Details about Peter C. B. Phillips

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

Access statistics for papers by Peter C. B. Phillips.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pph8

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Working Papers

2024

1. A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) View citations (2)
2. Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
3. Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
4. GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2024)
5. Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
6. Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
7. Self-weighted Estimation for Local Unit Root Regression with Applications
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
8. Teaching Financial Econometrics to Students Converting to Finance
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
9. The boosted HP filter is more general than you might think
   Papers, arXiv.org View citations (4)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) View citations (4)

2023

10. Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves
    Working papers, Yonsei University, Yonsei Economics Research Institute
11. Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
12. New asymptotics applied to functional coefficient regression and climate sensitivity analysis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
13. Panel Data Models with Time-Varying Latent Group Structures
    Papers, arXiv.org
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2023)
    See also Journal Article Panel data models with time-varying latent group structures, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)
14. Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
15. Robust Inference on Correlation under General Heterogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Robust inference on correlation under general heterogeneity, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)

2022

16. A Panel Clustering Approach to Analyzing Bubble Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) View citations (2)
    See also Journal Article A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) (2023)
17. An Econometrician amongst Statisticians: T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
18. Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
19. Boosting the HP Filter for Trending Time Series with Long Range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Boosting the HP filter for trending time series with long-range dependence, Econometric Reviews, Taylor & Francis Journals (2024) (2024)
20. Econometric Analysis of Asset Price Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
21. Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
22. Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations
    Papers, arXiv.org View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2021) View citations (1)
    See also Journal Article Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations, Journal of Econometrics, Elsevier (2023) View citations (3) (2023)
23. Robust Testing for Explosive Behavior with Strongly Dependent Errors
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) View citations (1)
    See also Journal Article Robust testing for explosive behavior with strongly dependent errors, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)
24. The Impact of Upzoning on Housing Construction in Auckland
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article The impact of upzoning on housing construction in Auckland, Journal of Urban Economics, Elsevier (2023) View citations (5) (2023)
25. Unified Factor Model Estimation and Inference under Short and Long Memory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
26. Weak Identification of Long Memory with Implications for Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) View citations (1)

2021

27. Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
    Papers, arXiv.org View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (3)
    See also Journal Article Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs, The Review of Economics and Statistics, MIT Press (2024) (2024)
28. Discrete Fourier Transforms of Fractional Processes with Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Chapter Discrete Fourier Transforms of Fractional Processes with Econometric Applications*, Advances in Econometrics, Emerald Group Publishing Limited (2023) (2023)
29. Estimation and Inference with Near Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS, Econometric Theory, Cambridge University Press (2023) View citations (6) (2023)
30. Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
    Papers, arXiv.org View citations (3)
    See also Journal Article Fully modified least squares cointegrating parameter estimation in multicointegrated systems, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)
31. Limit Theory for Locally Flat Functional Coefficient Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION, Econometric Theory, Cambridge University Press (2023) View citations (1) (2023)
32. On Multicointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
33. Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Robust inference with stochastic local unit root regressors in predictive regressions, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2020

34. Boosting: Why You Can Use the HP Filter
    Papers, arXiv.org View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (8)
    See also Journal Article BOOSTING: WHY YOU CAN USE THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) View citations (35) (2021)
35. Common Bubble Detection in Large Dimensional Financial Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Common Bubble Detection in Large Dimensional Financial Systems*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (1) (2023)
36. Consistent Misspecification Testing in Spatial Autoregressive Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
37. Diagnosing Housing Fever with an Econometric Thermometer
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (2)
    See also Journal Article Diagnosing housing fever with an econometric thermometer, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (4) (2023)
38. Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
39. High-Dimensional VARs with Common Factors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article High-dimensional VARs with common factors, Journal of Econometrics, Elsevier (2023) View citations (10) (2023)
40. Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
    See also Journal Article Nonstationary panel models with latent group structures and cross-section dependence, Journal of Econometrics, Elsevier (2021) View citations (12) (2021)
41. Robust Tests for White Noise and Cross-Correlation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2020) View citations (8)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (4)
    See also Journal Article ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION, Econometric Theory, Cambridge University Press (2022) View citations (3) (2022)
42. When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article When bias contributes to variance: True limit theory in functional coefficient cointegrating regression, Journal of Econometrics, Elsevier (2023) View citations (5) (2023)

2019

43. Boosting the Hodrick-Prescott Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
44. Continuously Updated Indirect Inference in Heteroskedastic Spatial Models
    Working Papers, University of Verona, Department of Economics View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (1)
    See also Journal Article CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS, Econometric Theory, Cambridge University Press (2023) (2023)
45. Fully Modified Least Squares for Multicointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
46. Functional Coefficient Panel Modeling with Communal Smoothing Covariates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article Functional coefficient panel modeling with communal smoothing covariates, Journal of Econometrics, Elsevier (2022) View citations (3) (2022)
47. Inference and Specification Testing in Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
48. Nonlinear Cointegrating Power Function Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY, Econometric Theory, Cambridge University Press (2021) View citations (3) (2021)
49. Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2018

50. Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
51. Dynamic Panel Modeling of Climate Change
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Dynamic Panel Modeling of Climate Change, Econometrics, MDPI (2020) View citations (2) (2020)
52. HAR Testing for Spurious Regression in Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article HAR Testing for Spurious Regression in Trend, Econometrics, MDPI (2019) View citations (5) (2019)
53. Real Time Monitoring of Asset Markets: Bubbles and Crises
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
54. The Heterogeneous Effects of the Minimum Wage on Employment Across States
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article The heterogeneous effects of the minimum wage on employment across states, Economics Letters, Elsevier (2019) View citations (22) (2019)
55. Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Understanding temporal aggregation effects on kurtosis in financial indices, Journal of Econometrics, Elsevier (2022) View citations (1) (2022)

2017

56. Bayesian estimation based on summary statistics: Double asymptotics and practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
57. Boundary Limit Theory for Functional Local to Unity Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Boundary Limit Theory for Functional Local to Unity Regression, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (10) (2018)
58. Detecting Financial Collapse and Ballooning Sovereign Risk
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
    See also Journal Article Detecting Financial Collapse and Ballooning Sovereign Risk, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (29) (2019)
59. Econometric Measurement of Earth's Transient Climate Sensitivity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (4)
60. Hybrid Stochastic Local Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Hybrid stochastic local unit roots, Journal of Econometrics, Elsevier (2020) View citations (6) (2020)
61. John Denis Sargan at the London School of Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
62. Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)
63. Kernel-based inference in time-varying coefficient models with multiple integrated regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
64. Latent Variable Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION, Econometric Theory, Cambridge University Press (2021) View citations (2) (2021)
65. Point Optimal Testing with Roots That Are Functionally Local to Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article Point optimal testing with roots that are functionally local to unity, Journal of Econometrics, Elsevier (2020) View citations (7) (2020)
66. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2017) View citations (3)
    See also Journal Article Random coefficient continuous systems: Testing for extreme sample path behavior, Journal of Econometrics, Elsevier (2019) View citations (8) (2019)
67. Uniform Inference in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article Uniform Inference in Panel Autoregression, Econometrics, MDPI (2019) View citations (2) (2019)
68. Weak s- Convergence: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Weak σ-convergence: Theory and applications, Journal of Econometrics, Elsevier (2019) View citations (8) (2019)

2016

69. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (3)
    See also Journal Article Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (101) (2018)
70. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
71. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2016) View citations (11)
72. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
    See also Journal Article Homogeneity pursuit in panel data models: Theory and application, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (26) (2018)
73. IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
74. Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"
    Working papers, Yonsei University, Yonsei Economics Research Institute
75. Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (3) (2018)
76. Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Pythagorean generalization of testing the equality of two symmetric positive definite matrices, Journal of Econometrics, Elsevier (2018) View citations (6) (2018)
77. Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2016)
    See also Journal Article Sequentially testing polynomial model hypotheses using power transforms of regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (12) (2018)
78. Structural Inference from Reduced Forms with Many Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Structural inference from reduced forms with many instruments, Journal of Econometrics, Elsevier (2017) View citations (3) (2017)
79. Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute
80. Tribute to T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2015

81. Business Cycles, Trend Elimination, and the HP Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (37)
    See also Journal Article BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) View citations (15) (2021)
82. Edmond Malinvaud: A Tribute to His Contributions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Edmond Malinvaud: a tribute to his contributions in econometrics, Econometrics Journal, Royal Economic Society (2015) View citations (2) (2015)
83. Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres
    Working Papers, Department of Economics, The University of Auckland View citations (12)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) View citations (15)
    See also Journal Article Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres, New Zealand Economic Papers, Taylor & Francis Journals (2016) View citations (43) (2016)
84. Inference in Near Singular Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Chapter Inference in Near-Singular Regression, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (7) (2016)
85. Minimum Distance Testing and Top Income Shares in Korea
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
86. Pitfalls and Possibilities in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
87. Testing Linearity Using Power Transforms of Regressors
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (27)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013)
    See also Journal Article Testing linearity using power transforms of regressors, Journal of Econometrics, Elsevier (2015) View citations (27) (2015)
88. Testing Mean Stability of Heteroskedastic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (2)
89. We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)

2014

90. A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article A multivariate stochastic unit root model with an application to derivative pricing, Journal of Econometrics, Elsevier (2017) View citations (17) (2017)
91. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (7)
92. Dynamic Panel GMM with Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
93. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
94. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (10)
    See also Journal Article Identifying Latent Structures in Panel Data, Econometrica, Econometric Society (2016) View citations (135) (2016)
95. Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
    See also Journal Article Threshold regression with endogeneity, Journal of Econometrics, Elsevier (2018) View citations (26) (2018)
96. True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression, Economics Letters, Elsevier (2015) View citations (2) (2015)
97. Weak Convergence to Stochastic Integrals for Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS, Econometric Theory, Cambridge University Press (2016) View citations (10) (2016)

2013

98. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
99. Estimating Smooth Structural Change in Cointegration Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) View citations (4)
    See also Journal Article Estimating smooth structural change in cointegration models, Journal of Econometrics, Elsevier (2017) View citations (42) (2017)
100. Functional Coefficient Nonstationary Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
101. Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (9)
102. Model Selection in the Presence of Incidental Parameters
     Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (1)
     See also Journal Article Model selection in the presence of incidental parameters, Journal of Econometrics, Elsevier (2015) View citations (12) (2015)
103. Nonparametric Predictive Regression
     CEPR Discussion Papers, C.E.P.R. Discussion Papers
     Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) View citations (4)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (4)
     See also Journal Article Nonparametric predictive regression, Journal of Econometrics, Elsevier (2015) View citations (29) (2015)
104. Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS, Journal of Time Series Analysis, Wiley Blackwell (2014) View citations (18) (2014)
105. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
     Working Papers, Singapore Management University, School of Economics View citations (93)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (86)
     See also Journal Article TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (167) (2015)
106. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
     Working Papers, Singapore Management University, School of Economics View citations (6)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (5)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2013)
     See also Journal Article TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (79) (2015)
107. Testing the Martingale Hypothesis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Testing the Martingale Hypothesis, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (8) (2014)
108. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013)
     See also Journal Article UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2016) View citations (7) (2016)
109. Unit Roots in Life -- A Graduate Student Story
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY, Econometric Theory, Cambridge University Press (2014) (2014)

2012

110. Automated Estimation of Vector Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2015) View citations (31) (2015)
111. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (3)
     See also Journal Article Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Econometric Reviews, Taylor & Francis Journals (2015) View citations (10) (2015)
112. Non-linearity Induced Weak Instrumentation
     University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (1)
     See also Journal Article Nonlinearity Induced Weak Instrumentation, Econometric Reviews, Taylor & Francis Journals (2014) View citations (4) (2014)
113. On Confidence Intervals for Autoregressive Roots and Predictive Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article On Confidence Intervals for Autoregressive Roots and Predictive Regression, Econometrica, Econometric Society (2014) View citations (50) (2014)
114. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
115. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     Also in Working Papers, Singapore Management University, School of Economics (2012) View citations (4)
     Working Papers, Singapore Management University, School of Economics (2011) View citations (8)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
     See also Journal Article Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (89) (2014)
116. Testing for Multiple Bubbles
     Working Papers, Singapore Management University, School of Economics View citations (78)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (51)
     Working Papers, Singapore Management University, School of Economics (2011) View citations (52)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
117. VARs with Mixed Roots Near Unity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2011

118. Bias in Estimating Multivariate and Univariate Diffusions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
     See also Journal Article Bias in estimating multivariate and univariate diffusions, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
119. First Difference MLE and Dynamic Panel Estimation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
120. Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
121. Inconsistent VAR Regression with Common Explosive Roots
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS, Econometric Theory, Cambridge University Press (2013) View citations (8) (2013)
122. Meritocracy Voting: Measuring the Unmeasurable
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Meritocracy Voting: Measuring the Unmeasurable, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
123. Semiparametric Estimation in Multivariate Nonstationary Time Series Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
124. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
     Working Papers, Singapore Management University, School of Economics View citations (1)
     Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
     Working Papers, Hong Kong Institute for Monetary Research (2011) View citations (3)
125. Specification Testing for Nonlinear Cointegrating Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
126. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Testing for common trends in semi‐parametric panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2012) View citations (22) (2012)

2010

127. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
     Working Papers, Singapore Management University, School of Economics
128. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
     Working Papers, Singapore Management University, School of Economics
129. Dating the Timeline of Financial Bubbles during the Subprime Crisis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
     Also in Working Papers, Singapore Management University, School of Economics (2009) View citations (13)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
     Finance Working Papers, East Asian Bureau of Economic Research (2009) View citations (13)
     See also Journal Article Dating the timeline of financial bubbles during the subprime crisis, Quantitative Economics, Econometric Society (2011) View citations (344) (2011)
130. Measurement and High Finance
     Working Papers, Singapore Management University, School of Economics
131. Nonlinear Cointegrating Regression under Weak Identification
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION, Econometric Theory, Cambridge University Press (2012) View citations (14) (2012)
132. Optimal Estimation under Nonstandard Conditions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Optimal estimation under nonstandard conditions, Journal of Econometrics, Elsevier (2012) View citations (11) (2012)
133. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, Econometric Theory, Cambridge University Press (2011) View citations (12) (2011)
134. Semiparametric Estimation in Simultaneous Equations of Time Series Models
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (2)
135. Semiparametric Estimation in Time Series of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
136. The Mysteries of Trend
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
137. Tilted Nonparametric Estimation of Volatility Functions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
138. Two New Zealand Pioneer Econometricians
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article Two New Zealand pioneer econometricians, New Zealand Economic Papers, Taylor & Francis Journals (2010) View citations (4) (2010)
139. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION, Econometric Theory, Cambridge University Press (2011) View citations (8) (2011)
140. X-Differencing and Dynamic Panel Model Estimation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, Econometric Theory, Cambridge University Press (2014) View citations (30) (2014)

2009

141. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
142. Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
143. Bootstrapping I(1) Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Bootstrapping I(1) data, Journal of Econometrics, Elsevier (2010) View citations (1) (2010)
144. Cointegrating Rank Selection in Models with Time-Varying Variance
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article Cointegrating rank selection in models with time-varying variance, Journal of Econometrics, Elsevier (2012) View citations (10) (2012)
145. Dynamic Misspecification in Nonparametric Cointegrating Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2009) View citations (4)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
     See also Journal Article Dynamic misspecification in nonparametric cointegrating regression, Journal of Econometrics, Elsevier (2012) View citations (14) (2012)
146. Econometric Inference in the Vicinity of Unity
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (1)
147. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
     Also in Working Papers, Hong Kong Institute for Monetary Research (2007) View citations (9)
     Working Papers, Singapore Management University, School of Economics (2009) View citations (28)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
     See also Journal Article EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (586) (2011)
148. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in Discussion Paper Series, Institute of Economic Research, Korea University (2009) View citations (2)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
     See also Journal Article Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (3) (2011)
149. Information Loss in Volatility Measurement with Flat Price Trading
     Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
     Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (4)
     Levine's Bibliography, UCLA Department of Economics (2007) View citations (5)
     See also Journal Article Information loss in volatility measurement with flat price trading, Empirical Economics, Springer (2023) View citations (1) (2023)
     Chapter Information loss in volatility measurement with flat price trading, Advanced Studies in Theoretical and Applied Econometrics, Springer (2024) (2024)
150. LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
     Discussion Paper Series, Institute of Economic Research, Korea University (2009)
     See also Journal Article LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES, Econometric Theory, Cambridge University Press (2010) View citations (2) (2010)
151. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Mean and autocovariance function estimation near the boundary of stationarity, Journal of Econometrics, Elsevier (2012) View citations (5) (2012)
152. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

2008

153. Local Limit Theory and Spurious Nonparametric Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2009) View citations (17) (2009)
154. Long Memory and Long Run Variation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Long memory and long run variation, Journal of Econometrics, Elsevier (2009) View citations (2) (2009)
155. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
156. Regression asymptotics using martingale convergence methods
     Scholarly Articles, Harvard University Department of Economics View citations (28)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) View citations (9)
     See also Journal Article REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS, Econometric Theory, Cambridge University Press (2008) View citations (30) (2008)
157. Semiparametric Cointegrating Rank Selection
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
     See also Journal Article Semiparametric cointegrating rank selection, Econometrics Journal, Royal Economic Society (2009) View citations (18) (2009)
158. Simulation-based Estimation of Contingent-claims Prices
     Finance Working Papers, East Asian Bureau of Economic Research View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (2)
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
     See also Journal Article Simulation-Based Estimation of Contingent-Claims Prices, The Review of Financial Studies, Society for Financial Studies (2009) View citations (18) (2009)
159. Smoothing Local-to-Moderate Unit Root Theory
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Smoothing local-to-moderate unit root theory, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)
160. Structural Nonparametric Cointegrating Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
     See also Journal Article Structural Nonparametric Cointegrating Regression, Econometrica, Econometric Society (2009) View citations (74) (2009)
161. Unit Root Model Selection
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
162. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST, Econometric Theory, Cambridge University Press (2009) View citations (42) (2009)

2007

163. Exact Distribution Theory in Structural Estimation with an Identity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY, Econometric Theory, Cambridge University Press (2009) View citations (2) (2009)
164. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY, Econometric Theory, Cambridge University Press (2010) View citations (125) (2010)
165. Limit Theory for Explosively Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS, Econometric Theory, Cambridge University Press (2008) View citations (16) (2008)
166. Long Run Covariance Matrices for Fractionally Integrated Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
     See also Journal Article LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES, Econometric Theory, Cambridge University Press (2007) View citations (10) (2007)
167. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
     Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (4)
168. Transition Modeling and Econometric Convergence Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (630)
     See also Journal Article Transition Modeling and Econometric Convergence Tests, Econometrica, Econometric Society (2007) View citations (632) (2007)

2006

169. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article A complete asymptotic series for the autocovariance function of a long memory process, Journal of Econometrics, Elsevier (2008) View citations (5) (2008)
170. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
     Macroeconomics Working Papers, East Asian Bureau of Economic Research
171. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006)
     See also Journal Article Adaptive estimation of autoregressive models with time-varying variances, Journal of Econometrics, Elsevier (2008) View citations (62) (2008)
172. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION, Econometric Theory, Cambridge University Press (2009) View citations (76) (2009)
173. Gaussian Inference in AR(1) Time Series with or without a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT, Econometric Theory, Cambridge University Press (2008) View citations (12) (2008)
174. Indirect Inference for Dynamic Panel Models
     Development Economics Working Papers, East Asian Bureau of Economic Research View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) View citations (2)
     See also Journal Article Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) View citations (77) (2010)
175. Log Periodogram Regression: The Nonstationary Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
176. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Econometrica, Econometric Society (2008) View citations (119) (2008)
177. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
     See also Journal Article Optimal estimation of cointegrated systems with irrelevant instruments, Journal of Econometrics, Elsevier (2014) View citations (19) (2014)
178. Refined Inference on Long Memory in Realized Volatility
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Refined Inference on Long Memory in Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) View citations (23) (2008)
179. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2005

180. A New Approach to Robust Inference in Cointegration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article A new approach to robust inference in cointegration, Economics Letters, Elsevier (2006) View citations (7) (2006)
181. A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION, Econometric Theory, Cambridge University Press (2006) View citations (10) (2006)
182. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
     See also Journal Article A simple approach to the parametric estimation of potentially nonstationary diffusions, Journal of Econometrics, Elsevier (2007) View citations (25) (2007)
183. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
184. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
     Finance Working Papers, East Asian Bureau of Economic Research
185. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
     Working Papers, Singapore Management University, School of Economics
186. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
     Finance Working Papers, East Asian Bureau of Economic Research View citations (3)
187. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
     Working Papers, Singapore Management University, School of Economics View citations (6)
188. Economic Transition and Growth
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article Economic transition and growth, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) View citations (359) (2009)
189. GMM with Many Moment Conditions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (4)
     See also Journal Article GMM with Many Moment Conditions, Econometrica, Econometric Society (2006) View citations (73) (2006)
190. Improved HAR Inference
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
191. Incidental Trends and the Power of Panel Unit Root Tests
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (18)
     Yale School of Management Working Papers, Yale School of Management (2004) View citations (2)
     See also Journal Article Incidental trends and the power of panel unit root tests, Journal of Econometrics, Elsevier (2007) View citations (57) (2007)
192. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
193. Nonstationary Discrete Choice: A Corrigendum and Addendum
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article Nonstationary discrete choice: A corrigendum and addendum, Journal of Econometrics, Elsevier (2007) View citations (10) (2007)
194. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
     University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
195. Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (32) (2010)

2004

196. Automated Discovery in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article AUTOMATED DISCOVERY IN ECONOMETRICS, Econometric Theory, Cambridge University Press (2005) View citations (15) (2005)
197. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
     Yale School of Management Working Papers, Yale School of Management View citations (14)
     Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (6)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) View citations (9)
     See also Journal Article Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence, Journal of Econometrics, Elsevier (2007) View citations (142) (2007)
198. Challenges of Trending Time Series Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article Challenges of trending time series econometrics, Mathematics and Computers in Simulation (MATCOM), Elsevier (2005) View citations (38) (2005)
199. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
     Econometric Society 2004 North American Winter Meetings, Econometric Society
     Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004)
     Yale School of Management Working Papers, Yale School of Management (2004)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (12)
200. Exact Local Whittle Estimation of Fractional Integration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
     Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations (17)
201. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article Expansions for approximate maximum likelihood estimators of the fractional difference parameter, Econometrics Journal, Royal Economic Society (2005) View citations (4) (2005)
202. HAC Estimation by Automated Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
     See also Journal Article HAC ESTIMATION BY AUTOMATED REGRESSION, Econometric Theory, Cambridge University Press (2005) View citations (63) (2005)
203. Jackknifing Bond Option Prices
     Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (3)
     Working Papers, Department of Economics, The University of Auckland (2002)
     See also Journal Article Jackknifing Bond Option Prices, The Review of Financial Studies, Society for Financial Studies (2005) View citations (63) (2005)
204. Limit Theory for Moderate Deviations from a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article Limit theory for moderate deviations from a unit root, Journal of Econometrics, Elsevier (2007) View citations (253) (2007)
205. 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 for Research in Economics, Yale University (2003) View citations (4)
206. Prewhitening Bias in HAC Estimation
     Yale School of Management Working Papers, Yale School of Management View citations (10)
     Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (12)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (12)
     See also Journal Article Prewhitening Bias in HAC Estimation, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (145) (2005)
207. 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
     See also Journal Article SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2006) View citations (30) (2006)
208. The Elusive Empirical Shadow of Growth Convergence
     Yale School of Management Working Papers, Yale School of Management
     Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (34)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (33)
209. Uniform Limit Theory for Stationary Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     Also in Discussion Papers, Department of Economics, University of York View citations (52)
     See also Journal Article Uniform Limit Theory for Stationary Autoregression, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (63) (2006)

2003

210. Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
211. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) View citations (18)
     See also Journal Article GMM Estimation of Autoregressive Roots Near Unity with Panel Data, Econometrica, Econometric Society (2004) View citations (23) (2004)
212. Laws and Limits of Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
     See also Journal Article Laws and Limits of Econometrics, Economic Journal, Royal Economic Society (2003) View citations (32) (2003)
213. Local Whittle Estimation in Nonstationary and Unit Root Cases
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (33)
214. Vision and Influence in Econometrics: John Denis Sargan
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN, Econometric Theory, Cambridge University Press (2003) View citations (5) (2003)

2002

215. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (35)
     Also in Working Papers, Department of Economics, The University of Auckland (2002) View citations (27)
216. Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
217. Efficient Regression in Time Series Partial Linear Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
218. Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (4) (2004)
219. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Nonlinear log-periodogram regression for perturbed fractional processes, Journal of Econometrics, Elsevier (2003) View citations (59) (2003)
220. Nonstationary Discrete Choice
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
     See also Journal Article Nonstationary discrete choice, Journal of Econometrics, Elsevier (2004) View citations (67) (2004)
221. The KPSS Test with Seasonal Dummies
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)
     See also Journal Article The KPSS test with seasonal dummies, Economics Letters, Elsevier (2002) View citations (12) (2002)

2001

222. A CUSUM Test for Cointegration Using Regression Residuals
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article A CUSUM test for cointegration using regression residuals, Journal of Econometrics, Elsevier (2002) View citations (47) (2002)
223. Bootstrapping Spurious Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
224. Fully Nonparametric Estimation of Scalar Diffusion Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article Fully Nonparametric Estimation of Scalar Diffusion Models, Econometrica, Econometric Society (2003) View citations (107) (2003)
225. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
226. Nonlinear Instrumental Variable Estimation of an Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Nonlinear instrumental variable estimation of an autoregression, Journal of Econometrics, Elsevier (2004) View citations (27) (2004)
227. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
228. Regression with Slowly Varying Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
229. Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2000

230. Accelerated Asymptotics for Diffusion Model Estimation
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society
231. Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand
     Working Papers, Department of Economics, The University of Auckland
232. Forecasting New Zealand's Real GDP
     Working Papers, Department of Economics, The University of Auckland View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) View citations (3)
     See also Journal Article Forecasting New Zealand's real GDP, New Zealand Economic Papers, Taylor & Francis Journals (2000) View citations (2) (2000)
233. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
234. Pooled Log Periodogram Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article Pooled Log Periodogram Regression, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (28) (2002)
235. Structural Change in Tail Behavior and the Asian Financial Crisis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
236. THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
     CATRN Papers, Canadian Agri-Food Trade Research Network View citations (4)
237. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Trending time series and macroeconomic activity: Some present and future challenges, Journal of Econometrics, Elsevier (2001) View citations (47) (2001)

1999

238. Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article Descriptive econometrics for non-stationary time series with empirical illustrations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (14) (2001)
239. Discrete Fourier Transforms of Fractional Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (78)
240. Discrete Fourier Transforms of Fractional Processes August
     Working Papers, Department of Economics, The University of Auckland View citations (29)
241. Empirical Limits for Time Series Econometric Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
     See also Journal Article Empirical Limits for Time Series Econometric Models, Econometrica, Econometric Society (2003) View citations (25) (2003)
242. Estimation of Autoregressive Roots Near Unity Using Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (14)
     Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations (4)
     See also Journal Article ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA, Econometric Theory, Cambridge University Press (2000) View citations (44) (2000)
243. 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 for Research in Economics, Yale University (1998) View citations (9)
     See also Journal Article HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY, Econometric Theory, Cambridge University Press (2001) View citations (29) (2001)
244. Linear Regression Limit Theory for Nonstationary Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (844)
     See also Journal Article Linear Regression Limit Theory for Nonstationary Panel Data, Econometrica, Econometric Society (1999) View citations (862) (1999)
245. Maximum Likelihood Estimation in Panels with Incidental Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
     Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations (24)
246. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
     See also Journal Article Nonlinear econometric models with cointegrated and deterministically trending regressors, Econometrics Journal, Royal Economic Society (2001) View citations (80) (2001)
247. Nonstationary Binary Choice
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Nonstationary Binary Choice, Econometrica, Econometric Society (2000) View citations (81) (2000)
248. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (48)
     See also Journal Article Nonstationary panel data analysis: an overview of some recent developments, Econometric Reviews, Taylor & Francis Journals (2000) View citations (163) (2000)
249. Unit Root Log Periodogram Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
     See also Journal Article Unit root log periodogram regression, Journal of Econometrics, Elsevier (2007) View citations (75) (2007)

1998

250. A Primer on Unit Root Testing
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (114)
     See also Journal Article A Primer on Unit Root Testing, Journal of Economic Surveys, Wiley Blackwell (1998) View citations (115) (1998)
251. Asymptotics for Nonlinear Transformations of Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
     See also Journal Article ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES, Econometric Theory, Cambridge University Press (1999) View citations (186) (1999)
252. Econometric Analysis of Fisher's Equation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
     See also Journal Article Econometric Analysis of Fisher's Equation, American Journal of Economics and Sociology, Wiley Blackwell (2005) View citations (11) (2005)
253. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
254. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables, Journal of Econometrics, Elsevier (2002) View citations (6) (2002)
255. New Unit Root Asymptotics in the Presence of Deterministic Trends
     Working Papers, Department of Economics, The University of Auckland View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) View citations (2)
     See also Journal Article New unit root asymptotics in the presence of deterministic trends, Journal of Econometrics, Elsevier (2002) View citations (12) (2002)
256. Nonlinear Regressions with Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Nonlinear Regressions with Integrated Time Series, Econometrica, Econometric Society (2001) View citations (227) (2001)
257. Nonstationary Density Estimation and Kernel Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (64)
258. Rissanen's Theorem and Econometric Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

1997

259. 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 for Research in Economics, Yale University View citations (7)
     See also Journal Article An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy, Econometrics Journal, Royal Economic Society (1998) View citations (19) (1998)
260. Band Spectral Regression with Trending Data
     Working Papers, University of Iowa, Department of Economics View citations (5)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997)
     See also Journal Article Band Spectral Regression with Trending Data, Econometrica, Econometric Society (2002) View citations (78) (2002)
261. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Journal of Econometrics, Elsevier (1999) View citations (61) (1999)
262. Regressions for Partially Identified, Cointegrated Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1996

263. Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
264. Efficiency Gains from Quasi-Differencing Under Nonstationarity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
265. Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Forward exchange market unbiasedness: the case of the Australian dollar since 1984, Journal of International Money and Finance, Elsevier (1997) View citations (20) (1997)
266. Spurious Regression Unmasked
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)

1995

267. Automated Forecasts of Asia-Pacific Economic Activity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (14)
268. Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
     See also Journal Article Impulse response and forecast error variance asymptotics in nonstationary VARs, Journal of Econometrics, Elsevier (1998) View citations (173) (1998)
269. Unit Root Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)

1994

270. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments, Journal of Econometrics, Elsevier (1997) View citations (37) (1997)
271. Model Determination and Macroeconomic Activity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
272. Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
273. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (22) (1996)

1993

274. Fully Modified Least Squares and Vector Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (17)
     See also Journal Article Fully Modified Least Squares and Vector Autoregression, Econometrica, Econometric Society (1995) View citations (255) (1995)
275. Robust Nonstationary Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article Robust Nonstationary Regression, Econometric Theory, Cambridge University Press (1995) View citations (27) (1995)

1992

276. Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
277. Bayes Models and Forecasts of Australian Macroeconomic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
278. Bayesian Model Selection and Prediction with Empirical Applications
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article Bayesian model selection and prediction with empirical applications, Journal of Econometrics, Elsevier (1995) View citations (22) (1995)
279. Hyper-Consistent Estimation of a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
280. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
     See also Journal Article Posterior Odds Testing for a Unit Root with Data-Based Model Selection, Econometric Theory, Cambridge University Press (1994) View citations (61) (1994)
281. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models, Econometrica, Econometric Society (1994) View citations (71) (1994)
282. 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 (2)
     See also Journal Article Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets, Journal of Empirical Finance, Elsevier (1994) View citations (176) (1994)
283. Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

1991

284. A Bayesian Analysis of Trend Determination in Economic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
285. A Reexamination of the Consumption Function Using Frequency Domain Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article A Reexamination of the Consumption Function Using Frequency Domain Regressions, Empirical Economics, Springer (1994) View citations (21) (1994)
286. A Rexamination of the Consumption Function Using Frequency Domain Regressions
     Working Papers, University of Iowa, Department of Economics
     See also Journal Article A Reexamination of the Consumption Function Using Frequency Domain Regressions, Empirical Economics, Springer (1994) View citations (21) (1994)
287. Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (28)
     See also Journal Article Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991) View citations (28) (1991)
288. 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 for Research in Economics, Yale University View citations (42)
     Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (55)
     See also Journal Article 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?, Journal of Econometrics, Elsevier (1992) View citations (4287) (1992)
289. The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
290. The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
291. The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
292. Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
293. Unidentified Components in Reduced Rank Regression Estimation of ECM's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
294. Unit Roots
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
295. Vector Autoregression and Causality
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
     See also Journal Article Vector Autoregressions and Causality, Econometrica, Econometric Society (1993) View citations (411) (1993)
296. Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (17)

1990

297. A Shortcut to LAD Estimator Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article A Shortcut to LAD Estimator Asymptotics, Econometric Theory, Cambridge University Press (1991) View citations (45) (1991)
298. Operational Algebra and Regression t-Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
299. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
300. Testing forUnit Root in the Presence of Deterministic Trends
     Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1989) View citations (19)
301. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991) View citations (136) (1991)

1989

302. A Little Magic with the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
303. A New Proof of Knight's Theorem on the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
304. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
     See also Journal Article Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations, Journal of Econometrics, Elsevier (1992) View citations (82) (1992)
305. Asymptotics for Linear Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (72)
306. Error Correction and Long Run Equilibrium in Continuous Time
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Error Correction and Long-Run Equilibrium in Continuous Time, Econometrica, Econometric Society (1991) View citations (70) (1991)
307. Estimating Long Run Economic Equilibria
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (67)
     See also Journal Article Estimating Long-run Economic Equilibria, The Review of Economic Studies, Review of Economic Studies Ltd (1991) View citations (416) (1991)
308. Optimal Inference in Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Optimal Inference in Cointegrated Systems, Econometrica, Econometric Society (1991) View citations (491) (1991)
309. Statistical Inference in Instrumental Variables
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (104)
310. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
311. The Durbin-Watson Ratio Under Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The Durbin-Watson ratio under infinite-variance errors, Journal of Econometrics, Elsevier (1991) View citations (6) (1991)
312. Time Series Regression with a Unit Root and Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Time Series Regression With a Unit Root and Infinite-Variance Errors, Econometric Theory, Cambridge University Press (1990) View citations (38) (1990)

1988

313. Asymptotic Properties of Residual Based Tests for Cointegration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
     See also Journal Article Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Econometric Society (1990) View citations (1000) (1990)
314. Estimation and Inference in Models of Cointegration: A Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
315. Partially Identified Econometric Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (29)
     See also Journal Article Partially Identified Econometric Models, Econometric Theory, Cambridge University Press (1989) View citations (168) (1989)
316. Reflections on Econometric Methodology
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
     See also Journal Article Reflections on Econometric Methodology, The Economic Record, The Economic Society of Australia (1988) View citations (36) (1988)
317. Spectral Regression for Cointegrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (25)
318. Testing for a Unit Root in the Presence of a Maintained Trend
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (115)
319. The Characteristic Function of the Dirichlet and Multivariate F Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)

1987

320. Bimodal t-Ratios
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
321. Conditional and Unconditional Statistical Independence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Conditional and unconditional statistical independence, Journal of Econometrics, Elsevier (1988) View citations (5) (1988)
322. Multiple Regression with Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (160)
323. Regression Theory for Near-Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article Regression Theory for Near-Integrated Time Series, Econometrica, Econometric Society (1988) View citations (130) (1988)
324. Spherical Matrix Distributions and Cauchy Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Spherical matrix distributions and cauchy quotients, Statistics & Probability Letters, Elsevier (1989) View citations (5) (1989)
325. Statistical Inference in Regressions with Integrated Processes: Part 1
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
     See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 1, Econometric Theory, Cambridge University Press (1988) View citations (226) (1988)
326. Statistical Inference in Regressions with Integrated Processes: Part 2
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
     See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 2, Econometric Theory, Cambridge University Press (1989) View citations (183) (1989)
327. Testing for Cointegration Using Principal Component Measures
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
328. Testing for a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (442)
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (366)
     See also Journal Article Time Series Regression with a Unit Root, Econometrica, Econometric Society (1987) View citations (1150) (1987)
329. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations, Econometric Theory, Cambridge University Press (1988) View citations (33) (1988)

1986

330. An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
331. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
332. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
333. Does Gnp Have a Unit Root? a Reevaluation
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
     See also Journal Article Does GNP have a unit root?: A re-evaluation, Economics Letters, Elsevier (1987) View citations (47) (1987)
334. On the Formulation of Wald Tests of Nonlinear Restrictions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article On the Formulation of Wald Tests of Nonlinear Restrictions, Econometrica, Econometric Society (1988) View citations (61) (1988)
335. Time Series Regression with a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (45)
     See also Journal Article Time Series Regression with a Unit Root, Econometrica, Econometric Society (1987) View citations (1150) (1987)
336. Towards a Unified Asymptotic Theory for Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
337. Trends Versus Random Walks in Time Series Analysis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Trends versus Random Walks in Time Series Analysis, Econometrica, Econometric Society (1988) View citations (109) (1988)
338. Weak Convergence to the Matrix Stochastic Integral BdB
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)

1985

339. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article Asymptotic Expansions in Nonstationary Vector Autoregressions, Econometric Theory, Cambridge University Press (1987) View citations (13) (1987)
340. Fractional Matrix Calculus and the Distribution of Multivariate Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
341. Multiple Time Series Regression with Integrated Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article Multiple Time Series Regression with Integrated Processes, The Review of Economic Studies, Review of Economic Studies Ltd (1986) View citations (361) (1986)
342. The Distribution of FIML in the Leading Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The Distribution of FIML in the Leading Case, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1986) View citations (4) (1986)
343. Understanding Spurious Regressions in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (68)
     See also Journal Article Understanding spurious regressions in econometrics, Journal of Econometrics, Elsevier (1986) View citations (747) (1986)

1984

344. Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
345. The Exact Distribution of the Wald Statistic
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The Exact Distribution of the Wald Statistic, Econometrica, Econometric Society (1986) View citations (9) (1986)
346. The Exact Distribution of the Wald Statistic: The Non-Central Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1983

347. Finite Sample Econometrics Using ERA's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
348. On University Education in Econometrics: Remarks on an Article by Eric R. Sowey
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
349. The Exact Distribution of Exogenous Variable Coefficient Estimators
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The exact distribution of exogenous variable coefficient estimators, Journal of Econometrics, Elsevier (1984) View citations (6) (1984)
350. The Exact Distribution of LIML: II
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1982)
     See also Journal Article The Exact Distribution of LIML: II, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1985) View citations (22) (1985)
351. The Exact Distribution of Zellner's SUR
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
352. The Exact Distribution of the Stein-Rule Estimator
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The exact distribution of the Stein-rule estimator, Journal of Econometrics, Elsevier (1984) View citations (9) (1984)

1982

353. ERA's: A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article ERAs: A New Approach to Small Sample Theory, Econometrica, Econometric Society (1983) View citations (15) (1983)
354. Exact Small Sample Theory in the Simultaneous Equations Model
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Chapter Exact small sample theory in the simultaneous equations model, Handbook of Econometrics, Elsevier (1983) View citations (97) (1983)
355. Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
356. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
357. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
358. The Distribution of Matrix Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article The distribution of matrix quotients, Journal of Multivariate Analysis, Elsevier (1985) View citations (2) (1985)

1981

359. A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
360. Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)

1980

361. A Model of Output, Employment, Capital Formation and Inflation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
362. Best Uniform Approximation to Probability Densities in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
363. Characteristic Functions and the Tail Behavior of Probability Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
364. On a Lemma of Amemiya
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
365. On the Behavior of Inconsistent Instrumental Variable Estimators
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article On the behavior of inconsistent instrumental variable estimators, Journal of Econometrics, Elsevier (1982) View citations (27) (1982)
366. On the Consistency of Non-Linear FIML
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article On the Consistency of Nonlinear FIML, Econometrica, Econometric Society (1982) View citations (10) (1982)
367. The Characteristic Function of the F Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1979

368. A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY
     Working Papers, University of Sydney, School of Economics

1978

369. A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

Undated

370. Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
     Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
371. Restricted Likelihood Ratio Tests in Predictive Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
372. Testing Equality of Covariance Matrices via Pythagorean Means
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Journal Articles

2024

1. Boosting the HP filter for trending time series with long-range dependence
   Econometric Reviews, 2024, 44, (1), 41-79
   See also Working Paper Boosting the HP Filter for Trending Time Series with Long Range Dependence, Cowles Foundation Discussion Papers (2022) (2022)
2. Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
   The Review of Economics and Statistics, 2024, 106, (2), 542-556
   See also Working Paper Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs, Papers (2021) View citations (4) (2021)
3. High-dimensional IV cointegration estimation and inference
   Journal of Econometrics, 2024, 238, (2) View citations (1)
4. Panel data models with time-varying latent group structures
   Journal of Econometrics, 2024, 240, (1) View citations (2)
   See also Working Paper Panel Data Models with Time-Varying Latent Group Structures, Papers (2023) (2023)
5. Reprint of: Robust inference on correlation under general heterogeneity
   Journal of Econometrics, 2024, 244, (2)
6. Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
   Journal of Econometrics, 2024, 241, (2)
7. Robust inference on correlation under general heterogeneity
   Journal of Econometrics, 2024, 240, (1) View citations (1)
   See also Working Paper Robust Inference on Correlation under General Heterogeneity, Cowles Foundation Discussion Papers (2023) (2023)
8. Robust testing for explosive behavior with strongly dependent errors
   Journal of Econometrics, 2024, 238, (2) View citations (1)
   See also Working Paper Robust Testing for Explosive Behavior with Strongly Dependent Errors, Economics and Statistics Working Papers (2022) View citations (1) (2022)
9. The boosted Hodrick‐Prescott filter is more general than you might think
   Journal of Applied Econometrics, 2024, 39, (7), 1260-1281

2023

10. A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
    International Economic Review, 2023, 64, (4), 1347-1395
    See also Working Paper A Panel Clustering Approach to Analyzing Bubble Behavior, Cowles Foundation Discussion Papers (2022) View citations (2) (2022)
11. CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
    Econometric Theory, 2023, 39, (1), 107-145
    See also Working Paper Continuously Updated Indirect Inference in Heteroskedastic Spatial Models, Working Papers (2019) View citations (1) (2019)
12. Common Bubble Detection in Large Dimensional Financial Systems*
    Journal of Financial Econometrics, 2023, 21, (4), 989-1063 View citations (1)
    See also Working Paper Common Bubble Detection in Large Dimensional Financial Systems, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)
13. Diagnosing housing fever with an econometric thermometer
    Journal of Economic Surveys, 2023, 37, (1), 159-186 View citations (4)
    See also Working Paper Diagnosing Housing Fever with an Econometric Thermometer, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)
14. ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
    Econometric Theory, 2023, 39, (2), 221-263 View citations (6)
    See also Working Paper Estimation and Inference with Near Unit Roots, Cowles Foundation Discussion Papers (2021) View citations (2) (2021)
15. Fully modified least squares cointegrating parameter estimation in multicointegrated systems
    Journal of Econometrics, 2023, 232, (2), 300-319 View citations (2)
    See also Working Paper Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems, Papers (2021) View citations (3) (2021)
16. High-dimensional VARs with common factors
    Journal of Econometrics, 2023, 233, (1), 155-183 View citations (10)
    See also Working Paper High-Dimensional VARs with Common Factors, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)
17. Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
    Australian Economic Review, 2023, 56, (3), 357-362
18. Information loss in volatility measurement with flat price trading
    Empirical Economics, 2023, 64, (6), 2957-2999 View citations (1)
    See also Chapter Information loss in volatility measurement with flat price trading, Advanced Studies in Theoretical and Applied Econometrics, 2024, 501-543 (2024) (2024)
    Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Global COE Hi-Stat Discussion Paper Series (2009) View citations (1) (2009)
19. LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
    Econometric Theory, 2023, 39, (5), 900-949 View citations (1)
    See also Working Paper Limit Theory for Locally Flat Functional Coefficient Regression, Cowles Foundation Discussion Papers (2021) View citations (1) (2021)
20. OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
    Econometric Theory, 2023, 39, (6), 1325-1337
21. Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
    Journal of Econometrics, 2023, 234, (2), 758-776 View citations (3)
    See also Working Paper Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations, Papers (2022) View citations (2) (2022)
22. Robust inference with stochastic local unit root regressors in predictive regressions
    Journal of Econometrics, 2023, 235, (2), 563-591 View citations (2)
    See also Working Paper Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions, Cowles Foundation Discussion Papers (2021) (2021)
23. The impact of upzoning on housing construction in Auckland
    Journal of Urban Economics, 2023, 136, (C) View citations (5)
    See also Working Paper The Impact of Upzoning on Housing Construction in Auckland, Cowles Foundation Discussion Papers (2022) (2022)
24. When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
    Journal of Econometrics, 2023, 232, (2), 469-489 View citations (5)
    See also Working Paper When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)

2022

25. Functional coefficient panel modeling with communal smoothing covariates
    Journal of Econometrics, 2022, 227, (2), 371-407 View citations (3)
    See also Working Paper Functional Coefficient Panel Modeling with Communal Smoothing Covariates, Cowles Foundation Discussion Papers (2019) View citations (1) (2019)
26. PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES
    International Economic Review, 2022, 63, (1), 391-456 View citations (1)
27. ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
    Econometric Theory, 2022, 38, (5), 913-941 View citations (3)
    See also Working Paper Robust Tests for White Noise and Cross-Correlation, Cowles Foundation Discussion Papers (2020) View citations (7) (2020)
28. Understanding temporal aggregation effects on kurtosis in financial indices
    Journal of Econometrics, 2022, 227, (1), 25-46 View citations (1)
    See also Working Paper Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices, Cowles Foundation Discussion Papers (2018) (2018)

2021

29. BOOSTING: WHY YOU CAN USE THE HP FILTER
    International Economic Review, 2021, 62, (2), 521-570 View citations (35)
    See also Working Paper Boosting: Why You Can Use the HP Filter, Papers (2020) View citations (6) (2020)
30. BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
    International Economic Review, 2021, 62, (2), 469-520 View citations (15)
    See also Working Paper Business Cycles, Trend Elimination, and the HP Filter, Cowles Foundation Discussion Papers (2015) View citations (37) (2015)
31. House prices and affordability
    New Zealand Economic Papers, 2021, 55, (1), 1-6 View citations (1)
32. LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
    Econometric Theory, 2021, 37, (1), 138-168 View citations (2)
    See also Working Paper Latent Variable Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2017) (2017)
33. NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY
    Econometric Theory, 2021, 37, (6), 1173-1213 View citations (3)
    See also Working Paper Nonlinear Cointegrating Power Function Regression with Endogeneity, Cowles Foundation Discussion Papers (2019) View citations (4) (2019)
34. Nonstationary panel models with latent group structures and cross-section dependence
    Journal of Econometrics, 2021, 221, (1), 198-222 View citations (12)
    See also Working Paper Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence, Economics and Statistics Working Papers (2020) View citations (3) (2020)
35. Pitfalls in Bootstrapping Spurious Regression
    Journal of Quantitative Economics, 2021, 19, (1), 163-217 View citations (1)

2020

36. Asymptotic theory for near integrated processes driven by tempered linear processes
    Journal of Econometrics, 2020, 216, (1), 192-202 View citations (2)
37. Dynamic Panel Modeling of Climate Change
    Econometrics, 2020, 8, (3), 1-28 View citations (2)
    See also Working Paper Dynamic Panel Modeling of Climate Change, Cowles Foundation Discussion Papers (2018) View citations (2) (2018)
38. Econometric estimates of Earth’s transient climate sensitivity
    Journal of Econometrics, 2020, 214, (1), 6-32 View citations (2)
39. Hybrid stochastic local unit roots
    Journal of Econometrics, 2020, 215, (1), 257-285 View citations (6)
    See also Working Paper Hybrid Stochastic Local Unit Roots, Cowles Foundation Discussion Papers (2017) View citations (2) (2017)
40. Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
    Journal of Econometrics, 2020, 215, (2), 607-632 View citations (5)
    See also Working Paper Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2017) (2017)
41. Point optimal testing with roots that are functionally local to unity
    Journal of Econometrics, 2020, 219, (2), 231-259 View citations (7)
    See also Working Paper Point Optimal Testing with Roots That Are Functionally Local to Unity, Cowles Foundation Discussion Papers (2017) View citations (4) (2017)

2019

42. Detecting Financial Collapse and Ballooning Sovereign Risk
    Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 View citations (29)
    See also Working Paper Detecting Financial Collapse and Ballooning Sovereign Risk, Cowles Foundation Discussion Papers (2017) View citations (12) (2017)
43. HAR Testing for Spurious Regression in Trend
    Econometrics, 2019, 7, (4), 1-28 View citations (5)
    See also Working Paper HAR Testing for Spurious Regression in Trend, Cowles Foundation Discussion Papers (2018) View citations (1) (2018)
44. Random coefficient continuous systems: Testing for extreme sample path behavior
    Journal of Econometrics, 2019, 209, (2), 208-237 View citations (8)
    See also Working Paper Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour, Cowles Foundation Discussion Papers (2017) View citations (2) (2017)
45. The heterogeneous effects of the minimum wage on employment across states
    Economics Letters, 2019, 174, (C), 179-185 View citations (22)
    See also Working Paper The Heterogeneous Effects of the Minimum Wage on Employment Across States, Economics and Statistics Working Papers (2018) View citations (1) (2018)
46. Uniform Inference in Panel Autoregression
    Econometrics, 2019, 7, (4), 1-28 View citations (2)
    See also Working Paper Uniform Inference in Panel Autoregression, Cowles Foundation Discussion Papers (2017) View citations (1) (2017)
47. Weak σ-convergence: Theory and applications
    Journal of Econometrics, 2019, 209, (2), 185-207 View citations (8)
    See also Working Paper Weak s- Convergence: Theory and Applications, Cowles Foundation Discussion Papers (2017) View citations (2) (2017)

2018

48. A frequentist approach to Bayesian asymptotics
    Journal of Econometrics, 2018, 206, (2), 359-378 View citations (1)
49. Boundary Limit Theory for Functional Local to Unity Regression
    Journal of Time Series Analysis, 2018, 39, (4), 523-562 View citations (10)
    See also Working Paper Boundary Limit Theory for Functional Local to Unity Regression, Cowles Foundation Discussion Papers (2017) (2017)
50. Change Detection and the Causal Impact of the Yield Curve
    Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (101)
    See also Working Paper "Change Detection and the Causal Impact of the Yield Curve, Cowles Foundation Discussion Papers (2016) View citations (9) (2016)
51. DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY
    Econometric Theory, 2018, 34, (2), 253-276 View citations (7)
52. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
    Econometric Theory, 2018, 34, (4), 705-753 View citations (76)
53. Homogeneity pursuit in panel data models: Theory and application
    Journal of Applied Econometrics, 2018, 33, (6), 797-815 View citations (26)
    See also Working Paper Homogeneity Pursuit in Panel Data Models: Theory and Applications, Cowles Foundation Discussion Papers (2016) View citations (12) (2016)
54. IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2018, 34, (5), 1065-1100 View citations (6)
55. Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Journal of Business & Economic Statistics, 2018, 36, (3), 523-537 View citations (3)
    See also Working Paper Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Working papers (2016) View citations (1) (2016)
56. Pythagorean generalization of testing the equality of two symmetric positive definite matrices
    Journal of Econometrics, 2018, 202, (1), 45-56 View citations (6)
    See also Working Paper Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices, Working papers (2016) View citations (1) (2016)
57. Sequentially testing polynomial model hypotheses using power transforms of regressors
    Journal of Applied Econometrics, 2018, 33, (1), 141-159 View citations (12)
    See also Working Paper Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors, Cowles Foundation Discussion Papers (2016) (2016)
58. Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion
    Economics Letters, 2018, 172, (C), 123-126 View citations (2)
59. Threshold regression with endogeneity
    Journal of Econometrics, 2018, 203, (1), 50-68 View citations (26)
    See also Working Paper Threshold Regression with Endogeneity, Cowles Foundation Discussion Papers (2014) View citations (8) (2014)

2017

60. A multivariate stochastic unit root model with an application to derivative pricing
    Journal of Econometrics, 2017, 196, (1), 99-110 View citations (17)
    See also Working Paper A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing, Cowles Foundation Discussion Papers (2014) (2014)
61. Econometric Reviews honors Esfandiar Maasoumi
    Econometric Reviews, 2017, 36, (6-9), 563-567
62. Edmond Malinvaud - an Economist's Econometrician
    Annals of Economics and Statistics, 2017, (125-126), 135-151
63. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 View citations (42)
    See also Working Paper Estimating Smooth Structural Change in Cointegration Models, Cowles Foundation Discussion Papers (2013) View citations (4) (2013)
64. Indirect inference in spatial autoregression
    Econometrics Journal, 2017, 20, (2), 168-189 View citations (18)
65. Inference in continuous systems with mildly explosive regressors
    Journal of Econometrics, 2017, 201, (2), 400-416 View citations (13)
66. Labeling Demands, Coexistence and the Challenges for Trade
    Journal of Agricultural & Food Industrial Organization, 2017, 15, (1), 10 View citations (1)
67. Lag length selection in panel autoregression
    Econometric Reviews, 2017, 36, (1-3), 225-240 View citations (14)
68. Reduced forms and weak instrumentation
    Econometric Reviews, 2017, 36, (6-9), 818-839 View citations (2)
69. Structural inference from reduced forms with many instruments
    Journal of Econometrics, 2017, 199, (2), 96-116 View citations (3)
    See also Working Paper Structural Inference from Reduced Forms with Many Instruments, Cowles Foundation Discussion Papers (2016) (2016)

2016

70. Asset pricing with financial bubble risk
    Journal of Empirical Finance, 2016, 38, (PB), 590-622 View citations (25)
71. Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2016, 64, (4), 717-738
72. Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres
    New Zealand Economic Papers, 2016, 50, (1), 88-113 View citations (43)
    See also Working Paper Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres, Working Papers (2015) View citations (12) (2015)
73. Identifying Latent Structures in Panel Data
    Econometrica, 2016, 84, 2215-2264 View citations (135)
    See also Working Paper Identifying Latent Structures in Panel Data, Cowles Foundation Discussion Papers (2014) View citations (9) (2014)
74. Meritocracy Voting: Measuring the Unmeasurable
    Econometric Reviews, 2016, 35, (1), 2-40 View citations (1)
    See also Working Paper Meritocracy Voting: Measuring the Unmeasurable, Cowles Foundation Discussion Papers (2011) (2011)
75. Modeling speculative bubbles with diverse investor expectations
    Research in Economics, 2016, 70, (3), 375-387 View citations (5)
76. NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
    Econometric Theory, 2016, 32, (2), 359-401 View citations (18)
77. Robust econometric inference with mixed integrated and mildly explosive regressors
    Journal of Econometrics, 2016, 192, (2), 433-450 View citations (34)
78. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (3), 655-685 View citations (7)
    See also Working Paper Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression, Cowles Foundation Discussion Papers (2013) (2013)
79. WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
    Econometric Theory, 2016, 32, (6), 1349-1375 View citations (10)
    See also Working Paper Weak Convergence to Stochastic Integrals for Econometric Applications, Cowles Foundation Discussion Papers (2014) View citations (1) (2014)

2015

80. AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2015, 31, (3), 581-646 View citations (31)
    See also Working Paper Automated Estimation of Vector Error Correction Models, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
81. Edmond Malinvaud: a tribute to his contributions in econometrics
    Econometrics Journal, 2015, 18, (2), A1-A13 View citations (2)
    See also Working Paper Edmond Malinvaud: A Tribute to His Contributions in Econometrics, Cowles Foundation Discussion Papers (2015) View citations (2) (2015)
82. Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†
    Journal of Financial Econometrics, 2015, 13, (3), 521-555 View citations (22)
83. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 View citations (10)
    See also Working Paper Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
84. Limit Theory for VARs with Mixed Roots Near Unity
    Econometric Reviews, 2015, 34, (6-10), 1035-1056 View citations (6)
85. Model selection in the presence of incidental parameters
    Journal of Econometrics, 2015, 188, (2), 474-489 View citations (12)
    See also Working Paper Model Selection in the Presence of Incidental Parameters, Center for Policy Research Working Papers (2013) View citations (1) (2013)
86. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 View citations (20)
87. Nonparametric predictive regression
    Journal of Econometrics, 2015, 185, (2), 468-494 View citations (29)
    See also Working Paper Nonparametric Predictive Regression, CEPR Discussion Papers (2013) (2013)
88. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, (4), 1043-1078 View citations (167)
    See also Working Paper Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Working Papers (2013) View citations (93) (2013)
89. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, (4), 1079-1134 View citations (79)
    See also Working Paper Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors, Working Papers (2013) View citations (6) (2013)
90. Testing linearity using power transforms of regressors
    Journal of Econometrics, 2015, 187, (1), 376-384 View citations (27)
    See also Working Paper Testing Linearity Using Power Transforms of Regressors, Working papers (2015) View citations (27) (2015)
91. The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
    Economics Letters, 2015, 127, (C), 89-92 View citations (2)
    See also Working Paper True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression, Cowles Foundation Discussion Papers (2014) View citations (2) (2014)

2014

92. Homage to Halbert White
    Journal of Financial Econometrics, 2014, 12, (4), 618-619
93. NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
    Journal of Time Series Analysis, 2014, 35, (6), 592-623 View citations (18)
    See also Working Paper Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions, Cowles Foundation Discussion Papers (2013) (2013)
94. Nonlinearity Induced Weak Instrumentation
    Econometric Reviews, 2014, 33, (5-6), 676-712 View citations (4)
    See also Working Paper Non-linearity Induced Weak Instrumentation, University of Cyprus Working Papers in Economics (2012) View citations (1) (2012)
95. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Econometrica, 2014, 82, (3), 1177-1195 View citations (50)
    See also Working Paper On Confidence Intervals for Autoregressive Roots and Predictive Regression, Cowles Foundation Discussion Papers (2012) View citations (5) (2012)
96. Optimal estimation of cointegrated systems with irrelevant instruments
    Journal of Econometrics, 2014, 178, (P2), 210-224 View citations (19)
    See also Working Paper Optimal Estimation of Cointegrated Systems with Irrelevant Instruments, Cowles Foundation Discussion Papers (2006) View citations (9) (2006)
97. Point‐optimal panel unit root tests with serially correlated errors
    Econometrics Journal, 2014, 17, (3), 338-372 View citations (4)
98. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (1), 1-2
99. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (89)
    See also Working Paper Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior, Cowles Foundation Discussion Papers (2012) View citations (3) (2012)
100. Testing the Martingale Hypothesis
     Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 View citations (8)
     See also Working Paper Testing the Martingale Hypothesis, Cowles Foundation Discussion Papers (2013) View citations (1) (2013)
101. UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY
     Econometric Theory, 2014, 30, (4), 719-736
     See also Working Paper Unit Roots in Life -- A Graduate Student Story, Cowles Foundation Discussion Papers (2013) (2013)
102. X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
     Econometric Theory, 2014, 30, (1), 201-251 View citations (30)
     See also Working Paper X-Differencing and Dynamic Panel Model Estimation, Cowles Foundation Discussion Papers (2010) View citations (1) (2010)

2013

103. First difference maximum likelihood and dynamic panel estimation
     Journal of Econometrics, 2013, 175, (1), 35-45 View citations (16)
104. INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
     Econometric Theory, 2013, 29, (4), 808-837 View citations (8)
     See also Working Paper Inconsistent VAR Regression with Common Explosive Roots, Cowles Foundation Discussion Papers (2011) View citations (2) (2011)
105. Predictive regression under various degrees of persistence and robust long-horizon regression
     Journal of Econometrics, 2013, 177, (2), 250-264 View citations (69)
106. Semiparametric estimation in triangular system equations with nonstationarity
     Journal of Econometrics, 2013, 176, (1), 59-79 View citations (29)

2012

107. Cointegrating rank selection in models with time-varying variance
     Journal of Econometrics, 2012, 169, (2), 155-165 View citations (10)
     See also Working Paper Cointegrating Rank Selection in Models with Time-Varying Variance, Cowles Foundation Discussion Papers (2009) View citations (4) (2009)
108. Dynamic misspecification in nonparametric cointegrating regression
     Journal of Econometrics, 2012, 168, (2), 270-284 View citations (14)
     See also Working Paper Dynamic Misspecification in Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2009) View citations (4) (2009)
109. Folklore Theorems, Implicit Maps, and Indirect Inference
     Econometrica, 2012, 80, (1), 425-454 View citations (35)
110. Mean and autocovariance function estimation near the boundary of stationarity
     Journal of Econometrics, 2012, 169, (2), 166-178 View citations (5)
     See also Working Paper Mean and Autocovariance Function Estimation Near the Boundary of Stationarity, Cowles Foundation Discussion Papers (2009) (2009)
111. NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
     Econometric Theory, 2012, 28, (3), 509-547 View citations (14)
     See also Working Paper Nonlinear Cointegrating Regression under Weak Identification, Cowles Foundation Discussion Papers (2010) (2010)
112. Optimal estimation under nonstandard conditions
     Journal of Econometrics, 2012, 169, (2), 258-265 View citations (11)
     See also Working Paper Optimal Estimation under Nonstandard Conditions, Cowles Foundation Discussion Papers (2010) (2010)
113. Testing for common trends in semi‐parametric panel data models with fixed effects
     Econometrics Journal, 2012, 15, (1), 56-100 View citations (22)
     See also Working Paper Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects, Cowles Foundation Discussion Papers (2011) View citations (2) (2011)

2011

114. ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
     Econometric Theory, 2011, 27, (2), 235-259 View citations (27)
115. Bias in estimating multivariate and univariate diffusions
     Journal of Econometrics, 2011, 161, (2), 228-245 View citations (12)
     See also Working Paper Bias in Estimating Multivariate and Univariate Diffusions, Cowles Foundation Discussion Papers (2011) View citations (13) (2011)
116. Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
     Econometrics Journal, 2011, 14, 126-129
117. Dating the timeline of financial bubbles during the subprime crisis
     Quantitative Economics, 2011, 2, (3), 455-491 View citations (344)
     See also Working Paper Dating the Timeline of Financial Bubbles during the Subprime Crisis, Cowles Foundation Discussion Papers (2010) View citations (15) (2010)
118. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
     International Economic Review, 2011, 52, (1), 201-226 View citations (586)
     See also Working Paper Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Cowles Foundation Discussion Papers (2009) View citations (24) (2009)
119. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
     Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 View citations (3)
     Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) View citations (3)
     See also Working Paper Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Cowles Foundation Discussion Papers (2009) View citations (1) (2009)
120. Non‐parametric regression under location shifts
     Econometrics Journal, 2011, 14, (3), 457-486 View citations (3)
121. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
     Econometric Theory, 2011, 27, (6), 1320-1368 View citations (12)
     See also Working Paper Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels, Cowles Foundation Discussion Papers (2010) (2010)
122. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
     Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 View citations (19)
     Also in Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 (2011) View citations (22)
123. UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
     Econometric Theory, 2011, 27, (6), 1117-1151 View citations (8)
     See also Working Paper Uniform Asymptotic Normality in Stationary and Unit Root Autoregression, Cowles Foundation Discussion Papers (2010) View citations (1) (2010)

2010

124. Bimodal t-ratios: the impact of thick tails on inference
     Econometrics Journal, 2010, 13, (2), 271-289 View citations (9)
125. Bootstrapping I(1) data
     Journal of Econometrics, 2010, 158, (2), 280-284 View citations (1)
     See also Working Paper Bootstrapping I(1) Data, Cowles Foundation Discussion Papers (2009) (2009)
126. GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
     Econometric Theory, 2010, 26, (1), 119-151 View citations (125)
     See also Working Paper GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity, Cowles Foundation Discussion Papers (2007) View citations (4) (2007)
127. Indirect inference for dynamic panel models
     Journal of Econometrics, 2010, 157, (1), 68-77 View citations (77)
     See also Working Paper Indirect Inference for Dynamic Panel Models, Development Economics Working Papers (2006) View citations (2) (2006)
128. LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
     Econometric Theory, 2010, 26, (3), 953-962 View citations (2)
     See also Working Paper LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities, Cowles Foundation Discussion Papers (2009) (2009)
129. Smoothing local-to-moderate unit root theory
     Journal of Econometrics, 2010, 158, (2), 274-279 View citations (15)
     See also Working Paper Smoothing Local-to-Moderate Unit Root Theory, Cowles Foundation Discussion Papers (2008) (2008)
130. Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
     Journal of Business & Economic Statistics, 2010, 28, (1), 96-114 View citations (32)
     See also Working Paper Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity, Cowles Foundation Discussion Papers (2005) View citations (7) (2005)
131. Two New Zealand pioneer econometricians
     New Zealand Economic Papers, 2010, 44, (1), 1-26 View citations (4)
     See also Working Paper Two New Zealand Pioneer Econometricians, Cowles Foundation Discussion Papers (2010) View citations (4) (2010)

2009

132. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
     Journal of Econometrics, 2009, 150, (2), 139-150 View citations (15)
133. ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
     Econometric Theory, 2009, 25, (3), 710-738 View citations (76)
     See also Working Paper Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2006) View citations (5) (2006)
134. EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
     Econometric Theory, 2009, 25, (4), 958-984 View citations (2)
     See also Working Paper Exact Distribution Theory in Structural Estimation with an Identity, Cowles Foundation Discussion Papers (2007) (2007)
135. Economic transition and growth
     Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 View citations (359)
     Also in Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 (2009) View citations (389)
     See also Working Paper Economic Transition and Growth, Cowles Foundation Discussion Papers (2005) View citations (5) (2005)
136. LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
     Econometric Theory, 2009, 25, (2), 482-526 View citations (52)
137. LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
     Econometric Theory, 2009, 25, (6), 1466-1497 View citations (17)
     See also Working Paper Local Limit Theory and Spurious Nonparametric Regression, Cowles Foundation Discussion Papers (2008) (2008)
138. Long memory and long run variation
     Journal of Econometrics, 2009, 151, (2), 150-158 View citations (2)
     See also Working Paper Long Memory and Long Run Variation, Cowles Foundation Discussion Papers (2008) (2008)
139. Semiparametric cointegrating rank selection
     Econometrics Journal, 2009, 12, (s1), S83-S104 View citations (18)
     See also Working Paper Semiparametric Cointegrating Rank Selection, Cowles Foundation Discussion Papers (2008) View citations (6) (2008)
140. Simulation-Based Estimation of Contingent-Claims Prices
     The Review of Financial Studies, 2009, 22, (9), 3669-3705 View citations (18)
     See also Working Paper Simulation-based Estimation of Contingent-claims Prices, Finance Working Papers (2008) View citations (1) (2008)
141. Structural Nonparametric Cointegrating Regression
     Econometrica, 2009, 77, (6), 1901-1948 View citations (74)
     See also Working Paper Structural Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2008) View citations (9) (2008)
142. UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
     Econometric Theory, 2009, 25, (6), 1682-1715 View citations (42)
     See also Working Paper Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past, Cowles Foundation Discussion Papers (2008) View citations (2) (2008)

2008

143. A complete asymptotic series for the autocovariance function of a long memory process
     Journal of Econometrics, 2008, 147, (1), 99-103 View citations (5)
     See also Working Paper A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process, Cowles Foundation Discussion Papers (2006) View citations (1) (2006)
144. Adaptive estimation of autoregressive models with time-varying variances
     Journal of Econometrics, 2008, 142, (1), 265-280 View citations (62)
     See also Working Paper Adaptive Estimation of Autoregressive Models with Time-Varying Variances, Cowles Foundation Discussion Papers (2006) View citations (1) (2006)
145. GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
     Econometric Theory, 2008, 24, (3), 631-650 View citations (12)
     See also Working Paper Gaussian Inference in AR(1) Time Series with or without a Unit Root, Cowles Foundation Discussion Papers (2006) View citations (2) (2006)
146. LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
     Econometric Theory, 2008, 24, (4), 865-887 View citations (16)
     See also Working Paper Limit Theory for Explosively Cointegrated Systems, Cowles Foundation Discussion Papers (2007) View citations (1) (2007)
147. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
     Econometrica, 2008, 76, (1), 175-194 View citations (119)
     See also Working Paper Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Cowles Foundation Discussion Papers (2006) View citations (3) (2006)
148. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
     Econometric Theory, 2008, 24, (4), 888-947 View citations (30)
     See also Working Paper Regression asymptotics using martingale convergence methods, Scholarly Articles (2008) View citations (28) (2008)
149. Refined Inference on Long Memory in Realized Volatility
     Econometric Reviews, 2008, 27, (1-3), 254-267 View citations (23)
     See also Working Paper Refined Inference on Long Memory in Realized Volatility, Cowles Foundation Discussion Papers (2006) View citations (2) (2006)

2007

150. A simple approach to the parametric estimation of potentially nonstationary diffusions
     Journal of Econometrics, 2007, 137, (2), 354-395 View citations (25)
     See also Working Paper A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions, Cowles Foundation Discussion Papers (2005) View citations (6) (2005)
151. Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
     Journal of Econometrics, 2007, 137, (1), 162-188 View citations (142)
     See also Working Paper Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence, Yale School of Management Working Papers (2004) View citations (14) (2004)
152. Incidental trends and the power of panel unit root tests
     Journal of Econometrics, 2007, 141, (2), 416-459 View citations (57)
     See also Working Paper Incidental Trends and the Power of Panel Unit Root Tests, IEPR Working Papers (2005) View citations (2) (2005)
153. LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
     Econometric Theory, 2007, 23, (6), 1233-1247 View citations (10)
     See also Working Paper Long Run Covariance Matrices for Fractionally Integrated Processes, Cowles Foundation Discussion Papers (2007) View citations (9) (2007)
154. Limit theory for moderate deviations from a unit root
     Journal of Econometrics, 2007, 136, (1), 115-130 View citations (253)
     See also Working Paper Limit Theory for Moderate Deviations from a Unit Root, Cowles Foundation Discussion Papers (2004) View citations (7) (2004)
155. Nonstationary discrete choice: A corrigendum and addendum
     Journal of Econometrics, 2007, 141, (2), 1115-1130 View citations (10)
     See also Working Paper Nonstationary Discrete Choice: A Corrigendum and Addendum, Cowles Foundation Discussion Papers (2005) View citations (4) (2005)
156. REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
     Econometric Theory, 2007, 23, (4), 557-614 View citations (35)
157. Some empirics on economic growth under heterogeneous technology
     Journal of Macroeconomics, 2007, 29, (3), 455-469 View citations (41)
158. Transition Modeling and Econometric Convergence Tests
     Econometrica, 2007, 75, (6), 1771-1855 View citations (632)
     See also Working Paper Transition Modeling and Econometric Convergence Tests, Cowles Foundation Discussion Papers (2007) View citations (630) (2007)
159. Unit root log periodogram regression
     Journal of Econometrics, 2007, 138, (1), 104-124 View citations (75)
     See also Working Paper Unit Root Log Periodogram Regression, Cowles Foundation Discussion Papers (1999) View citations (39) (1999)

2006

160. A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
     Econometric Theory, 2006, 22, (5), 947-960 View citations (10)
     See also Working Paper A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation, Cowles Foundation Discussion Papers (2005) View citations (1) (2005)
161. A new approach to robust inference in cointegration
     Economics Letters, 2006, 91, (2), 300-306 View citations (7)
     See also Working Paper A New Approach to Robust Inference in Cointegration, Cowles Foundation Discussion Papers (2005) (2005)
162. Comment
     Journal of Business & Economic Statistics, 2006, 24, 202-208
163. GMM with Many Moment Conditions
     Econometrica, 2006, 74, (1), 147-192 View citations (73)
     See also Working Paper GMM with Many Moment Conditions, Cowles Foundation Discussion Papers (2005) View citations (5) (2005)
164. Inference in Autoregression under Heteroskedasticity
     Journal of Time Series Analysis, 2006, 27, (2), 289-308 View citations (45)
165. Local Whittle estimation of fractional integration and some of its variants
     Journal of Econometrics, 2006, 130, (2), 209-233 View citations (83)
166. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
     Econometric Theory, 2006, 22, (6), 1179-1190 View citations (12)
167. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
     International Economic Review, 2006, 47, (3), 837-894 View citations (30)
     See also Working Paper Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation, University of California at San Diego, Economics Working Paper Series (2004) (2004)
168. Uniform Limit Theory for Stationary Autoregression
     Journal of Time Series Analysis, 2006, 27, (1), 51-60 View citations (63)
     See also Working Paper Uniform Limit Theory for Stationary Autoregression, Cowles Foundation Discussion Papers (2004) View citations (2) (2004)

2005

169. AUTOMATED DISCOVERY IN ECONOMETRICS
     Econometric Theory, 2005, 21, (1), 3-20 View citations (15)
     See also Working Paper Automated Discovery in Econometrics, Cowles Foundation Discussion Papers (2004) View citations (5) (2004)
170. Albert Rex Bergstrom 1925-2005
     New Zealand Economic Papers, 2005, 39, (2), 129-152 View citations (2)
171. Challenges of trending time series econometrics
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 401-416 View citations (38)
     See also Working Paper Challenges of Trending Time Series Econometrics, Cowles Foundation Discussion Papers (2004) View citations (5) (2004)
172. Econometric Analysis of Fisher's Equation
     American Journal of Economics and Sociology, 2005, 64, (1), 125-168 View citations (11)
     See also Working Paper Econometric Analysis of Fisher's Equation, Cowles Foundation Discussion Papers (1998) View citations (32) (1998)
173. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
     Econometrics Journal, 2005, 8, (3), 367-379 View citations (4)
     See also Working Paper Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter, Cowles Foundation Discussion Papers (2004) View citations (4) (2004)
174. HAC ESTIMATION BY AUTOMATED REGRESSION
     Econometric Theory, 2005, 21, (1), 116-142 View citations (63)
     See also Working Paper HAC Estimation by Automated Regression, Cowles Foundation Discussion Papers (2004) View citations (8) (2004)
175. Jackknifing Bond Option Prices
     The Review of Financial Studies, 2005, 18, (2), 707-742 View citations (63)
     See also Working Paper Jackknifing Bond Option Prices, Econometric Society 2004 North American Winter Meetings (2004) View citations (2) (2004)
176. Prewhitening Bias in HAC Estimation
     Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations (145)
     See also Working Paper Prewhitening Bias in HAC Estimation, Yale School of Management Working Papers (2004) View citations (10) (2004)

2004

177. EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
     Econometric Theory, 2004, 20, (3), 464-484 View citations (10)
178. Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
     Journal of Time Series Analysis, 2004, 25, (5), 733-753 View citations (4)
     See also Working Paper Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra, Cowles Foundation Discussion Papers (2002) (2002)
179. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
     Econometrica, 2004, 72, (2), 467-522 View citations (23)
     See also Working Paper GMM Estimation of Autoregressive Roots Near Unity with Panel Data, Cowles Foundation Discussion Papers (2003) View citations (1) (2003)
180. Nonlinear instrumental variable estimation of an autoregression
     Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations (27)
     See also Working Paper Nonlinear Instrumental Variable Estimation of an Autoregression, Cowles Foundation Discussion Papers (2001) View citations (1) (2001)
181. Nonstationary discrete choice
     Journal of Econometrics, 2004, 120, (1), 103-138 View citations (67)
     See also Working Paper Nonstationary Discrete Choice, Cowles Foundation Discussion Papers (2002) View citations (10) (2002)

2003

182. 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution
     Econometric Theory, 2003, 19, (4), 692-701 View citations (1)
183. An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional*
     Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890 View citations (1)
184. Dynamic panel estimation and homogeneity testing under cross section dependence &ast
     Econometrics Journal, 2003, 6, (1), 217-259 View citations (565)
185. Empirical Limits for Time Series Econometric Models
     Econometrica, 2003, 71, (2), 627-673 View citations (25)
     See also Working Paper Empirical Limits for Time Series Econometric Models, Cowles Foundation Discussion Papers (1999) View citations (8) (1999)
186. Fully Nonparametric Estimation of Scalar Diffusion Models
     Econometrica, 2003, 71, (1), 241-283 View citations (107)
     See also Working Paper Fully Nonparametric Estimation of Scalar Diffusion Models, Cowles Foundation Discussion Papers (2001) View citations (5) (2001)
187. IN MEMORY OF JOHN DENIS SARGAN
     Econometric Theory, 2003, 19, (3), 417-422 View citations (1)
188. Inference in Arch and Garch Models with Heavy--Tailed Errors
     Econometrica, 2003, 71, (1), 285-317 View citations (153)
189. Laws and Limits of Econometrics
     Economic Journal, 2003, 113, (486), C26-C52 View citations (32)
     See also Working Paper Laws and Limits of Econometrics, Cowles Foundation Discussion Papers (2003) View citations (31) (2003)
190. Nonlinear log-periodogram regression for perturbed fractional processes
     Journal of Econometrics, 2003, 115, (2), 355-389 View citations (59)
     See also Working Paper Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes, Cowles Foundation Discussion Papers (2002) View citations (1) (2002)
191. THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
     Econometric Theory, 2003, 19, (6), 1201-1202
192. VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
     Econometric Theory, 2003, 19, (3), 495-511 View citations (5)
     See also Working Paper Vision and Influence in Econometrics: John Denis Sargan, Cowles Foundation Discussion Papers (2003) View citations (5) (2003)

2002

193. A CUSUM test for cointegration using regression residuals
     Journal of Econometrics, 2002, 108, (1), 43-61 View citations (47)
     See also Working Paper A CUSUM Test for Cointegration Using Regression Residuals, Cowles Foundation Discussion Papers (2001) View citations (3) (2001)
194. Band Spectral Regression with Trending Data
     Econometrica, 2002, 70, (3), 1067-1109 View citations (78)
     See also Working Paper Band Spectral Regression with Trending Data, Working Papers (1997) View citations (5) (1997)
195. Higher order approximations for Wald statistics in time series regressions with integrated processes
     Journal of Econometrics, 2002, 108, (1), 157-198 View citations (5)
196. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
     Journal of Econometrics, 2002, 111, (2), 251-283 View citations (6)
     See also Working Paper Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables, Cowles Foundation Discussion Papers (1998) (1998)
197. New unit root asymptotics in the presence of deterministic trends
     Journal of Econometrics, 2002, 111, (2), 323-353 View citations (12)
     See also Working Paper New Unit Root Asymptotics in the Presence of Deterministic Trends, Working Papers (1998) View citations (2) (1998)
198. Pooled Log Periodogram Regression
     Journal of Time Series Analysis, 2002, 23, (1), 57-93 View citations (28)
     See also Working Paper Pooled Log Periodogram Regression, Cowles Foundation Discussion Papers (2000) View citations (7) (2000)
199. The KPSS test with seasonal dummies
     Economics Letters, 2002, 77, (2), 239-243 View citations (12)
     See also Working Paper The KPSS Test with Seasonal Dummies, Cowles Foundation Discussion Papers (2002) View citations (11) (2002)

2001

200. A Gaussian approach for continuous time models of the short-term interest rate
     Econometrics Journal, 2001, 4, (2), 3 View citations (32)
201. Descriptive econometrics for non-stationary time series with empirical illustrations
     Journal of Applied Econometrics, 2001, 16, (3), 389-413 View citations (14)
     See also Working Paper Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations, Cowles Foundation Discussion Papers (1999) View citations (5) (1999)
202. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
     Econometric Theory, 2001, 17, (1), 29-69 View citations (29)
     See also Working Paper How to Estimate Autoregressive Roots Near Unity, University of California at Santa Barbara, Economics Working Paper Series (1999) (1999)
203. Nonlinear Regressions with Integrated Time Series
     Econometrica, 2001, 69, (1), 117-61 View citations (227)
     See also Working Paper Nonlinear Regressions with Integrated Time Series, Cowles Foundation Discussion Papers (1998) View citations (2) (1998)
204. Nonlinear econometric models with cointegrated and deterministically trending regressors
     Econometrics Journal, 2001, 4, (1), 1-36 View citations (80)
     See also Working Paper Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors, Cowles Foundation Discussion Papers (1999) View citations (22) (1999)
205. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
     Journal of Applied Econometrics, 2001, 16, (6), 671-708 View citations (120)
206. Structural Change Tests in Tail Behaviour and the Asian Crisis
     The Review of Economic Studies, 2001, 68, (3), 633-663 View citations (69)
207. Trending time series and macroeconomic activity: Some present and future challenges
     Journal of Econometrics, 2001, 100, (1), 21-27 View citations (47)
     See also Working Paper Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges, Cowles Foundation Discussion Papers (2000) (2000)

2000

208. Auditing the cost effectiveness of radon mitigation in the workplace
     Managerial Auditing Journal, 2000, 15, (4), 153-160
     Also in Managerial Auditing Journal, 1999, 14, (9), 461-468 (1999)
209. ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
     Econometric Theory, 2000, 16, (6), 927-997 View citations (44)
     See also Working Paper Estimation of Autoregressive Roots Near Unity Using Panel Data, Cowles Foundation Discussion Papers (1999) View citations (14) (1999)
210. Forecasting New Zealand's real GDP
     New Zealand Economic Papers, 2000, 34, (2), 159-181 View citations (2)
     See also Working Paper Forecasting New Zealand's Real GDP, Working Papers (2000) View citations (2) (2000)
211. Nonstationary Binary Choice
     Econometrica, 2000, 68, (5), 1249-1280 View citations (81)
     See also Working Paper Nonstationary Binary Choice, Cowles Foundation Discussion Papers (1999) (1999)
212. Nonstationary panel data analysis: an overview of some recent developments
     Econometric Reviews, 2000, 19, (3), 263-286 View citations (163)
     See also Working Paper Nonstationary Panel Data Analysis: An Overview of Some Recent Developments, Cowles Foundation Discussion Papers (1999) View citations (48) (1999)

1999

213. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
     Econometric Theory, 1999, 15, (3), 269-298 View citations (186)
     See also Working Paper Asymptotics for Nonlinear Transformations of Integrated Time Series, Cowles Foundation Discussion Papers (1998) View citations (10) (1998)
214. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
     Econometric Theory, 1999, 15, (4), 519-548 View citations (20)
215. Linear Regression Limit Theory for Nonstationary Panel Data
     Econometrica, 1999, 67, (5), 1057-1112 View citations (862)
     See also Working Paper Linear Regression Limit Theory for Nonstationary Panel Data, Cowles Foundation Discussion Papers (1999) View citations (844) (1999)
216. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
     Journal of Econometrics, 1999, 91, (2), 227-271 View citations (61)
     See also Working Paper Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure, Cowles Foundation Discussion Papers (1997) View citations (2) (1997)

1998

217. A Primer on Unit Root Testing
     Journal of Economic Surveys, 1998, 12, (5), 423-470 View citations (115)
     See also Working Paper A Primer on Unit Root Testing, Cowles Foundation Discussion Papers (1998) View citations (114) (1998)
218. An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
     Econometrics Journal, 1998, 1, (RegularPapers), 27-43 View citations (19)
     See also Working Paper 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 (1997) View citations (7) (1997)
219. Higher-order approximations for frequency domain time series regression
     Journal of Econometrics, 1998, 86, (2), 297-336 View citations (17)
220. Impulse response and forecast error variance asymptotics in nonstationary VARs
     Journal of Econometrics, 1998, 83, (1-2), 21-56 View citations (173)
     See also Working Paper Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's, Cowles Foundation Discussion Papers (1995) View citations (8) (1995)
221. New Tools for Understanding Spurious Regressions
     Econometrica, 1998, 66, (6), 1299-1326 View citations (96)
222. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
     Journal of Econometrics, 1998, 87, (1), 49-86 View citations (34)

1997

223. Forward exchange market unbiasedness: the case of the Australian dollar since 1984
     Journal of International Money and Finance, 1997, 16, (6), 885-907 View citations (20)
     See also Working Paper Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984, Cowles Foundation Discussion Papers (1996) View citations (1) (1996)
224. Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
     Journal of Econometrics, 1997, 80, (1), 85-123 View citations (37)
     See also Working Paper Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments, Cowles Foundation Discussion Papers (1994) View citations (2) (1994)

1996

225. An Asymptotic Theory of Bayesian Inference for Time Series
     Econometrica, 1996, 64, (2), 381-412 View citations (80)
226. Econometric Model Determination
     Econometrica, 1996, 64, (4), 763-812 View citations (92)
227. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
     Journal of Applied Econometrics, 1996, 11, (1), 1-22 View citations (22)
     See also Working Paper Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's, Cowles Foundation Discussion Papers (1994) (1994)

1995

228. Bayesian model selection and prediction with empirical applications
     Journal of Econometrics, 1995, 69, (1), 289-331 View citations (22)
     See also Working Paper Bayesian Model Selection and Prediction with Empirical Applications, Cowles Foundation Discussion Papers (1992) View citations (3) (1992)
229. Bayesian prediction a response
     Journal of Econometrics, 1995, 69, (1), 351-365 View citations (5)
230. Efficient IV Estimation in Nonstationary Regression
     Econometric Theory, 1995, 11, (5), 1095-1130 View citations (10)
231. Fully Modified Least Squares and Vector Autoregression
     Econometrica, 1995, 63, (5), 1023-78 View citations (255)
     See also Working Paper Fully Modified Least Squares and Vector Autoregression, Cowles Foundation Discussion Papers (1993) View citations (17) (1993)
232. Robust Nonstationary Regression
     Econometric Theory, 1995, 11, (5), 912-951 View citations (27)
     See also Working Paper Robust Nonstationary Regression, Cowles Foundation Discussion Papers (1993) View citations (7) (1993)
233. Time Series Regression with Mixtures of Integrated Processes
     Econometric Theory, 1995, 11, (5), 1033-1094 View citations (10)
234. Trending Multiple Time Series: Editor's Introduction
     Econometric Theory, 1995, 11, (5), 811-817

1994

235. A Reexamination of the Consumption Function Using Frequency Domain Regressions
     Empirical Economics, 1994, 19, (4), 595-609 View citations (21)
     See also Working Paper A Rexamination of the Consumption Function Using Frequency Domain Regressions, Working Papers (1991) (1991)
     Working Paper A Reexamination of the Consumption Function Using Frequency Domain Regressors, Cowles Foundation Discussion Papers (1991) (1991)
236. Bayes Methods and Unit Roots
     Econometric Theory, 1994, 10, (3-4), 453-460 View citations (1)
237. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Econometric Theory, 1994, 10, (3-4), 774-808 View citations (61)
     See also Working Paper Posterior Odds Testing for a Unit Root with Data-Based Model Selection, Cowles Foundation Discussion Papers (1992) View citations (24) (1992)
238. Reflections on the Day
     Journal of Economic Surveys, 1994, 8, (3), 311-16 View citations (1)
239. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
     Econometrica, 1994, 62, (1), 73-93 View citations (71)
     See also Working Paper Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models, Cowles Foundation Discussion Papers (1992) View citations (1) (1992)
240. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
     Journal of Empirical Finance, 1994, 1, (2), 211-248 View citations (176)
     See also Working Paper Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets, Working papers (1992) View citations (2) (1992)

1993

241. Parameter Constancy in Cointegrating Regressions
     Empirical Economics, 1993, 18, (4), 675-706 View citations (54)
242. Testing for a unit root by frequency domain regression
     Journal of Econometrics, 1993, 59, (3), 263-286 View citations (12)
243. The spurious effect of unit roots on vector autoregressions: An analytical study
     Journal of Econometrics, 1993, 59, (3), 229-255 View citations (37)
244. Vector Autoregressions and Causality
     Econometrica, 1993, 61, (6), 1367-93 View citations (411)
     See also Working Paper Vector Autoregression and Causality, Cowles Foundation Discussion Papers (1991) View citations (21) (1991)

1992

245. Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
     Journal of Econometrics, 1992, 51, (1-2), 113-150 View citations (82)
     See also Working Paper Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations, Cowles Foundation Discussion Papers (1989) View citations (6) (1989)
246. LM Tests for a Unit Root in the Presence of Deterministic Trends
     Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 257-87 View citations (454)
247. 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?
     Journal of Econometrics, 1992, 54, (1-3), 159-178 View citations (4287)
     See also Working Paper 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 (1991) View citations (42) (1991)

1991

248. A Shortcut to LAD Estimator Asymptotics
     Econometric Theory, 1991, 7, (4), 450-463 View citations (45)
     See also Working Paper A Shortcut to LAD Estimator Asymptotics, Cowles Foundation Discussion Papers (1990) (1990)
249. Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
     Journal of Applied Econometrics, 1991, 6, (4), 435-73 View citations (28)
     See also Working Paper Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum, Cowles Foundation Discussion Papers (1991) View citations (28) (1991)
250. Error Correction and Long-Run Equilibrium in Continuous Time
     Econometrica, 1991, 59, (4), 967-80 View citations (70)
     See also Working Paper Error Correction and Long Run Equilibrium in Continuous Time, Cowles Foundation Discussion Papers (1989) (1989)
251. Estimating Long-run Economic Equilibria
     The Review of Economic Studies, 1991, 58, (3), 407-436 View citations (416)
     See also Working Paper Estimating Long Run Economic Equilibria, Cowles Foundation Discussion Papers (1989) View citations (67) (1989)
252. Optimal Inference in Cointegrated Systems
     Econometrica, 1991, 59, (2), 283-306 View citations (491)
     See also Working Paper Optimal Inference in Cointegrated Systems, Cowles Foundation Discussion Papers (1989) View citations (2) (1989)
253. The Durbin-Watson ratio under infinite-variance errors
     Journal of Econometrics, 1991, 47, (1), 85-114 View citations (6)
     See also Working Paper The Durbin-Watson Ratio Under Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) (1989)
254. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Journal of Applied Econometrics, 1991, 6, (4), 333-64 View citations (136)
     See also Working Paper To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends, Cowles Foundation Discussion Papers (1990) View citations (5) (1990)

1990

255. Asymptotic Properties of Residual Based Tests for Cointegration
     Econometrica, 1990, 58, (1), 165-93 View citations (1000)
     See also Working Paper Asymptotic Properties of Residual Based Tests for Cointegration, Cowles Foundation Discussion Papers (1988) View citations (8) (1988)
256. Statistical Inference in Instrumental Variables Regression with I(1) Processes
     The Review of Economic Studies, 1990, 57, (1), 99-125 View citations (2247)
257. Time Series Regression With a Unit Root and Infinite-Variance Errors
     Econometric Theory, 1990, 6, (1), 44-62 View citations (38)
     See also Working Paper Time Series Regression with a Unit Root and Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) (1989)

1989

258. Partially Identified Econometric Models
     Econometric Theory, 1989, 5, (2), 181-240 View citations (168)
     See also Working Paper Partially Identified Econometric Models, Cowles Foundation Discussion Papers (1988) View citations (29) (1988)
259. Spherical matrix distributions and cauchy quotients
     Statistics & Probability Letters, 1989, 8, (1), 51-53 View citations (5)
     See also Working Paper Spherical Matrix Distributions and Cauchy Quotients, Cowles Foundation Discussion Papers (1987) View citations (2) (1987)
260. Statistical Inference in Regressions with Integrated Processes: Part 2
     Econometric Theory, 1989, 5, (1), 95-131 View citations (183)
     See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 2, Cowles Foundation Discussion Papers (1987) View citations (39) (1987)

1988

261. Conditional and unconditional statistical independence
     Journal of Econometrics, 1988, 38, (3), 341-348 View citations (5)
     See also Working Paper Conditional and Unconditional Statistical Independence, Cowles Foundation Discussion Papers (1987) (1987)
262. On the Formulation of Wald Tests of Nonlinear Restrictions
     Econometrica, 1988, 56, (5), 1065-83 View citations (61)
     See also Working Paper On the Formulation of Wald Tests of Nonlinear Restrictions, Cowles Foundation Discussion Papers (1986) View citations (4) (1986)
263. Reflections on Econometric Methodology
     The Economic Record, 1988, 64, (4), 344-359 View citations (36)
     See also Working Paper Reflections on Econometric Methodology, Cowles Foundation Discussion Papers (1988) View citations (39) (1988)
264. Regression Theory for Near-Integrated Time Series
     Econometrica, 1988, 56, (5), 1021-43 View citations (130)
     See also Working Paper Regression Theory for Near-Integrated Time Series, Cowles Foundation Discussion Papers (1987) (1987)
265. Statistical Inference in Regressions with Integrated Processes: Part 1
     Econometric Theory, 1988, 4, (3), 468-497 View citations (226)
     See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 1, Cowles Foundation Discussion Papers (1987) View citations (32) (1987)
266. Testing for cointegration using principal components methods
     Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 View citations (75)
267. Trends versus Random Walks in Time Series Analysis
     Econometrica, 1988, 56, (6), 1333-54 View citations (109)
     See also Working Paper Trends Versus Random Walks in Time Series Analysis, Cowles Foundation Discussion Papers (1986) View citations (2) (1986)
268. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations
     Econometric Theory, 1988, 4, (3), 528-533 View citations (33)
     See also Working Paper Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations, Cowles Foundation Discussion Papers (1987) View citations (3) (1987)
269. Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
     Journal of Multivariate Analysis, 1988, 24, (2), 252-264 View citations (7)
270. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
     Econometric Theory, 1988, 4, (1), 1-34 View citations (8)

1987

271. An everywhere convergent series representation of the distribution of Hotelling's generalized T02
     Journal of Multivariate Analysis, 1987, 21, (2), 238-249
272. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Econometric Theory, 1987, 3, (1), 45-68 View citations (13)
     See also Working Paper Asymptotic Expansions in Nonstationary Vector Autoregressions, Cowles Foundation Discussion Papers (1985) View citations (4) (1985)
273. Does GNP have a unit root?: A re-evaluation
     Economics Letters, 1987, 23, (2), 139-145 View citations (47)
     See also Working Paper Does Gnp Have a Unit Root? a Reevaluation, Cahiers de recherche (1986) View citations (5) (1986)
274. Time Series Regression with a Unit Root
     Econometrica, 1987, 55, (2), 277-301 View citations (1150)
     See also Working Paper Testing for a Unit Root in Time Series Regression, Cowles Foundation Discussion Papers (1987) View citations (442) (1987)
     Working Paper Time Series Regression with a Unit Root, Cowles Foundation Discussion Papers (1986) View citations (45) (1986)

1986

275. Multiple Time Series Regression with Integrated Processes
     The Review of Economic Studies, 1986, 53, (4), 473-495 View citations (361)
     See also Working Paper Multiple Time Series Regression with Integrated Processes, Cowles Foundation Discussion Papers (1985) View citations (7) (1985)
276. The Distribution of FIML in the Leading Case
     International Economic Review, 1986, 27, (1), 239-43 View citations (4)
     See also Working Paper The Distribution of FIML in the Leading Case, Cowles Foundation Discussion Papers (1985) (1985)
277. The Exact Distribution of the Wald Statistic
     Econometrica, 1986, 54, (4), 881-95 View citations (9)
     See also Working Paper The Exact Distribution of the Wald Statistic, Cowles Foundation Discussion Papers (1984) (1984)
278. Understanding spurious regressions in econometrics
     Journal of Econometrics, 1986, 33, (3), 311-340 View citations (747)
     See also Working Paper Understanding Spurious Regressions in Econometrics, Cowles Foundation Discussion Papers (1985) View citations (68) (1985)

1985

279. A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family
     Canadian Journal of Economics, 1985, 18, (1), 58-65 View citations (3)
280. The Exact Distribution of LIML: II
     International Economic Review, 1985, 26, (1), 21-36 View citations (22)
     Also in International Economic Review, 1984, 25, (1), 249-61 (1984) View citations (28)
     See also Working Paper The Exact Distribution of LIML: II, Cowles Foundation Discussion Papers (1983) (1983)
281. The Exact Distribution of the SUR Estimator
     Econometrica, 1985, 53, (4), 745-56 View citations (8)
282. The distribution of matrix quotients
     Journal of Multivariate Analysis, 1985, 16, (1), 157-161 View citations (2)
     See also Working Paper The Distribution of Matrix Quotients, Cowles Foundation Discussion Papers (1982) (1982)

1984

283. The exact distribution of exogenous variable coefficient estimators
     Journal of Econometrics, 1984, 26, (3), 387-398 View citations (6)
     See also Working Paper The Exact Distribution of Exogenous Variable Coefficient Estimators, Cowles Foundation Discussion Papers (1983) (1983)
284. The exact distribution of the Stein-rule estimator
     Journal of Econometrics, 1984, 25, (1-2), 123-131 View citations (9)
     See also Working Paper The Exact Distribution of the Stein-Rule Estimator, Cowles Foundation Discussion Papers (1983) (1983)

1983

285. ERAs: A New Approach to Small Sample Theory
     Econometrica, 1983, 51, (5), 1505-25 View citations (15)
     See also Working Paper ERA's: A New Approach to Small Sample Theory, Cowles Foundation Discussion Papers (1982) (1982)

1982

286. A simple proof of the latent root sensitivity formula
     Economics Letters, 1982, 9, (1), 57-59 View citations (1)
287. On the Consistency of Nonlinear FIML
     Econometrica, 1982, 50, (5), 1307-24 View citations (10)
     See also Working Paper On the Consistency of Non-Linear FIML, Cowles Foundation Discussion Papers (1980) (1980)
288. On the behavior of inconsistent instrumental variable estimators
     Journal of Econometrics, 1982, 19, (2-3), 183-201 View citations (27)
     See also Working Paper On the Behavior of Inconsistent Instrumental Variable Estimators, Cowles Foundation Discussion Papers (1980) View citations (5) (1980)

1980

289. Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
     The Review of Economic Studies, 1980, 47, (1), 183-224 View citations (18)
290. The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
     Econometrica, 1980, 48, (4), 861-78 View citations (43)

1979

291. A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
     Econometrica, 1979, 47, (6), 1527-47 View citations (11)
292. The concentration ellipsoid of a random vector
     Journal of Econometrics, 1979, 11, (2-3), 363-365 View citations (1)
293. The sampling distribution of forecasts from a first-order autoregression
     Journal of Econometrics, 1979, 9, (3), 241-261 View citations (30)

1977

294. A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
     Econometrica, 1977, 45, (6), 1517-34 View citations (33)
295. A large deviation limit theorem for multivariate distributions
     Journal of Multivariate Analysis, 1977, 7, (1), 50-62
296. An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
     Journal of Econometrics, 1977, 6, (2), 147-164 View citations (4)
297. Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
     Econometrica, 1977, 45, (2), 463-85 View citations (62)

1976

298. The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
     Econometrica, 1976, 44, (3), 449-60 View citations (6)

1974

299. A Forecasting Model for the United Kingdom Invisible Account
     National Institute Economic Review, 1974, 69, 58-76
300. The Estimation of Some Continuous Time Models
     Econometrica, 1974, 42, (5), 803-23 View citations (18)

1973

301. The problem of identification in finite parameter continuous time models
     Journal of Econometrics, 1973, 1, (4), 351-362 View citations (43)

1972

302. The Structural Estimation of a Stochastic Differential Equation System
     Econometrica, 1972, 40, (6), 1021-41 View citations (30)

Chapters

2024

1. Information loss in volatility measurement with flat price trading
   Springer
   See also Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Institute of Economic Research, Hitotsubashi University (2009) View citations (1) (2009)
   Journal Article Information loss in volatility measurement with flat price trading, Springer (2023) View citations (1) (2023)

2023

2. Discrete Fourier Transforms of Fractional Processes with Econometric Applications*
   A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 3-71
   See also Working Paper Discrete Fourier Transforms of Fractional Processes with Econometric Applications, Cowles Foundation for Research in Economics, Yale University (2021) (2021)

2020

3. Testing Convergence Using HAR Inference
   A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 25-72 View citations (2)

2019

4. John Denis Sargan (1924–1996)
   Palgrave Macmillan

2016

5. Inference in Near-Singular Regression
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 461-486 View citations (7)
   See also Working Paper Inference in Near Singular Regression, Cowles Foundation for Research in Economics, Yale University (2015) (2015)

1983

6. Exact small sample theory in the simultaneous equations model
   Chapter 08 in Handbook of Econometrics, 1983, vol. 1, pp 449-516 View citations (97)
   See also Working Paper Exact Small Sample Theory in the Simultaneous Equations Model, Cowles Foundation for Research in Economics, Yale University (1982) View citations (4) (1982)