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Details about Peter C. B. Phillips
Access statistics for papers by Peter C. B. Phillips.
Last updated 2008-09-21. Update your information in the RePEc Author Service.
Short-id: pph8
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Working Papers
2008
- Local Limit Theory and Spurious Nonparametric Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Long Memory and Long Run Variation
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Semiparametric Cointegrating Rank Selection
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Smoothing Local-to-Moderate Unit Root Theory
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Structural Nonparametric Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Unit Root Model Selection
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
2007
- Exact Distribution Theory in Structural Estimation with an Identity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
Working Papers, Hong Kong Institute for Monetary Research
- GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Information Loss in Volatility Measurement with Flat Price Trading
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University 
Also in
Levine's Bibliography, UCLA Department of Economics (2007)
- Limit Theory for Explosively Cointegrated Systems
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Simulation-based Estimation of Contingent-claims Prices
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Tilted Nonparametric Estimation of Volatility Functions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Transition Modeling and Econometric Convergence Tests
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (2007)
2006
- A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Gaussian Inference in AR(1) Time Series with or without a Unit Root
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Indirect Inference for Dynamic Panel Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Log Periodogram Regression: The Nonstationary Case
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (2008)
- Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
2005
- A New Approach to Robust Inference in Cointegration
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Economics Letters (2006)
- 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)
- 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)
- 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
- Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
Working Papers, Singapore Management University, School of Economics
- Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
Working Papers, Singapore Management University, School of Economics
- Economic Transition and Growth
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Improved HAR Inference
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Nonstationary Discrete Choice: A Corrigendum and Addendum
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Journal of Econometrics (2007)
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
- Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
2004
- Automated Discovery in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometric Theory (2005)
- 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)
- Challenges of Trending Time Series Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Yale School of Management Working Papers, Yale School of Management 
Also in
Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) 
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2003) View citations
- 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
- 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)
- HAC Estimation by Automated Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometric Theory (2005)
- 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)
- 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)
- 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
- 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)
- Regression Asymptotics Using Martingale Convergence Methods
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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
- 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
- Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- Laws and Limits of Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Economic Journal (2003)
- Local Whittle Estimation in Nonstationary and Unit Root Cases
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Efficient Regression in Time Series Partial Linear Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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)
- Nonstationary Discrete Choice
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Journal of Econometrics (2004)
- 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
- 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)
- Bootstrapping Spurious Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Fully Nonparametric Estimation of Scalar Diffusion Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (2003)
- Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Regression with Slowly Varying Regressors
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- Accelerated Asymptotics for Diffusion Model Estimation
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
- Forecasting New Zealand's Real GDP
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Pooled Log Periodogram Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Structural Change in Tail Behavior and the Asian Financial Crisis
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- 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)
- Discrete Fourier Transforms of Fractional Processes
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Empirical Limits for Time Series Econometric Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (2003)
- Estimation of Autoregressive Roots Near Unity Using Panel Data
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
Also in
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations See Also Journal Article in Econometric Theory (2000)
- How to Estimate Autoregressive Roots Near Unity
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara 
Also in
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1998) View citations See Also Journal Article in Econometric Theory (2001)
- Linear Regression Limit Theory for Nonstationary Panel Data
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (1999)
- Maximum Likelihood Estimation in Panels with Incidental Trends
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations
Also in
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1999) View citations See Also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
- 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)
- 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)
- 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)
- Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometric Reviews (2000)
- 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
- 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)
- 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)
- Econometric Analysis of Fisher's Equation
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Higher Order Approximations for Wald Statistics in Cointegrating Regressions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- 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)
- Nonstationary Density Estimation and Kernel Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Rissanen's Theorem and Econometric Time Series
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1997
- 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)
- 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)
- 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)
- Regressions for Partially Identified, Cointegrated Simultaneous Equations
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1996
- 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
- Efficiency Gains from Quasi-Differencing Under Nonstationarity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Spurious Regression Unmasked
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1995
- Automated Forecasts of Asia-Pacific Economic Activity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Unit Root Tests
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1994
- 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)
- Model Determination and Macroeconomic Activity
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- Fully Modified Least Squares and Vector Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (1995)
- Robust Nonstationary Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1992
- 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
- Bayes Models and Forecasts of Australian Macroeconomic Time Series
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Hyper-Consistent Estimation of a Unit Root in Time Series Regression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Posterior Odds Testing for a Unit Root with Data-Based Model Selection
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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)
- Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1991
- 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)
- 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)
- 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)
- 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)
- 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)
- The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Unidentified Components in Reduced Rank Regression Estimation of ECM's
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Unit Roots
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Vector Autoregression and Causality
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (1993)
- 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
- A Shortcut to LAD Estimator Asymptotics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Operational Algebra and Regression t-Tests
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Testing forUnit Root in the Presence of Deterministic Trends
Working Papers, Michigan State - Econometrics and Economic Theory
- 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
- A Little Magic with the Cauchy Distribution
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- A New Proof of Knight's Theorem on the Cauchy Distribution
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- Asymptotics for Linear Processes
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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)
- Optimal Inference in Cointegrated Systems
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (1991)
- Statistical Inference in Instrumental Variables
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Testing for a Unit Root in the Presence of Deterministic Trends
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Time Series Regression with a Unit Root and Infinite Variance Errors
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1988
- 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)
- Estimation and Inference in Models of Cointegration: A Simulation Study
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Partially Identified Econometric Models
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Reflections on Econometric Methodology
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in The Economic Record (1988)
- Spectral Regression for Cointegrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Testing for a Unit Root in the Presence of a Maintained Trend
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- The Characteristic Function of the Dirichlet and Multivariate F Distributions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1987
- Bimodal t-Ratios
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Conditional and Unconditional Statistical Independence
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Journal of Econometrics (1988)
- Multiple Regression with Integrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Regression Theory for Near-Integrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (1988)
- Spherical Matrix Distributions and Cauchy Quotients
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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
- Testing for Cointegration Using Principal Component Measures
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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
- Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1986
- 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
- Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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)
- Time Series Regression with a Unit Root
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Journal Article in Econometrica (1987)
- Towards a Unified Asymptotic Theory for Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- Weak Convergence to the Matrix Stochastic Integral BdB
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1985
- Asymptotic Expansions in Nonstationary Vector Autoregressions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Fractional Matrix Calculus and the Distribution of Multivariate Tests
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- 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)
- 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)
- 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
- Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- The Exact Distribution of the Wald Statistic
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (1986)
- The Exact Distribution of the Wald Statistic: The Non-Central Case
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1983
- Finite Sample Econometrics Using ERA's
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- On University Education in Econometrics: Remarks on an Article by Eric R. Sowey
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- 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)
- The Exact Distribution of Zellner's SUR
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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
- ERA's: A New Approach to Small Sample Theory
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (1983)
- Exact Small Sample Theory in the Simultaneous Equations Model
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations See Also Chapter (1983)
- Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- On the Exact Distribution of LIML (revised and extended, see CFDP 658)
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- The Distribution of Matrix Quotients
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1981
- A New Approach to Small Sample Theory
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
1980
- A Model of Output, Employment, Capital Formation and Inflation
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Best Uniform Approximation to Probability Densities in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
- Characteristic Functions and the Tail Behavior of Probability Distributions
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- On a Lemma of Amemiya
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
- 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)
- On the Consistency of Non-Linear FIML
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University  See Also Journal Article in Econometrica (1982)
- The Characteristic Function of the F Distribution
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
1978
- A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
Journal Articles
2008
- Adaptive estimation of autoregressive models with time-varying variances
Journal of Econometrics, 2008, 142, (1), 265-280 View citations See Also Working Paper (2006)
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Econometrica, 2008, 76, (1), 175-194  See Also Working Paper (2006)
- Refined Inference on Long Memory in Realized Volatility
Econometric Reviews, 2008, 27, (1-3), 254-267  See Also Working Paper (2006)
2007
- A simple approach to the parametric estimation of potentially nonstationary diffusions
Journal of Econometrics, 2007, 137, (2), 354-395  See Also Working Paper (2005)
- 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)
- Incidental trends and the power of panel unit root tests
Journal of Econometrics, 2007, 141, (2), 416-459  See Also Working Paper (2005)
- LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
Econometric Theory, 2007, 23, (06), 1233-1247 View citations See Also Working Paper (2007)
- Limit theory for moderate deviations from a unit root
Journal of Econometrics, 2007, 136, (1), 115-130 View citations See Also Working Paper (2004)
- Nonstationary discrete choice: A corrigendum and addendum
Journal of Econometrics, 2007, 141, (2), 1115-1130  See Also Working Paper (2005)
- REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
Econometric Theory, 2007, 23, (04), 557-614 View citations
- Some empirics on economic growth under heterogeneous technology
Journal of Macroeconomics, 2007, 29, (3), 455-469
- 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)
- Transition Modeling and Econometric Convergence Tests
Econometrica, 2007, 75, (6), 1771-1855 View citations See Also Working Paper (2007)
- Unit root log periodogram regression
Journal of Econometrics, 2007, 138, (1), 104-124 View citations See Also Working Paper (1999)
2006
- 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)
- A new approach to robust inference in cointegration
Economics Letters, 2006, 91, (2), 300-306  See Also Working Paper (2005)
- Comment
Journal of Business & Economic Statistics, 2006, 24, 202-208
- GMM with Many Moment Conditions
Econometrica, 2006, 74, (1), 147-192 View citations See Also Working Paper (2005)
- Inference in Autoregression under Heteroskedasticity
Journal of Time Series Analysis, 2006, 27, (2), 289-308 View citations
- Local Whittle estimation of fractional integration and some of its variants
Journal of Econometrics, 2006, 130, (2), 209-233 View citations
- ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
Econometric Theory, 2006, 22, (06), 1179-1190 View citations
- 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)
- 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)
- Uniform Limit Theory for Stationary Autoregression
Journal of Time Series Analysis, 2006, 27, (1), 51-60 View citations See Also Working Paper (2004)
2005
- AUTOMATED DISCOVERY IN ECONOMETRICS
Econometric Theory, 2005, 21, (01), 3-20 View citations See Also Working Paper (2004)
- AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
Econometric Theory, 2005, 21, (01), 1-2
- 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)
- HAC ESTIMATION BY AUTOMATED REGRESSION
Econometric Theory, 2005, 21, (01), 116-142 View citations See Also Working Paper (2004)
- Jackknifing Bond Option Prices
Review of Financial Studies, 2005, 18, (2), 707-742 View citations See Also Working Paper (2004)
- Phillips on Fisher's Equation
American Journal of Economics and Sociology, 2005, 64, (1), 125-168
- Prewhitening Bias in HAC Estimation
Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations See Also Working Paper (2004)
- THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005
Econometric Theory, 2005, 22, (01), 169-170 
Also in
Econometric Theory, 2003, 19, (06), 1199-1200 (2003)
2004
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Econometric Theory, 2004, 20, (03), 464-484 View citations
- 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)
- GMM Estimation of Autoregressive Roots Near Unity with Panel Data
Econometrica, 2004, 72, (2), 467-522 View citations See Also Working Paper (2003)
- Gains to Research in the Presence of Intellectual Property Rights and Research Subsidies
Review of Agricultural Economics, 2004, 26, (1), 63-81
- NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES
Econometric Theory, 2004, 20, (04), 643-644
- Nonlinear instrumental variable estimation of an autoregression
Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations See Also Working Paper (2001)
- Nonstationary discrete choice
Journal of Econometrics, 2004, 120, (1), 103-138 View citations See Also Working Paper (2002)
2003
- 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
Econometric Theory, 2003, 19, (04), 692-701
- An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional
Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890
- Dynamic panel estimation and homogeneity testing under cross section dependence *
Econometrics Journal, 2003, 6, (1), 217-259 View citations
- Empirical Limits for Time Series Econometric Models
Econometrica, 2003, 71, (2), 627-673 View citations See Also Working Paper (1999)
- Fully Nonparametric Estimation of Scalar Diffusion Models
Econometrica, 2003, 71, (1), 241-283 View citations See Also Working Paper (2001)
- IN MEMORY OF JOHN DENIS SARGAN
Econometric Theory, 2003, 19, (03), 417-422
- Inference in Arch and Garch Models with Heavy--Tailed Errors
Econometrica, 2003, 71, (1), 285-317 View citations
- Laws and Limits of Econometrics
Economic Journal, 2003, 113, (486), C26-C52 View citations See Also Working Paper (2003)
- Nonlinear log-periodogram regression for perturbed fractional processes
Journal of Econometrics, 2003, 115, (2), 355-389 View citations See Also Working Paper (2002)
- VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
Econometric Theory, 2003, 19, (03), 495-511 View citations See Also Working Paper (2003)
2002
- A CUSUM test for cointegration using regression residuals
Journal of Econometrics, 2002, 108, (1), 43-61 View citations See Also Working Paper (2001)
- Band Spectral Regression with Trending Data
Econometrica, 2002, 70, (3), 1067-1109 View citations See Also Working Paper (1997)
- Higher order approximations for Wald statistics in time series regressions with integrated processes
Journal of Econometrics, 2002, 108, (1), 157-198 View citations
- Jeffreys prior analysis of the simultaneous equations model in
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