Details about Peter C. B. Phillips

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

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Short-id: pph8

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Working Papers

2009

1. Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
2. Bootstrapping I(1) Data
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
3. Cointegrating Rank Selection in Models with Time-Varying Variance
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
4. Dynamic Misspecification in Nonparametric Cointegrating Regression
   University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics
5. Information Loss in Volatility Measurement with Flat Price Trading
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
   Also in
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2007)
   Levine's Bibliography, UCLA Department of Economics (2007)
6. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2008

7. Local Limit Theory and Spurious Nonparametric Regression
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
8. Long Memory and Long Run Variation
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
9. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
10. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
11. Smoothing Local-to-Moderate Unit Root Theory
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
12. Structural Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
13. Unit Root Model Selection
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
14. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2007

15. Exact Distribution Theory in Structural Estimation with an Identity
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
16. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Working Papers, Hong Kong Institute for Monetary Research
17. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
18. Limit Theory for Explosively Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2008)
19. Long Run Covariance Matrices for Fractionally Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2007)
20. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
21. Simulation-based Estimation of Contingent-claims Prices
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
22. Tilted Nonparametric Estimation of Volatility Functions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
23. Transition Modeling and Econometric Convergence Tests
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (2007)

2006

24. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2008)
25. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2006)
    See Also Journal Article in Journal of Econometrics (2008)
26. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2009)
27. Gaussian Inference in AR(1) Time Series with or without a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2008)
28. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
29. Log Periodogram Regression: The Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
30. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrica (2008)
31. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
32. Refined Inference on Long Memory in Realized Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Reviews (2008)
33. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

2005

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

2004

48. Automated Discovery in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometric Theory (2005)
49. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Yale School of Management Working Papers, Yale School of Management (2004) View citations
    See Also Journal Article in Journal of Econometrics (2007)
50. Challenges of Trending Time Series Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
51. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2003) View citations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
52. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations
53. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometrics Journal (2005)
54. HAC Estimation by Automated Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Econometric Theory (2005)
55. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See Also Journal Article in Review of Financial Studies (2005)
56. Limit Theory for Moderate Deviations from a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Journal of Econometrics (2007)
57. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
58. Prewhitening Bias in HAC Estimation
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
59. Regression Asymptotics Using Martingale Convergence Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See Also Journal Article in Econometric Theory (2008)
60. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See Also Journal Article in International Economic Review (2006)
61. The Elusive Empirical Shadow of Growth Convergence
    Yale School of Management Working Papers, Yale School of Management
    Also in
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
62. Uniform Limit Theory for Stationary Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in
    Discussion Papers, Department of Economics, University of York View citations
    See Also Journal Article in Journal of Time Series Analysis (2006)

2003

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

2002

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

2001

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

2000

83. Accelerated Asymptotics for Diffusion Model Estimation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
84. Forecasting New Zealand's Real GDP
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
85. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
86. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
87. Structural Change in Tail Behavior and the Asian Financial Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
88. THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
    CATRN Papers, Canadian Agri-Food Trade Research Network
89. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See Also Journal Article in Journal of Econometrics (2001)

1999

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

1998

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

1997

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

1996

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

1995

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

1994

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

1993

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

1992

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

1991

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

1990

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

1989

153. A Little Magic with the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
154. A New Proof of Knight's Theorem on the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
155. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1992)
156. Asymptotics for Linear Processes
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
157. Error Correction and Long Run Equilibrium in Continuous Time
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometrica (1991)
158. Estimating Long Run Economic Equilibria
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Review of Economic Studies (1991)
159. Optimal Inference in Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1991)
160. Statistical Inference in Instrumental Variables
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
161. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
162. Testing for a Unit Root in the Presence of Deterministic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
163. The Durbin-Watson Ratio Under Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1991)
164. Time Series Regression with a Unit Root and Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometric Theory (1990)

1988

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

1987

172. Bimodal t-Ratios
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
173. Conditional and Unconditional Statistical Independence
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Econometrics (1988)
174. Multiple Regression with Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
175. Regression Theory for Near-Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1988)
176. Spherical Matrix Distributions and Cauchy Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Statistics & Probability Letters (1989)
177. Statistical Inference in Regressions with Integrated Processes: Part 1
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     Also in
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1987) View citations
178. Testing for Cointegration Using Principal Component Measures
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
179. Testing for a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     Also in
     Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations
180. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1986

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

1985

190. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Econometric Theory (1987)
191. Fractional Matrix Calculus and the Distribution of Multivariate Tests
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
192. Multiple Time Series Regression with Integrated Processes
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Review of Economic Studies (1986)
193. The Distribution of FIML in the Leading Case
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in International Economic Review (1986)
194. Understanding Spurious Regressions in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Journal Article in Journal of Econometrics (1986)

1984

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

1983

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

1982

204. ERA's: A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Econometrica (1983)
205. Exact Small Sample Theory in the Simultaneous Equations Model
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
     See Also Chapter (1983)
206. Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
207. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
208. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
209. The Distribution of Matrix Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
     See Also Journal Article in Journal of Multivariate Analysis (1985)

1981

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

1980

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

1978

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

Journal Articles

2009

1. ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
   Econometric Theory, 2009, 25, (03), 710-738
   See Also Working Paper (2006)
2. ECONOMETRIC THEORY AND PRACTICE
   Econometric Theory, 2009, 25, (03), 583-586
3. LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
   Econometric Theory, 2009, 25, (02), 482-526

2008

4. A complete asymptotic series for the autocovariance function of a long memory process
   Journal of Econometrics, 2008, 147, (1), 99-103
   See Also Working Paper (2006)
5. Adaptive estimation of autoregressive models with time-varying variances
   Journal of Econometrics, 2008, 142, (1), 265-280 View citations
   See Also Working Paper (2006)
6. GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
   Econometric Theory, 2008, 24, (03), 631-650
   See Also Working Paper (2006)
7. LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
   Econometric Theory, 2008, 24, (04), 865-887
   See Also Working Paper (2007)
8. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
   Econometrica, 2008, 76, (1), 175-194
   See Also Working Paper (2006)
9. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
   Econometric Theory, 2008, 24, (04), 888-947
   See Also Working Paper (2004)
10. Refined Inference on Long Memory in Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 254-267
    See Also Working Paper (2006)
11. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007
    Econometric Theory, 2008, 24, (05), 1461-1462
    Also in
    Econometric Theory, 2003, 19, (06), 1199-1200 (2003)
    Econometric Theory, 2006, 22, (01), 169-170 (2006)

2007

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

2006

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

2005

33. AUTOMATED DISCOVERY IN ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 3-20 View citations
    See Also Working Paper (2004)
34. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
    Econometric Theory, 2005, 21, (01), 1-2
35. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
    Econometrics Journal, 2005, 8, (3), 367-379 View citations
    See Also Working Paper (2004)
36. HAC ESTIMATION BY AUTOMATED REGRESSION
    Econometric Theory, 2005, 21, (01), 116-142 View citations
    See Also Working Paper (2004)
37. Jackknifing Bond Option Prices
    Review of Financial Studies, 2005, 18, (2), 707-742 View citations
    See Also Working Paper (2004)
38. Phillips on Fisher's Equation
    American Journal of Economics and Sociology, 2005, 64, (1), 125-168
39. Prewhitening Bias in HAC Estimation
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations
    See Also Working Paper (2004)

2004

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

2003

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

2002

57. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 View citations
    See Also Working Paper (2001)
58. Band Spectral Regression with Trending Data
    Econometrica, 2002, 70, (3), 1067-1109 View citations
    See Also Working Paper (1997)
59. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 View citations
60. 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
    See Also Working Paper (1998)
61. New unit root asymptotics in the presence of deterministic trends
    Journal of Econometrics, 2002, 111, (2), 323-353 View citations
    See Also Working Paper (1998)
62. The 2002 Econometric Theory Awards
    Econometric Theory, 2002, 18, (01), 195-195
63. The KPSS test with seasonal dummies
    Economics Letters, 2002, 77, (2), 239-243 View citations
    See Also Working Paper (2002)

2001

64. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations
65. Descriptive econometrics for non-stationary time series with empirical illustrations
    Journal of Applied Econometrics, 2001, 16, (3), 389-413 View citations
    See Also Working Paper (1999)
66. ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS
    Econometric Theory, 2001, 17, (06), 1161-1163
67. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
    Econometric Theory, 2001, 17, (01), 29-69 View citations
    See Also Working Paper (1999)
68. Nonlinear Regressions with Integrated Time Series
    Econometrica, 2001, 69, (1), 117-61 View citations
    See Also Working Paper (1999)
69. Nonlinear econometric models with cointegrated and deterministically trending regressors
    Econometrics Journal, 2001, 4, (1), 1-36
    See Also Working Paper (1999)
70. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
    Journal of Applied Econometrics, 2001, 16, (6), 671-708 View citations
71. Structural Change Tests in Tail Behaviour and the Asian Crisis
    Review of Economic Studies, 2001, 68, (3), 633-63 View citations
72. Trending time series and macroeconomic activity: Some present and future challenges
    Journal of Econometrics, 2001, 100, (1), 21-27
    See Also Working Paper (2000)

2000

73. ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
    Econometric Theory, 2000, 16, (06), 927-997 View citations
    See Also Working Paper (1999)
74. MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG)
    Econometric Theory, 2000, 16, (02), 283-285
75. Nonstationary Binary Choice
    Econometrica, 2000, 68, (5), 1249-1280 View citations
    See Also Working Paper (1999)
76. Nonstationary panel data analysis: an overview of some recent developments
    Econometric Reviews, 2000, 19, (3), 263-286 View citations
    See Also Working Paper (1999)

1999

77. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 1999, 15, (03), 269-298 View citations
    See Also Working Paper (1998)
78. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
    Econometric Theory, 1999, 15, (04), 519-548 View citations
79. Linear Regression Limit Theory for Nonstationary Panel Data
    Econometrica, 1999, 67, (5), 1057-1112 View citations
    See Also Working Paper (1999)
80. Maximum Likelihood Estimation in Panels with Incidental Trends
    Oxford Bulletin of Economics and Statistics, 1999, 61, 711-47 View citations
    See Also Working Paper (1999)
81. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    Journal of Econometrics, 1999, 91, (2), 227-271 View citations
    See Also Working Paper (1997)
82. OBITUARY
    Econometric Theory, 1999, 15, (04), 639-641

1998

83. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-69 View citations
    See Also Working Paper (1998)
84. 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
    See Also Working Paper (1997)
85. EDITOR'S TRIBUTE
    Econometric Theory, 1998, 14, (02), 293-294
86. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 View citations
87. Impulse response and forecast error variance asymptotics in nonstationary VARs
    Journal of Econometrics, 1998, 83, (1-2), 21-56 View citations
    See Also Working Paper (1995)
88. New Tools for Understanding Spurious Regressions
    Econometrica, 1998, 66, (6), 1299-1326 View citations
89. 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
90. THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994 1996
    Econometric Theory, 1998, 14, (06), 699-699

1997

91. 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
    See Also Working Paper (1996)
92. Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
    Journal of Econometrics, 1997, 80, (1), 85-123 View citations
    See Also Working Paper (1994)
93. New Heraldry for ET
    Econometric Theory, 1997, 13, (06), 769-769
94. The A.R. Bergstrom Prize in Econometrics, 1996
    Econometric Theory, 1997, 13, (02), 148-148
95. The Econometric Theory Awards
    Econometric Theory, 1997, 13, (02), 145-147

1996

96. An Asymptotic Theory of Bayesian Inference for Time Series
    Econometrica, 1996, 64, (2), 381-412 View citations
97. Econometric Model Determination
    Econometrica, 1996, 64, (4), 763-812 View citations
98. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
    Journal of Applied Econometrics, 1996, 11, (1), 1-22
    See Also Working Paper (1994)

1995

99. Bayesian model selection and prediction with empirical applications
    Journal of Econometrics, 1995, 69, (1), 289-331 View citations
    See Also Working Paper (1992)
100. Bayesian prediction a response
     Journal of Econometrics, 1995, 69, (1), 351-365 View citations
101. Efficient IV Estimation in Nonstationary Regression
     Econometric Theory, 1995, 11, (05), 1095-1130
102. Fully Modified Least Squares and Vector Autoregression
     Econometrica, 1995, 63, (5), 1023-78 View citations
     See Also Working Paper (1993)
103. Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure
     Econometric Theory, 1995, 11, (03), 666-668
     Also in
     Econometric Theory, 1993, 9, (04), 689-690 (1993)
104. Reduced Rank Regression Asymptotics in Multivariate Regression ? Solution
     Econometric Theory, 1995, 11, (03), 661-666
105. Robust Nonstationary Regression
     Econometric Theory, 1995, 11, (05), 912-951 View citations
     See Also Working Paper (1993)
106. Spurious Regression in Forecast-Encompassing Tests
     Econometric Theory, 1995, 11, (05), 1188-1190
     Also in
     Econometric Theory, 1994, 10, (3-4), 818-819 (1994)
107. Time Series Regression with Mixtures of Integrated Processes
     Econometric Theory, 1995, 11, (05), 1033-1094 View citations
108. Trending Multiple Time Series: Editor's Introduction
     Econometric Theory, 1995, 11, (05), 811-817

1994

109. A Reexamination of the Consumption Function Using Frequency Domain Regressions
     Empirical Economics, 1994, 19, (4), 595-609 View citations
     See Also Working Paper (1991) Working Paper (1991)
110. A bayesian analysis of trend determination in economic time series
     Econometric Reviews, 1994, 13, (3), 291-336 View citations
     See Also Working Paper (1991)
111. Bayes Methods and Unit Roots
     Econometric Theory, 1994, 10, (3-4), 453-460
112. Fully Modified Least Squares in I(2) Regression
     Econometric Theory, 1994, 10, (05), 967-967
113. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Econometric Theory, 1994, 10, (3-4), 774-808 View citations
     See Also Working Paper (1992)
114. Reflections on the Day
     Journal of Economic Surveys, 1994, 8, (3), 311-16
115. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
     Econometrica, 1994, 62, (1), 73-93 View citations
     See Also Working Paper (1992)
116. Some Exponential Martingales
     Econometric Theory, 1994, 10, (3-4), 819-819
117. Spurious Regression and Generalized Least Squares
     Econometric Theory, 1994, 10, (05), 967-968 View citations
118. 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
     See Also Working Paper (1992)
119. Unit Root Testing with Intermittent Data
     Econometric Theory, 1994, 10, (3-4), 817-818
120. Vector autoregression and causality: a theoretical overview and simulation study
     Econometric Reviews, 1994, 13, (2), 259-285 View citations
     See Also Working Paper (1991)

1993

121. Comment on "modeling asset returns with alternative stable distributions"
     Econometric Reviews, 1993, 12, (3), 331-338
122. Efficiency of Maximum Likelihood
     Econometric Theory, 1993, 9, (03), 534-536
123. Limit Theory in Cointegrated Vector Autoregressions
     Econometric Theory, 1993, 9, (01), 150-153
124. Parameter Constancy in Cointegrating Regressions
     Empirical Economics, 1993, 18, (4), 675-706 View citations
125. Simultaneous Equations Bias in Level VAR Estimation
     Econometric Theory, 1993, 9, (02), 326-328
126. Testing for a unit root by frequency domain regression
     Journal of Econometrics, 1993, 59, (3), 263-286
127. The spurious effect of unit roots on vector autoregressions: An analytical study
     Journal of Econometrics, 1993, 59, (3), 229-255 View citations
128. Vector Autoregressions and Causality
     Econometrica, 1993, 61, (6), 1367-93 View citations
     See Also Working Paper (1991)

1992

129. 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
     See Also Working Paper (1989)
130. 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
131. 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
     See Also Working Paper (1991)

1991

132. A Shortcut to LAD Estimator Asymptotics
     Econometric Theory, 1991, 7, (04), 450-463 View citations
     See Also Working Paper (1990)
133. Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
     Journal of Applied Econometrics, 1991, 6, (4), 435-73 View citations
     See Also Working Paper (1991)
134. Error Correction and Long-Run Equilibrium in Continuous Time
     Econometrica, 1991, 59, (4), 967-80 View citations
     See Also Working Paper (1989)
135. Estimating Long-run Economic Equilibria
     Review of Economic Studies, 1991, 58, (3), 407-36 View citations
     See Also Working Paper (1989)
136. Estimation and Testing in Linear Models with Singular Covariance Matrices
     Econometric Theory, 1991, 7, (01), 153-162
137. Optimal Inference in Cointegrated Systems
     Econometrica, 1991, 59, (2), 283-306 View citations
     See Also Working Paper (1989)
138. Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case
     Econometric Theory, 1991, 7, (04), 549-558
     Also in
     Econometric Theory, 1990, 6, (03), 407-408 (1990)
139. Testing for Stationarity in the Components Representation of a Time Series
     Econometric Theory, 1991, 7, (04), 543-544 View citations
140. The Durbin-Watson ratio under infinite-variance errors
     Journal of Econometrics, 1991, 47, (1), 85-114 View citations
     See Also Working Paper (1989)
141. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Journal of Applied Econometrics, 1991, 6, (4), 333-64 View citations
     See Also Working Paper (1990)

1990

142. Asymptotic Properties of Residual Based Tests for Cointegration
     Econometrica, 1990, 58, (1), 165-93 View citations
     See Also Working Paper (1988)
143. Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics
     Econometric Theory, 1990, 6, (02), 286-286
144. Optimal Structural Estimation of Triangular Systems: I. The Stationary Case
     Econometric Theory, 1990, 6, (02), 285-286
145. Statistical Inference in Instrumental Variables Regression with I(1) Processes
     Review of Economic Studies, 1990, 57, (1), 99-125 View citations
146. Testing Causality in an Autoregression with Cointegrated Regressors
     Econometric Theory, 1990, 6, (04), 489-489
147. The Geometry of the Equivalence of OLS and GLS in the Linear Model
     Econometric Theory, 1990, 6, (04), 489-490
148. The Tjalling C. Koopmans Econometric Theory Prize
     Econometric Theory, 1990, 6, (02), i-i
149. Time Series Regression With a Unit Root and Infinite-Variance Errors
     Econometric Theory, 1990, 6, (01), 44-62 View citations
     See Also Working Paper (1989)

1989

150. Spherical matrix distributions and cauchy quotients
     Statistics & Probability Letters, 1989, 8, (1), 51-53 View citations
     See Also Working Paper (1987)

1988

151. Conditional and unconditional statistical independence
     Journal of Econometrics, 1988, 38, (3), 341-348 View citations
     See Also Working Paper (1987)
152. On the Formulation of Wald Tests of Nonlinear Restrictions
     Econometrica, 1988, 56, (5), 1065-83 View citations
     See Also Working Paper (1986)
153. Reflections on Econometric Methodology
     The Economic Record, 1988, 64, (187), 344-59 View citations
     See Also Working Paper (1988)
154. Regression Theory for Near-Integrated Time Series
     Econometrica, 1988, 56, (5), 1021-43 View citations
     See Also Working Paper (1987)
155. Testing for cointegration using principal components methods
     Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 View citations
156. Trends versus Random Walks in Time Series Analysis
     Econometrica, 1988, 56, (6), 1333-54 View citations
     See Also Working Paper (1986)
157. Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
     Journal of Multivariate Analysis, 1988, 24, (2), 252-264

1987

158. An everywhere convergent series representation of the distribution of Hotelling's generalized T02
     Journal of Multivariate Analysis, 1987, 21, (2), 238-249
159. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Econometric Theory, 1987, 3, (01), 45-68 View citations
     See Also Working Paper (1985)
160. Does GNP have a unit root?: A re-evaluation
     Economics Letters, 1987, 23, (2), 139-145 View citations
     See Also Working Paper (1986)
161. Editorial
     Econometric Theory, 1987, 3, (02), 169-169
162. The Distribution of LIML in the Leading Case ? Solution
     Econometric Theory, 1987, 3, (03), 469-470
163. Time Series Regression with a Unit Root
     Econometrica, 1987, 55, (2), 277-301 View citations
     See Also Working Paper (1986)

1986

164. Multiple Time Series Regression with Integrated Processes
     Review of Economic Studies, 1986, 53, (4), 473-95 View citations
     See Also Working Paper (1985)
165. The Distribution of FIML in the Leading Case
     International Economic Review, 1986, 27, (1), 239-43 View citations
     See Also Working Paper (1985)
166. The Exact Distribution of the Wald Statistic
     Econometrica, 1986, 54, (4), 881-95 View citations
     See Also Working Paper (1984)
167. Understanding spurious regressions in econometrics
     Journal of Econometrics, 1986, 33, (3), 311-340 View citations
     See Also Working Paper (1985)

1985

168. 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
169. The Exact Distribution of LIML: II
     International Economic Review, 1985, 26, (1), 21-36 View citations
     Also in
     International Economic Review, 1984, 25, (1), 249-61 (1984) View citations
     See Also Working Paper (1983)
170. The Exact Distribution of the SUR Estimator
     Econometrica, 1985, 53, (4), 745-56 View citations
171. The distribution of matrix quotients
     Journal of Multivariate Analysis, 1985, 16, (1), 157-161
     See Also Working Paper (1982)

1984

172. The exact distribution of exogenous variable coefficient estimators
     Journal of Econometrics, 1984, 26, (3), 387-398 View citations
     See Also Working Paper (1983)
173. The exact distribution of the Stein-rule estimator
     Journal of Econometrics, 1984, 25, (1-2), 123-131 View citations
     See Also Working Paper (1983)

1983

174. Comment on university education in ecnometrics
     Econometric Reviews, 1983, 2, (2), 307-315
175. ERAs: A New Approach to Small Sample Theory
     Econometrica, 1983, 51, (5), 1505-25 View citations
     See Also Working Paper (1982)

1982

176. A simple proof of the latent root sensitivity formula
     Economics Letters, 1982, 9, (1), 57-59
177. On the Consistency of Nonlinear FIML
     Econometrica, 1982, 50, (5), 1307-24 View citations
     See Also Working Paper (1980)
178. On the behavior of inconsistent instrumental variable estimators
     Journal of Econometrics, 1982, 19, (2-3), 183-201 View citations
     See Also Working Paper (1980)

1980

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

1979

181. 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
182. The concentration ellipsoid of a random vector
     Journal of Econometrics, 1979, 11, (2-3), 363-365
183. The sampling distribution of forecasts from a first-order autoregression
     Journal of Econometrics, 1979, 9, (3), 241-261 View citations

1977

184. 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
185. A large deviation limit theorem for multivariate distributions
     Journal of Multivariate Analysis, 1977, 7, (1), 50-62
186. An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
     Journal of Econometrics, 1977, 6, (2), 147-164 View citations
187. Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
     Econometrica, 1977, 45, (2), 463-85 View citations

1976

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

1974

189. The Estimation of Some Continuous Time Models
     Econometrica, 1974, 42, (5), 803-23 View citations

1973

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

1972

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

Chapters

1983

1. Exact small sample theory in the simultaneous equations model
   Chapter 08 in Handbook of Econometrics, 1983, vol. 1, pp 449-516 View citations
   See Also Working Paper (1982)