Details about Peter C. B. Phillips

E-mail:
Homepage:	http://korora.econ.yale.edu
Phone:	203 432 3695
Postal address:	30 Hillhouse Avenue New Haven CT 06520 USA
Workplace:	Cowles Foundation for Research in Economics, Yale University, (more information at EDIRC) Department of Economics, Business School, University of Auckland, (more information at EDIRC) Economics Department, Yale University, (more information at EDIRC) Department of Economics and Related Studies, University of York, (more information at EDIRC)

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Short-id: pph8

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Working Papers

2008

1. Local Limit Theory and Spurious Nonparametric Regression
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
2. Long Memory and Long Run Variation
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
3. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
4. Semiparametric Cointegrating Rank Selection
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
5. Smoothing Local-to-Moderate Unit Root Theory
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
6. Structural Nonparametric Cointegrating Regression
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
7. Unit Root Model Selection
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
8. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2007

9. Exact Distribution Theory in Structural Estimation with an Identity
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
10. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Working Papers, Hong Kong Institute for Monetary Research
11. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
12. Information Loss in Volatility Measurement with Flat Price Trading
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    Also in
    Levine's Bibliography, UCLA Department of Economics (2007)
13. Limit Theory for Explosively Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
14. Long Run Covariance Matrices for Fractionally Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2007)
15. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
16. Simulation-based Estimation of Contingent-claims Prices
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
17. Tilted Nonparametric Estimation of Volatility Functions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
18. Transition Modeling and Econometric Convergence Tests
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (2007)

2006

19. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
20. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2006)
    See Also Journal Article in Journal of Econometrics (2008)
21. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
22. Gaussian Inference in AR(1) Time Series with or without a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
23. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
24. Log Periodogram Regression: The Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
25. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometrica (2008)
26. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
27. Refined Inference on Long Memory in Realized Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Reviews (2008)
28. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2005

29. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Economics Letters (2006)
30. A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometric Theory (2006)
31. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2007)
32. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
33. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics
34. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics
35. Economic Transition and Growth
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
36. GMM with Many Moment Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
    See Also Journal Article in Econometrica (2006)
37. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
38. Incidental Trends and the Power of Panel Unit Root Tests
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    Yale School of Management Working Papers, Yale School of Management (2004)
    See Also Journal Article in Journal of Econometrics (2007)
39. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
40. Nonstationary Discrete Choice: A Corrigendum and Addendum
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Journal of Econometrics (2007)
41. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
42. Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

2004

43. Automated Discovery in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometric Theory (2005)
44. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Yale School of Management Working Papers, Yale School of Management (2004) View citations
    See Also Journal Article in Journal of Econometrics (2007)
45. Challenges of Trending Time Series Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
46. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
47. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations
48. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrics Journal (2005)
49. HAC Estimation by Automated Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometric Theory (2005)
50. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See Also Journal Article in Review of Financial Studies (2005)
51. Limit Theory for Moderate Deviations from a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2007)
52. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
53. Prewhitening Bias in HAC Estimation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
54. Regression Asymptotics Using Martingale Convergence Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
55. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See Also Journal Article in International Economic Review (2006)
56. The Elusive Empirical Shadow of Growth Convergence
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
57. Uniform Limit Theory for Stationary Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Discussion Papers, Department of Economics, University of York View citations
    See Also Journal Article in Journal of Time Series Analysis (2006)

2003

58. Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
59. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2000) View citations
    See Also Journal Article in Econometrica (2004)
60. Laws and Limits of Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Economic Journal (2003)
61. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
62. Vision and Influence in Econometrics: John Denis Sargan
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2003)

2002

63. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
64. Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
65. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
66. Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Journal of Time Series Analysis (2004)
67. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2003)
68. Nonstationary Discrete Choice
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2004)
69. The KPSS Test with Seasonal Dummies
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Economics Letters (2002)

2001

70. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2002)
71. Bootstrapping Spurious Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
72. Fully Nonparametric Estimation of Scalar Diffusion Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (2003)
73. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
74. Nonlinear Instrumental Variable Estimation of an Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2004)
75. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
76. Regression with Slowly Varying Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
77. Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2000

78. Accelerated Asymptotics for Diffusion Model Estimation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
79. Forecasting New Zealand's Real GDP
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
80. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
81. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
82. Structural Change in Tail Behavior and the Asian Financial Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
83. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Journal of Econometrics (2001)

1999

84. Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Applied Econometrics (2001)
85. Discrete Fourier Transforms of Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
86. Empirical Limits for Time Series Econometric Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (2003)
87. Estimation of Autoregressive Roots Near Unity Using Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations
    See Also Journal Article in Econometric Theory (2000)
88. How to Estimate Autoregressive Roots Near Unity
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1998) View citations
    See Also Journal Article in Econometric Theory (2001)
89. Linear Regression Limit Theory for Nonstationary Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (1999)
90. Maximum Likelihood Estimation in Panels with Incidental Trends
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1999) View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
91. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrics Journal (2001)
92. Nonlinear Regressions with Integrated Time Series
    Working Paper Series, Institute of Economic Research, Seoul National University View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1998) View citations
    See Also Journal Article in Econometrica (2001)
93. Nonstationary Binary Choice
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    Also in
    Working Paper Series, Institute of Economic Research, Seoul National University (1999) View citations
    See Also Journal Article in Econometrica (2000)
94. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Reviews (2000)
95. Unit Root Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2007)

1998

96. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Economic Surveys (1998)
97. Asymptotics for Nonlinear Transformations of Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (1999)
98. Econometric Analysis of Fisher's Equation
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
99. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
100. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (2002)
101. New Unit Root Asymptotics in the Presence of Deterministic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (2002)
102. Nonstationary Density Estimation and Kernel Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
103. Rissanen's Theorem and Econometric Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1997

104. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrics Journal (1998)
105. Band Spectral Regression with Trending Data
     Working Papers, University of Iowa, Department of Economics View citations
     Also in
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1997) View citations
     See Also Journal Article in Econometrica (2002)
106. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1999)
107. Regressions for Partially Identified, Cointegrated Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1996

108. Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
109. Efficiency Gains from Quasi-Differencing Under Nonstationarity
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
110. Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of International Money and Finance (1997)
111. Spurious Regression Unmasked
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1995

112. Automated Forecasts of Asia-Pacific Economic Activity
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
113. Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1998)
114. Unit Root Tests
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1994

115. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (1997)
116. Model Determination and Macroeconomic Activity
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
117. Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
118. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Applied Econometrics (1996)

1993

119. Fully Modified Least Squares and Vector Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1995)
120. Robust Nonstationary Regression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1992

121. Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
122. Bayes Models and Forecasts of Australian Macroeconomic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
123. Bayesian Model Selection and Prediction with Empirical Applications
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1995)
124. Hyper-Consistent Estimation of a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
125. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
126. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1994)
127. Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets
     Working papers, Wisconsin Madison - Social Systems View citations
     See Also Journal Article in Journal of Empirical Finance (1994)
128. Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1991

129. A Bayesian Analysis of Trend Determination in Economic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometric Reviews (1994)
130. A Reexamination of the Consumption Function Using Frequency Domain Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Empirical Economics (1994)
131. A Rexamination of the Consumption Function Using Frequency Domain Regressions
     Working Papers, University of Iowa, Department of Economics
     See Also Journal Article in Empirical Economics (1994)
132. Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Applied Econometrics (1991)
133. Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     Also in
     Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations
     See Also Journal Article in Journal of Econometrics (1992)
134. The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
135. The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
136. The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
137. Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
138. Unidentified Components in Reduced Rank Regression Estimation of ECM's
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
139. Unit Roots
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
140. Vector Autoregression and Causality
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1993)
141. Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometric Reviews (1994)

1990

142. A Shortcut to LAD Estimator Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
143. Operational Algebra and Regression t-Tests
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
144. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
145. Testing forUnit Root in the Presence of Deterministic Trends
     Working Papers, Michigan State - Econometrics and Economic Theory
146. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Applied Econometrics (1991)

1989

147. A Little Magic with the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
148. A New Proof of Knight's Theorem on the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
149. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1992)
150. Asymptotics for Linear Processes
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
151. Error Correction and Long Run Equilibrium in Continuous Time
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1991)
152. Estimating Long Run Economic Equilibria
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Review of Economic Studies (1991)
153. Optimal Inference in Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1991)
154. Statistical Inference in Instrumental Variables
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
155. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
156. Testing for a Unit Root in the Presence of Deterministic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
157. The Durbin-Watson Ratio Under Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1991)
158. Time Series Regression with a Unit Root and Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1988

159. Asymptotic Properties of Residual Based Tests for Cointegration
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1990)
160. Estimation and Inference in Models of Cointegration: A Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
161. Partially Identified Econometric Models
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
162. Reflections on Econometric Methodology
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in The Economic Record (1988)
163. Spectral Regression for Cointegrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
164. Testing for a Unit Root in the Presence of a Maintained Trend
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
165. The Characteristic Function of the Dirichlet and Multivariate F Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1987

166. Bimodal t-Ratios
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
167. Conditional and Unconditional Statistical Independence
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (1988)
168. Multiple Regression with Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
169. Regression Theory for Near-Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1988)
170. Spherical Matrix Distributions and Cauchy Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
171. Statistical Inference in Regressions with Integrated Processes: Part 1
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     Also in
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1987) View citations
172. Testing for Cointegration Using Principal Component Measures
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
173. Testing for a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     Also in
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations
174. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1986

175. An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
176. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
177. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
178. Does Gnp Have a Unit Root? a Reevaluation
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
     See Also Journal Article in Economics Letters (1987)
179. On the Formulation of Wald Tests of Nonlinear Restrictions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1988)
180. Time Series Regression with a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1987)
181. Towards a Unified Asymptotic Theory for Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
182. Trends Versus Random Walks in Time Series Analysis
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1988)
183. Weak Convergence to the Matrix Stochastic Integral BdB
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1985

184. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
185. Fractional Matrix Calculus and the Distribution of Multivariate Tests
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
186. Multiple Time Series Regression with Integrated Processes
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Review of Economic Studies (1986)
187. The Distribution of FIML in the Leading Case
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in International Economic Review (1986)
188. Understanding Spurious Regressions in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1986)

1984

189. Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
190. The Exact Distribution of the Wald Statistic
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1986)
191. The Exact Distribution of the Wald Statistic: The Non-Central Case
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1983

192. Finite Sample Econometrics Using ERA's
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
193. On University Education in Econometrics: Remarks on an Article by Eric R. Sowey
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
194. The Exact Distribution of Exogenous Variable Coefficient Estimators
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (1984)
195. The Exact Distribution of LIML: II
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     Also in
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1982)
     See Also Journal Article in International Economic Review (1985)
196. The Exact Distribution of Zellner's SUR
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
197. The Exact Distribution of the Stein-Rule Estimator
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (1984)

1982

198. ERA's: A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1983)
199. Exact Small Sample Theory in the Simultaneous Equations Model
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Chapter (1983)
200. Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
201. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
202. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
203. The Distribution of Matrix Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1981

204. A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
205. Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1980

206. A Model of Output, Employment, Capital Formation and Inflation
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
207. Best Uniform Approximation to Probability Densities in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
208. Characteristic Functions and the Tail Behavior of Probability Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
209. On a Lemma of Amemiya
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
210. On the Behavior of Inconsistent Instrumental Variable Estimators
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1982)
211. On the Consistency of Non-Linear FIML
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1982)
212. The Characteristic Function of the F Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1978

213. A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

Journal Articles

2008

1. Adaptive estimation of autoregressive models with time-varying variances
   Journal of Econometrics, 2008, 142, (1), 265-280 View citations
   See Also Working Paper (2006)
2. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
   Econometrica, 2008, 76, (1), 175-194
   See Also Working Paper (2006)
3. Refined Inference on Long Memory in Realized Volatility
   Econometric Reviews, 2008, 27, (1-3), 254-267
   See Also Working Paper (2006)

2007

4. A simple approach to the parametric estimation of potentially nonstationary diffusions
   Journal of Econometrics, 2007, 137, (2), 354-395
   See Also Working Paper (2005)
5. Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
   Journal of Econometrics, 2007, 137, (1), 162-188 View citations
   See Also Working Paper (2004)
6. Incidental trends and the power of panel unit root tests
   Journal of Econometrics, 2007, 141, (2), 416-459
   See Also Working Paper (2005)
7. LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
   Econometric Theory, 2007, 23, (06), 1233-1247 View citations
   See Also Working Paper (2007)
8. Limit theory for moderate deviations from a unit root
   Journal of Econometrics, 2007, 136, (1), 115-130 View citations
   See Also Working Paper (2004)
9. Nonstationary discrete choice: A corrigendum and addendum
   Journal of Econometrics, 2007, 141, (2), 1115-1130
   See Also Working Paper (2005)
10. REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
    Econometric Theory, 2007, 23, (04), 557-614 View citations
11. Some empirics on economic growth under heterogeneous technology
    Journal of Macroeconomics, 2007, 29, (3), 455-469
12. The Econometric Theory Awards 2007
    Econometric Theory, 2007, 23, (02), 369-369
    Also in
    Econometric Theory, 2004, 20, (03), 641-641 (2004)
    Econometric Theory, 2006, 22, (02), 345-345 (2006)
    Econometric Theory, 2005, 21, (02), 489-489 (2005)
13. Transition Modeling and Econometric Convergence Tests
    Econometrica, 2007, 75, (6), 1771-1855 View citations
    See Also Working Paper (2007)
14. Unit root log periodogram regression
    Journal of Econometrics, 2007, 138, (1), 104-124 View citations
    See Also Working Paper (1999)

2006

15. A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
    Econometric Theory, 2006, 22, (05), 947-960 View citations
    See Also Working Paper (2005)
16. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306
    See Also Working Paper (2005)
17. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208
18. GMM with Many Moment Conditions
    Econometrica, 2006, 74, (1), 147-192 View citations
    See Also Working Paper (2005)
19. Inference in Autoregression under Heteroskedasticity
    Journal of Time Series Analysis, 2006, 27, (2), 289-308 View citations
20. Local Whittle estimation of fractional integration and some of its variants
    Journal of Econometrics, 2006, 130, (2), 209-233 View citations
21. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
    Econometric Theory, 2006, 22, (06), 1179-1190 View citations
22. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 View citations
    See Also Working Paper (2004)
23. THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2006, 22, (04), 763-764
    Also in
    Econometric Theory, 2003, 19, (06), 1201-1202 (2003)
24. Uniform Limit Theory for Stationary Autoregression
    Journal of Time Series Analysis, 2006, 27, (1), 51-60 View citations
    See Also Working Paper (2004)

2005

25. AUTOMATED DISCOVERY IN ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 3-20 View citations
    See Also Working Paper (2004)
26. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
    Econometric Theory, 2005, 21, (01), 1-2
27. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
    Econometrics Journal, 2005, 8, (3), 367-379 View citations
    See Also Working Paper (2004)
28. HAC ESTIMATION BY AUTOMATED REGRESSION
    Econometric Theory, 2005, 21, (01), 116-142 View citations
    See Also Working Paper (2004)
29. Jackknifing Bond Option Prices
    Review of Financial Studies, 2005, 18, (2), 707-742 View citations
    See Also Working Paper (2004)
30. Phillips on Fisher's Equation
    American Journal of Economics and Sociology, 2005, 64, (1), 125-168
31. Prewhitening Bias in HAC Estimation
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations
    See Also Working Paper (2004)
32. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005
    Econometric Theory, 2005, 22, (01), 169-170
    Also in
    Econometric Theory, 2003, 19, (06), 1199-1200 (2003)

2004

33. EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
    Econometric Theory, 2004, 20, (03), 464-484 View citations
34. Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
    Journal of Time Series Analysis, 2004, 25, (5), 733-753
    See Also Working Paper (2002)
35. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Econometrica, 2004, 72, (2), 467-522 View citations
    See Also Working Paper (2003)
36. Gains to Research in the Presence of Intellectual Property Rights and Research Subsidies
    Review of Agricultural Economics, 2004, 26, (1), 63-81
37. NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES
    Econometric Theory, 2004, 20, (04), 643-644
38. Nonlinear instrumental variable estimation of an autoregression
    Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations
    See Also Working Paper (2001)
39. Nonstationary discrete choice
    Journal of Econometrics, 2004, 120, (1), 103-138 View citations
    See Also Working Paper (2002)

2003

40. 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
    Econometric Theory, 2003, 19, (04), 692-701
41. An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890
42. Dynamic panel estimation and homogeneity testing under cross section dependence ^*
    Econometrics Journal, 2003, 6, (1), 217-259 View citations
43. Empirical Limits for Time Series Econometric Models
    Econometrica, 2003, 71, (2), 627-673 View citations
    See Also Working Paper (1999)
44. Fully Nonparametric Estimation of Scalar Diffusion Models
    Econometrica, 2003, 71, (1), 241-283 View citations
    See Also Working Paper (2001)
45. IN MEMORY OF JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (03), 417-422
46. Inference in Arch and Garch Models with Heavy--Tailed Errors
    Econometrica, 2003, 71, (1), 285-317 View citations
47. Laws and Limits of Econometrics
    Economic Journal, 2003, 113, (486), C26-C52 View citations
    See Also Working Paper (2003)
48. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 View citations
    See Also Working Paper (2002)
49. VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (03), 495-511 View citations
    See Also Working Paper (2003)

2002

50. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 View citations
    See Also Working Paper (2001)
51. Band Spectral Regression with Trending Data
    Econometrica, 2002, 70, (3), 1067-1109 View citations
    See Also Working Paper (1997)
52. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 View citations
53. Jeffreys prior analysis of the simultaneous equations model in