shi, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 73 (408,771)
Citation 3

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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, Shuping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie UniversityDepartment of Economics, Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Downloads 64 (439,173)
Citation 5

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

52.

Nonstationary Discrete Choice

Number of pages: 38 Posted: 01 Jun 2002
Ling Hu and Peter C. B. Phillips
Yale University - Department of Economics and Yale University - Cowles Foundation
Downloads 137 (267,109)

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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

53.

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 133 (273,269)

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Half Century of Econometrics, Initial Conditions, Unit Roots

54.

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

Number of pages: 48 Posted: 17 Sep 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 133 (273,269)

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

55.

GMM with Many Moment Conditions

Number of pages: 46 Posted: 11 Jun 2005
Chirok Han and Peter C. B. Phillips
Independent and Yale University - Cowles Foundation
Downloads 124 (287,928)
Citation 6

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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.

56.

Threshold Regression with Endogeneity

Cowles Foundation Discussion Paper No. 1966
Number of pages: 85 Posted: 03 Dec 2014
Ping Yu and Peter C. B. Phillips
The University of Hong Kong and Yale University - Cowles Foundation
Downloads 123 (289,614)
Citation 8

Abstract:

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

57.

X-Differencing and Dynamic Panel Model Estimation

Cowles Foundation Discussion Paper No. 1747
Number of pages: 62 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
Independent, Yale University - Cowles Foundation and Independent
Downloads 120 (294,854)
Citation 9

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

58.

Structural Change Tests in Tail Behaviour and the Asian Crisis

NYU Working Paper No. SOR-99-2
Number of pages: 32 Posted: 31 Oct 2008
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, New York University (NYU) and Yale University - Cowles Foundation
Downloads 119 (296,583)
Citation 2

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59.

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 117 (300,138)

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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

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 117 (301,630)

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

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 117 (300,138)
Citation 6

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

62.

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, Ke-Li Xu and Ke-Li Xu
Yale University - Cowles Foundation and Texas A&M UniversityIndiana University Bloomington
Downloads 113 (307,675)

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

63.

Exact Local Whittle Estimation of Fractional Integration

Number of pages: 35 Posted: 01 Jun 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 112 (309,591)
Citation 17

Abstract:

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

64.

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

Cowles Foundation Discussion Paper No. 1541
Number of pages: 45 Posted: 05 Dec 2005
S.H. Hong and Peter C. B. Phillips
Korea Institute of Public Finance and Yale University - Cowles Foundation
Downloads 111 (311,527)
Citation 1

Abstract:

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

65.

Structural Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1657
Number of pages: 26 Posted: 21 May 2008
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 108 (317,437)
Citation 5

Abstract:

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

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 108 (317,437)

Abstract:

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

67.

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 107 (319,495)

Abstract:

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

68.

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Cowles Foundation Discussion Paper No. 1594
Number of pages: 27 Posted: 10 Dec 2006
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 105 (323,636)
Citation 6

Abstract:

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

69.
Downloads 104 (325,733)
Citation 9

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 60 (453,899)
Citation 7

Abstract:

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

Functional Coefficient Nonstationary Regression

Number of pages: 55 Posted: 03 Aug 2013 Last Revised: 05 Aug 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and Yale University - Cowles Foundation
Downloads 44 (522,182)
Citation 6

Abstract:

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

70.

Automated Estimation of Vector Error Correction Models

Cowles Foundation Discussion Paper No. 1873
Number of pages: 92 Posted: 05 Sep 2012
Zhipeng Liao and Peter C. B. Phillips
University of California, Los Angeles (UCLA) - Department of Economics and Yale University - Cowles Foundation
Downloads 103 (327,798)
Citation 7

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

71.

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, Ke-Li Xu and Peter C. B. Phillips
Texas A&M UniversityIndiana University Bloomington and Yale University - Cowles Foundation
Downloads 103 (327,798)
Citation 5

Abstract:

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

72.

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 102 (329,907)
Citation 1

Abstract:

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

73.

Diagnosing Housing Fever with an Econometric Thermometer

CAMA Working Paper No. 43/2020, Macquarie Business School Research Paper, The University of Auckland Business School Research Paper
Number of pages: 32 Posted: 05 May 2020
Shuping Shi and Peter C. B. Phillips
Macquarie University and Yale University - Cowles Foundation
Downloads 100 (334,163)
Citation 1

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

Change Detection and the Causal Impact of the Yield Curve

Cowles Foundation Discussion Paper No. 2058
Number of pages: 68 Posted: 08 Dec 2016
Stan Hurn, Peter C. B. Phillips, Shuping Shi and Shuping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 98 (341,071)
Citation 8

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, Shuping Shi, Peter C. B. Phillips and Stan Hurn
Macquarie UniversityDepartment of Economics, Macquarie University, Yale University - Cowles Foundation and Queensland University of Technology - School of Economics and Finance
Downloads 1 (839,074)
Citation 4
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Causality, forward recursion, hypothesis testing, recursive evolving test, rolling window, yield curve, real economic activity

75.

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

Number of pages: 47 Posted: 11 Jun 2005
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 99 (336,386)
Citation 12

Abstract:

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

76.

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

Number of pages: 15 Posted: 25 Aug 2001
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 99 (336,386)

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Arfima, Edgeworth Expansion, Fractional Differencing, Pivotal Statistic

77.

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 97 (340,793)

Abstract:

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

78.

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

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna - Department of Economics, Yale University - Cowles Foundation, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 96 (343,046)
Citation 3

Abstract:

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

79.

Hac Estimation by Automated Regression

Number of pages: 25 Posted: 27 Jul 2004
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 93 (350,047)
Citation 1

Abstract:

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

80.

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 92 (352,452)
Citation 3

Abstract:

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

81.

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

Cowles Foundation Discussion Paper No. 1842
Number of pages: 32 Posted: 09 Jan 2012
Peter C. B. Phillips, Shuping Shi, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
Downloads 89 (359,841)
Citation 3

Abstract:

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

82.

Common Bubble Detection in Large Dimensional Financial Systems

Macquarie Business School Research Paper
Number of pages: 44 Posted: 10 Oct 2019 Last Revised: 27 Apr 2020
Ye Zoe Chen, Peter C. B. Phillips, Shuping Shi and Shuping Shi
Capital University of Economics and Business - International School of Economics and Management, Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
Downloads 88 (362,408)
Citation 4

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

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 87 (368,126)
Citation 5

Abstract:

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

Detecting Financial Collapse and Ballooning Sovereign Risk

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 6, pp. 1336-1361, 2019
Number of pages: 26 Posted: 02 Jun 2020
Peter C. B. Phillips, Shuping Shi and Shuping Shi
Yale University - Cowles Foundation and Macquarie UniversityDepartment of Economics, Macquarie University
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Citation 3
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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 84 (372,839)
Citation 3

Abstract:

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

85.

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Number of pages: 41 Posted: 01 Jun 2002
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 83 (375,499)
Citation 2

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

86.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Number of pages: 50 Posted: 18 Jul 2005
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 82 (378,189)

Abstract:

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

87.

Limit Theory for Moderate Deviations from a Unit Root

Number of pages: 28 Posted: 27 Jul 2004
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 82 (378,189)
Citation 2

Abstract:

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

88.

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 81 (380,996)
Citation 3

Abstract:

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

89.

Boosting: Why you Can Use the HP Filter

Cowles Foundation Discussion Paper No. 2212, December 2019
Number of pages: 57 Posted: 07 Dec 2019
Peter C. B. Phillips and Zhentao Shi
Yale University - Cowles Foundation and Department of Economics, the Chinese University of Hong Kong
Downloads 80 (383,798)
Citation 3

Abstract:

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

90.

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

Cowles Foundation Discussion Paper No. 1547
Number of pages: 45 Posted: 04 Jan 2006
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 78 (389,401)
Citation 9

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

91.

Homogeneity Pursuit in Panel Data Models: Theory and Applications

Cowles Foundation Discussion Paper No. 2063
Number of pages: 58 Posted: 08 Dec 2016
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 77 (392,282)
Citation 2

Abstract:

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

92.

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Cowles Foundation Discussion Paper No. 1661
Number of pages: 94 Posted: 23 May 2008
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and Yale University - Cowles Foundation
Downloads 77 (392,282)

Abstract:

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

93.

First Difference MLE and Dynamic Panel Estimation

Cowles Foundation Discussion Paper No. 1780
Number of pages: 33 Posted: 12 Jan 2011
Chirok Han and Peter C. B. Phillips
Independent and Yale University - Cowles Foundation
Downloads 76 (395,158)
Citation 4

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

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 76 (395,158)

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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.

Unit Root Model Selection

Cowles Foundation Discussion Paper No. 1653
Number of pages: 15 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 76 (395,158)

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AIC, Consistency, Model selection, Nonparametric, Unit root

96.

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 Independent
Downloads 75 (398,094)
Citation 18

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

97.

Long Memory and Long Run Variation

Cowles Foundation Discussion Paper No. 1656
Number of pages: 24 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 74 (401,113)

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

98.

Edmond Malinvaud: A Tribute to His Contributions in Econometrics

Cowles Foundation Discussion Paper No. 2002
Number of pages: 16 Posted: 25 Jun 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 73 (404,190)
Citation 2

Abstract:

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

99.

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 73 (404,190)
Citation 3

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

100.

A New Approach to Robust Inference in Cointegration

Cowles Foundation Discussion Paper No. 1538
Number of pages: 16 Posted: 24 Oct 2005
Sainan Jin, Peter C. B. Phillips and Yixiao Sun
Peking University - Guanghua School of Management, Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 73 (404,190)

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

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 72 (407,228)
Citation 3

Abstract:

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

102.

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Number of pages: 20 Posted: 27 Jul 2004
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 70 (413,450)

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

103.

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

Number of pages: 23 Posted: 13 Jun 2002
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 69 (416,726)

Abstract:

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

104.

Limit Theory for Explosively Cointegrated Systems

Cowles Foundation Discussion Paper No. 1614
Number of pages: 25 Posted: 14 Jun 2007
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 68 (419,984)

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

105.

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 Independent
Downloads 67 (423,275)
Citation 1

Abstract:

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

106.

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 67 (423,275)
Citation 2

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

107.

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

Cowles Foundation Discussion Paper No. 1586
Number of pages: 23 Posted: 17 Oct 2006
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 63 (436,902)
Citation 2

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

108.

Specification Testing for Nonlinear Cointegrating Regression

Cowles Foundation Discussion Paper No. 1779
Number of pages: 67 Posted: 12 Jan 2011 Last Revised: 21 Feb 2011
Qiying Wang and Peter C. B. Phillips
University of Sydney and Yale University - Cowles Foundation
Downloads 62 (440,423)
Citation 3

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

109.

Improved Har Inference Using Power Kernels Without Truncation

Number of pages: 52 Posted: 11 Jun 2005
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
Yale University - Cowles Foundation, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 62 (440,423)

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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.

110.

Uniform Limit Theory for Stationary Autoregression

Number of pages: 10 Posted: 27 Jul 2004
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 62 (440,423)
Citation 5

Abstract:

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

111.

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Cowles Foundation Discussion Paper No. 1879
Number of pages: 28 Posted: 22 Sep 2012
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 61 (443,843)
Citation 15

Abstract:

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

112.

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, Shuping Shi, Peter C. B. Phillips and Jun Yu
Macquarie UniversityDepartment of Economics, Macquarie University, Yale University - Cowles Foundation and Singapore Management University
Downloads 61 (443,843)

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

113.

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Cowles Foundation Discussion Paper No. 2109
Number of pages: 60 Posted: 15 Sep 2017 Last Revised: 04 Jun 2021
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 60 (447,452)
Citation 2

Abstract:

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

114.

A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

Cowles Foundation Discussion Paper No. 1704
Number of pages: 32 Posted: 05 Jun 2009
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 60 (447,452)

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

115.

Long Run Covariance Matrices for Fractionally Integrated Processes

Cowles Foundation Discussion Paper No. 1611
Number of pages: 15 Posted: 14 Jun 2007
Peter C. B. Phillips and Chang Sik Kim
Yale University - Cowles Foundation and Ewha Womans University - Department of Economics
Downloads 60 (447,452)
Citation 1

Abstract:

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

116.

Nonstationary Discrete Choice: A Corrigendum and Addendum

Number of pages: 54 Posted: 11 Jun 2005
Peter C. B. Phillips, Sainan Jin and Ling Hu
Yale University - Cowles Foundation, Peking University - Guanghua School of Management and Yale University - Department of Economics
Downloads 60 (447,452)
Citation 1

Abstract:

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

117.

Fully Modified Least Squares for Multicointegrated Systems

Cowles Foundation Discussion Paper No. 2210, November 2019
Number of pages: 36 Posted: 07 Dec 2019
Igor Kheifets and Peter C. B. Phillips
Instituto Tecnológico Autónomo de México (ITAM) and Yale University - Cowles Foundation
Downloads 58 (454,840)

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

118.

Restricted Likelihood Ratio Tests in Predictive Regression

Cowles Foundation Discussion Paper No. 1968
Number of pages: 66 Posted: 03 Dec 2014
Peter C. B. Phillips and Ye Chen
Yale University - Cowles Foundation and Singapore Management University - School of Economics
Downloads 58 (454,840)
Citation 1

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

119.

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

Cowles Foundation Discussion Paper No. 2004
Number of pages: 34 Posted: 25 Jun 2015
Ryan Greenaway-McGrevy and Peter C. B. Phillips
University of Auckland Business School and Yale University - Cowles Foundation
Downloads 57 (458,662)
Citation 9

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

120.

VARs with Mixed Roots Near Unity

Cowles Foundation Discussion Paper No. 1845
Number of pages: 25 Posted: 09 Jan 2012
Peter C. B. Phillips and Ji Hyung Lee
Yale University - Cowles Foundation and Yale University - Department of Economics
Downloads 56 (462,339)

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

121.

Local Limit Theory and Spurious Nonparametric Regression

Cowles Foundation Discussion Paper No. 1654
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 56 (462,339)

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

122.

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 55 (466,121)
Citation 1

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

123.

Tribute to T. W. Anderson

Cowles Foundation Discussion Paper No. 2081
Number of pages: 7 Posted: 13 Mar 2017
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 55 (466,121)

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

124.

Inconsistent VAR Regression with Common Explosive Roots

Cowles Foundation Discussion Paper No. 1777
Number of pages: 33 Posted: 12 Jan 2011
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 55 (466,121)
Citation 3

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

125.

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 55 (466,121)
Citation 2

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

126.

Consistent Misspecification Testing in Spatial Autoregressive Models

Number of pages: 58 Posted: 03 Sep 2020
Jungyoon Lee, Peter C. B. Phillips and Francesca Rossi
University of London, Royal Holloway College - Department of Economics, Yale University - Cowles Foundation and University of Verona - Department of Economics
Downloads 54 (469,947)

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

127.

Meritocracy Voting: Measuring the Unmeasurable

Cowles Foundation Discussion Paper No. 1833
Number of pages: 25 Posted: 01 Nov 2011
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 54 (469,947)

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

128.

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 51 (481,953)
Citation 1

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

129.

Dynamic Panel GMM with Near Unity

Cowles Foundation Discussion Paper No. 1962
Number of pages: 37 Posted: 03 Dec 2014
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 50 (486,081)
Citation 4

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

130.

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

Cowles Foundation Discussion Paper No. 1832
Number of pages: 25 Posted: 01 Nov 2011
Zhang Yonghui, Liangjun Su and Peter C. B. Phillips
affiliation not provided to SSRN, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 50 (486,081)
Citation 1

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

131.

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

Cowles Foundation Discussion Paper No. 1964
Number of pages: 57 Posted: 03 Dec 2014
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 48 (494,513)

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

132.

Testing Equality of Covariance Matrices via Pythagorean Means

Cowles Foundation Discussion Paper No. 1970
Number of pages: 49 Posted: 03 Dec 2014
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 46 (503,267)
Citation 1

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

133.

Exact Distribution Theory in Structural Estimation with an Identity

Cowles Foundation Discussion Paper No. 1613
Number of pages: 28 Posted: 14 Jun 2007
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 46 (503,267)

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

134.

Inference and Specification Testing in Threshold Regression with Endogeneity

Cowles Foundation Discussion Paper No. 2209, November 2019
Number of pages: 87 Posted: 07 Dec 2019
Ping Yu, Qin Liao and Peter C. B. Phillips
The University of Hong Kong, The University of Hong Kong and Yale University - Cowles Foundation
Downloads 45 (507,691)
Citation 1

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

135.

Dynamic Misspecification in Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 1700
Number of pages: 33 Posted: 05 Jun 2009
Ioannis Kasparis and Peter C. B. Phillips
University of Cyprus - Department of Economics and Yale University - Cowles Foundation
Downloads 45 (507,691)
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dynamic misspecification, functional regression, integrable function, integrated process, local time, misspecification, mixed normality, nonlinear cointegration, nonparametric regression

136.

Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution

Cowles Foundation Discussion Paper No. 1548
Number of pages: 25 Posted: 05 Jan 2006
Nicholas Z. Muller and Peter C. B. Phillips
Yale University - School of Forestry and Environmental Studies and Yale University - Cowles Foundation
Downloads 43 (516,720)

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

137.

A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation

Cowles Foundation Discussion Paper No. 1540
Number of pages: 14 Posted: 05 Dec 2005
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 43 (516,720)

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

138.

Dynamic Panel Modeling of Climate Change

Cowles Foundation Discussion Paper No. 2150
Number of pages: 34 Posted: 14 Dec 2018
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 42 (521,394)
Citation 1

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

139.

Testing Linearity Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 1917
Number of pages: 54 Posted: 18 Sep 2013
Yaein Baek, Jin Seo Cho and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics, Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 42 (521,394)
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

140.

Bootstrapping I(1) Data

Cowles Foundation Discussion Paper No. 1689
Number of pages: 12 Posted: 21 Jan 2009
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 42 (521,394)

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

141.

LAD Asymptotics Under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Cowles Foundation Discussion Paper No. 1703
Number of pages: 11 Posted: 04 Jun 2009
Jin Seo Cho, Chirok Han and Peter C. B. Phillips
Korea University - Department of Economics, Independent and Yale University - Cowles Foundation
Downloads 41 (526,080)

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

142.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 17 Mar 2019
Yubo Tao, Peter C. B. Phillips and Jun Yu
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 40 (530,948)
Citation 3

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

143.

Identifying Latent Structures in Panel Data

Cowles Foundation Discussion Paper No. 1965
Number of pages: 77 Posted: 03 Dec 2014
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Singapore Management University - School of Economics, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 40 (530,948)
Citation 18

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

144.

Bias in Estimating Multivariate and Univariate Diffusions

Cowles Foundation Discussion Paper No. 1778
Number of pages: 38 Posted: 12 Jan 2011
Xiaohu Wang, Peter C. B. Phillips and Jun Yu
University of Central Florida - Department of Public Administration, Yale University - Cowles Foundation and Singapore Management University
Downloads 37 (545,961)
Citation 2

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

145.

Nonlinear Cointegrating Regression Under Weak Identification

Cowles Foundation Discussion Paper 1768
Number of pages: 47 Posted: 14 Sep 2010
Xiaoxia Shi and Peter C. B. Phillips
University of Wisconsin - Madison and Yale University - Cowles Foundation
Downloads 37 (545,961)
Citation 2

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

146.

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 37 (545,961)
Citation 2

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

147.

Model Selection in the Presence of Incidental Parameters

Cowles Foundation Discussion Paper No. 1919
Number of pages: 39 Posted: 06 Oct 2013
Yoonseok Lee and Peter C. B. Phillips
Syracuse University - Center for Policy Research and Yale University - Cowles Foundation
Downloads 36 (551,164)
Citation 7

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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

148.

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Cowles Foundation Discussion Paper No. 1690
Number of pages: 35 Posted: 21 Jan 2009
Liudas Giraitis and Peter C. B. Phillips
University of York - Department of Mathematics and Economics and Yale University - Cowles Foundation
Downloads 36 (551,164)
Citation 1

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

149.

Inference in Near Singular Regression

Cowles Foundation Discussion Paper No. 2009
Number of pages: 21 Posted: 14 Jul 2015
Peter C. B. Phillips
Yale University - Cowles Foundation
Downloads 35 (556,409)
Citation 4

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

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 33 (581,107)
Citation 3

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

151.

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 34 (561,771)
Citation 1

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

152.

Nonlinear Cointegrating Power Function Regression with Endogeneity

Cowles Foundation Discussion Paper No. 2211, December 2019
Number of pages: 42 Posted: 07 Dec 2019
Zhishui Hu, Peter C. B. Phillips and Qiying Wang
University of Science and Technology of China (USTC), Yale University - Cowles Foundation and University of Sydney
Downloads 33 (567,236)

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

153.

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 Independent
Downloads 33 (567,236)
Citation 4

Abstract:

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Dynamic panel, IV estimation, Levels and difference instruments

154.

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

Cowles Foundation Discussion Paper No. 1749
Number of pages: 51 Posted: 15 Jan 2010
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, Yale University - Cowles Foundation and Peking University - Guanghua School of Management
Downloads 33 (567,236)
Citation 2

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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

155.

Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

Cowles Foundation Discussion Paper No. 1746
Number of pages: 32 Posted: 15 Jan 2010
Chirok Han, Peter C. B. Phillips and Donggyu Sul
Independent, Yale University - Cowles Foundation and Independent
Downloads 33 (567,236)
Citation 6

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

156.

Uniform Inference in Panel Autoregression

Cowles Foundation Discussion Paper No. 2071
Number of pages: 325 Posted: 18 Jan 2017
John C. Chao and Peter C. B. Phillips
University of Maryland and Yale University - Cowles Foundation
Downloads 32 (572,693)
Citation 2

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

157.

Optimal Estimation Under Nonstandard Conditions

Cowles Foundation Discussion Paper No. 1748
Number of pages: 20 Posted: 15 Jan 2010
Werner Ploberger and Peter C. B. Phillips
affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 32 (572,693)
Citation 1

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

158.

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

Cowles Foundation Discussion Paper No. 1929
Number of pages: 25 Posted: 26 Nov 2013 Last Revised: 18 Dec 2013
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 31 (578,297)
Citation 2

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

159.

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

Cowles Foundation Discussion Paper No. 1655
Number of pages: 32 Posted: 21 May 2008
Peter C. B. Phillips and Tassos Magdalinos
Yale University - Cowles Foundation and University of York
Downloads 31 (578,297)
Citation 3

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

160.

Latent Variable Nonparametric Cointegrating Regression

Cowles Foundation Discussion Paper No. 2111
Number of pages: 29 Posted: 20 Sep 2017 Last Revised: 16 Mar 2018
Qiying Wang, Peter C. B. Phillips and Ioannis Kasparis
University of Sydney, Yale University - Cowles Foundation and University of Cyprus - Department of Economics
Downloads 30 (584,109)
Citation 1

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

161.

Structural Inference from Reduced Forms with Many Instruments

Cowles Foundation Discussion Paper No. 2062
Number of pages: 46 Posted: 08 Dec 2016
Peter C. B. Phillips and Wayne Yuan Gao
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 29 (590,117)

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

162.

Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices

Cowles Foundation Discussion Paper No. 2151
Number of pages: 40 Posted: 11 Dec 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 28 (596,293)

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

163.

Non-Linearity Induced Weak Instrumentation

Cowles Foundation Discussion Paper No. 1872
Number of pages: 39 Posted: 07 Sep 2012
Ioannis Kasparis, Peter C. B. Phillips and Tassos Magdalinos
University of Cyprus - Department of Economics, Yale University - Cowles Foundation and University of York
Downloads 28 (596,293)

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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 26 (626,611)

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

165.

HAR Testing for Spurious Regression in Trend

Cowles Foundation Discussion Paper No. 2153
Number of pages: 37 Posted: 14 Dec 2018
Peter C. B. Phillips, Yonghui Zhang and Xiaohu Wang
Yale University - Cowles Foundation, Renmin University of China and Singapore Management University
Downloads 26 (609,005)

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

166.

Hybrid Stochastic Local Unit Roots

Cowles Foundation Discussion Paper No. 2113
Number of pages: 40 Posted: 12 Dec 2017 Last Revised: 16 Mar 2018
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 26 (609,005)
Citation 4

Abstract:

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

167.

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 25 (615,699)

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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

168.

Point Optimal Testing with Roots That Are Functionally Local to Unity

Cowles Foundation Discussion Paper No. 2107
Number of pages: 40 Posted: 15 Sep 2017 Last Revised: 16 Mar 2018
Anna Bykhovskaya and Peter C. B. Phillips
Yale University, Department of Economics and Yale University - Cowles Foundation
Downloads 24 (622,568)
Citation 5

Abstract:

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

169.

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cowles Foundation Discussion Paper No. 2060
Number of pages: 47 Posted: 08 Dec 2016
Jin Seo Cho and Peter C. B. Phillips
Yonsei University - Department of Economics and Yale University - Cowles Foundation
Downloads 24 (622,568)
Citation 5

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

170.

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

Cowles Foundation Discussion Paper No. 2259
Number of pages: 20 Posted: 27 Oct 2020
Todd Henry and Peter C. B. Phillips
University of Auckland and Yale University - Cowles Foundation
Downloads 22 (636,488)

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Forecasting, Inversion, Recession indicator, Yield curve

171.

Functional Coefficient Panel Modeling with Communal Smoothing Covariates

Cowles Foundation Discussion Paper No. 2193, May 2019
Number of pages: 81 Posted: 05 Sep 2019
Peter C. B. Phillips and Ying Wang
Yale University - Cowles Foundation and University of Auckland Business School
Downloads 20 (650,588)
Citation 2

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

172.

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

Cowles Foundation Discussion Paper No. 2061
Number of pages: 46 Posted: 08 Dec 2016
Offer Lieberman and Peter C. B. Phillips
Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management and Yale University - Cowles Foundation
Downloads 19 (657,822)
Citation 3

Abstract:

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

173.

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, Ke-Li Xu and Ke-Li Xu
Yale University - Cowles Foundation and Texas A&M UniversityIndiana University Bloomington
Downloads 17 (672,171)
Citation 3
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174.

Pooled Log Periodogram Regression

Number of pages: 37 Posted: 19 Nov 2002
Katsumi Shimotsu and Peter C. B. Phillips
Queen's University - Department of Economics and Yale University - Cowles Foundation
Downloads 14 (694,807)
Citation 1
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175.

Continuously Updated Indirect Inference in Heteroskedastic Spatial Models

Cowles Foundation Discussion Paper No. 2208, October 2019
Number of pages: 41 Posted: 07 Dec 2019
Maria Kyriacou, Peter C. B. Phillips and Francesca Rossi
University of Southampton, Yale University - Cowles Foundation and University of Verona - Department of Economics
Downloads 12 (710,564)
Citation 2

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

176.

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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177.

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

Number of pages: 108 Posted: 08 Jul 2021 Last Revised: 22 Nov 2021
Liang Jiang, Peter C. B. Phillips, Yubo Tao and Yichong Zhang
Fudan University - Fanhai International School of Finance (FISF), Yale University - Cowles Foundation, Singapore Management University - School of Economics and Singapore Management University
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Covariate-adaptive randomization, High-dimensional data, Regression adjustment, Quantile treatment effects.

178.

Boosting the Hodrick-Prescott Filter

Cowles Foundation Discussion Paper No. 2192, May 2019
Number of pages: 46 Posted: 05 Sep 2019
Peter C. B. Phillips and Zhentao Shi
Yale University - Cowles Foundation and Department of Economics, the Chinese University of Hong Kong
Downloads 5 (765,675)
Citation 4

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

179.

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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180.

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, Shuping Shi and Jun Yu
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University
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Citation 7
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181.
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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

Abstract:

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

Nonparametric Predictive Regression

Posted: 24 Jul 2013
Elena Andreou, Ioannis Kasparis and Peter C. B. Phillips
University of Cyprus - Department of Economics, University of Cyprus - Department of Economics and Yale University - Cowles Foundation

Abstract:

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

182.

Early Develoment of Econometric Software at the University of Auckland

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

Abstract:

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

183.

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

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

Abstract:

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

184.

Band Spectral Regression with Trending Data

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

Abstract:

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185.

Measuring Change in Tail Behavior

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

Abstract:

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

186.

Discrete Fourier Transforms of Fractional Processes

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

Abstract:

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187.

Unit Root Log Periodogram Regression

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

Abstract:

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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

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

189.

Maximum Likelihood Estimation in Panels with Incidental Trends

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

Abstract:

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190.

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

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

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