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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 Division, University of Southampton, (more information at EDIRC)
School of Economics, Singapore Management University, (more information at EDIRC)

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

Last updated 2017-07-08. Update your information in the RePEc Author Service.

Short-id: pph8


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Working Papers

2017

  1. Bayesian estimation based on summary statistics: Double asymptotics and practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Econometric Measurement of Earth's Transient Climate Sensitivity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. John Denis Sargan at the London School of Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Uniform Inference in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Weak s- Convergence: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2016

  1. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) Downloads
  2. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  3. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) Downloads
  4. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Online Supplement to ¡°Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  7. Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  8. Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  9. Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2016) Downloads
  10. Structural Inference from Reduced Forms with Many Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  11. Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  12. Tribute to T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2017)

2015

  1. Business Cycles, Trend Elimination, and the HP Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  2. Edmond Malinvaud: A Tribute to His Contributions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2015)
  3. Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) Downloads View citations (7)

    See also Journal Article in New Zealand Economic Papers (2016)
  4. Inference in Near Singular Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Minimum Distance Testing and Top Income Shares in Korea
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Pitfalls and Possibilities in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  7. Testing Linearity Using Power Transforms of Regressors
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads

    See also Journal Article in Journal of Econometrics (2015)
  8. Testing Mean Stability of Heteroskedastic Time Series
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) Downloads
  9. We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads

2014

  1. A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2017)
  2. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) Downloads
  3. Dynamic Panel GMM with Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  5. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Working Papers, Singapore Management University, School of Economics (2014) Downloads View citations (3)
  6. Indirect inference in spatial autoregression
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads
  7. Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  8. True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  9. Weak Convergence to Stochastic Integrals for Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2016)

2013

  1. Estimating Smooth Structural Change in Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2017)
  2. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  4. Model Selection in the Presence of Incidental Parameters
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2015)
  5. Nonparametric Predictive Regression
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (2)
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2015)
  6. Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Time Series Analysis (2014)
  7. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics Downloads View citations (18)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (19)

    See also Journal Article in International Economic Review (2015)
  8. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (4)

    See also Journal Article in International Economic Review (2015)
  9. Testing the Martingale Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2014)
  10. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads

    See also Journal Article in Econometric Theory (2016)
  11. Unit Roots in Life -- A Graduate Student Story
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2014)

2012

  1. Automated Estimation of Vector Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Theory (2015)
  2. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2015)
  3. Non-linearity Induced Weak Instrumentation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2014)
  4. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometrica (2014)
  5. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  6. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (2)
    Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
  7. Testing for Multiple Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (16)
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (17)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (12)
  8. VARs with Mixed Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2011

  1. Bias in Estimating Multivariate and Univariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2011)
  2. First Difference MLE and Dynamic Panel Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  3. Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Inconsistent VAR Regression with Common Explosive Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2013)
  5. Meritocracy Voting: Measuring the Unmeasurable
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Reviews (2016)
  6. Semiparametric Estimation in Multivariate Nonstationary Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
  7. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) Downloads View citations (2)
  8. Specification Testing for Nonlinear Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  9. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2012)

2010

  1. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics Downloads
  3. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (3)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (5)

    See also Journal Article in Quantitative Economics (2011)
  4. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics Downloads
  5. Nonlinear Cointegrating Regression under Weak Identification
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2012)
  6. Optimal Estimation under Nonstandard Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2012)
  7. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2011)
  8. Semiparametric Estimation in Simultaneous Equations of Time Series Models
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (1)
  9. Semiparametric Estimation in Time Series of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  10. The Mysteries of Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  11. Tilted Nonparametric Estimation of Volatility Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  12. Two New Zealand Pioneer Econometricians
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in New Zealand Economic Papers (2010)
  13. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2011)
  14. X-Differencing and Dynamic Panel Model Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2014)

2009

  1. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. Bootstrapping I(1) Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2010)
  4. Cointegrating Rank Selection in Models with Time-Varying Variance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)
  5. Dynamic Misspecification in Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2009) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2012)
  6. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Working Papers, Singapore Management University, School of Economics Downloads View citations (9)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2007) Downloads View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (5)

    See also Journal Article in International Economic Review (2011)
  7. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  8. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (1)
    Also in Levine's Bibliography, UCLA Department of Economics (2007) Downloads View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (2)
  9. LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Discussion Paper Series, Institute of Economic Research, Korea University (2009) Downloads

    See also Journal Article in Econometric Theory (2010)
  10. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2012)
  11. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

2008

  1. Local Limit Theory and Spurious Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2009)
  2. Long Memory and Long Run Variation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2009)
  3. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Regression asymptotics using martingale convergence methods
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (9)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) Downloads View citations (8)

    See also Journal Article in Econometric Theory (2008)
  5. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2009)
  6. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads

    See also Journal Article in Review of Financial Studies (2009)
  7. Smoothing Local-to-Moderate Unit Root Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2010)
  8. Structural Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Econometrica (2009)
  9. Unit Root Model Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  10. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2009)

2007

  1. Exact Distribution Theory in Structural Estimation with an Identity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2009)
  2. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometric Theory (2010)
  3. Limit Theory for Explosively Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2008)
  4. Long Run Covariance Matrices for Fractionally Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Theory (2007)
  5. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (2)
  6. Transition Modeling and Econometric Convergence Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (156)
    See also Journal Article in Econometrica (2007)

2006

  1. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2008)
  2. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads
  3. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) Downloads

    See also Journal Article in Journal of Econometrics (2008)
  4. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometric Theory (2009)
  5. Gaussian Inference in AR(1) Time Series with or without a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2008)
  6. Indirect Inference for Dynamic Panel Models
    Development Economics Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  7. Log Periodogram Regression: The Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (14)
  8. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrica (2008)
  9. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2014)
  10. Refined Inference on Long Memory in Realized Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2008)
  11. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2005

  1. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Economics Letters (2006)
  2. A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2006)
  3. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2007)
  4. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  5. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
  6. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics Downloads
  7. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
  8. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics Downloads View citations (5)
  9. Economic Transition and Growth
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2009)
  10. GMM with Many Moment Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (3)

    See also Journal Article in Econometrica (2006)
  11. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  12. Incidental Trends and the Power of Panel Unit Root Tests
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2007)
  13. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  14. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
  15. Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2010)

2004

  1. Automated Discovery in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2005)
  2. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)
    Also in Working Papers, Department of Economics, The University of Auckland (2003) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2007)
  3. Challenges of Trending Time Series Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2005)
  4. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (10)
  5. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (16)
    Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) Downloads View citations (15)
  6. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometrics Journal (2005)
  7. HAC Estimation by Automated Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Econometric Theory (2005)
  8. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (2)
    Also in Working Papers, Department of Economics, The University of Auckland (2002) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (2)

    See also Journal Article in Review of Financial Studies (2005)
  9. Limit Theory for Moderate Deviations from a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2007)
  10. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (2)
  11. Prewhitening Bias in HAC Estimation
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (7)
    Also in Working Papers, Department of Economics, The University of Auckland (2003) Downloads View citations (11)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (11)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  12. 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 Downloads
    See also Journal Article in International Economic Review (2006)
  13. The Elusive Empirical Shadow of Growth Convergence
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (15)
    Working Papers, Department of Economics, The University of Auckland (2003) Downloads View citations (20)
  14. Uniform Limit Theory for Stationary Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Time Series Analysis (2006)

2003

  1. Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  2. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) Downloads View citations (7)

    See also Journal Article in Econometrica (2004)
  3. Laws and Limits of Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (18)
    See also Journal Article in Economic Journal (2003)
  4. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (36)
  5. Vision and Influence in Econometrics: John Denis Sargan
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometric Theory (2003)

2002

  1. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (25)
    Also in Working Papers, Department of Economics, The University of Auckland (2002) Downloads View citations (24)
  2. Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  3. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Time Series Analysis (2004)
  5. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2003)
  6. Nonstationary Discrete Choice
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2004)
  7. The KPSS Test with Seasonal Dummies
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Economics Letters (2002)

2001

  1. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2002)
  2. Bootstrapping Spurious Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Fully Nonparametric Estimation of Scalar Diffusion Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometrica (2003)
  4. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  5. Nonlinear Instrumental Variable Estimation of an Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2004)
  6. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  7. Regression with Slowly Varying Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  8. Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2000

  1. Accelerated Asymptotics for Diffusion Model Estimation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  2. Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand
    Working Papers, Department of Economics, The University of Auckland Downloads
  3. Forecasting New Zealand's Real GDP
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) Downloads View citations (3)

    See also Journal Article in New Zealand Economic Papers (2000)
  4. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  5. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  6. Structural Change in Tail Behavior and the Asian Financial Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  7. THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
    CATRN Papers, Canadian Agri-Food Trade Research Network Downloads
  8. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2001)
  2. Discrete Fourier Transforms of Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (40)
  3. Discrete Fourier Transforms of Fractional Processes August
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (8)
  4. Empirical Limits for Time Series Econometric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Econometrica (2003)
  5. Estimation of Autoregressive Roots Near Unity Using Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (14)
    Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) Downloads View citations (4)

    See also Journal Article in Econometric Theory (2000)
  6. How to Estimate Autoregressive Roots Near Unity
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) Downloads View citations (9)

    See also Journal Article in Econometric Theory (2001)
  7. Linear Regression Limit Theory for Nonstationary Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (467)
    See also Journal Article in Econometrica (1999)
  8. Maximum Likelihood Estimation in Panels with Incidental Trends
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads View citations (15)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) Downloads View citations (15)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
  9. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (23)
    See also Journal Article in Econometrics Journal (2001)
  10. Nonlinear Regressions with Integrated Time Series
    Working Paper Series, Institute of Economic Research, Seoul National University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) Downloads View citations (2)

    See also Journal Article in Econometrica (2001)
  11. Nonstationary Binary Choice
    Working Paper Series, Institute of Economic Research, Seoul National University View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) Downloads

    See also Journal Article in Econometrica (2000)
  12. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (41)
    See also Journal Article in Econometric Reviews (2000)
  13. Unit Root Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (23)
    See also Journal Article in Journal of Econometrics (2007)

1998

  1. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (80)
    See also Journal Article in Journal of Economic Surveys (1998)
  2. Asymptotics for Nonlinear Transformations of Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    See also Journal Article in Econometric Theory (1999)
  3. Econometric Analysis of Fisher's Equation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (28)
  4. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2002)
  6. New Unit Root Asymptotics in the Presence of Deterministic Trends
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2002)
  7. Nonstationary Density Estimation and Kernel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (35)
  8. Rissanen's Theorem and Econometric Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)

1997

  1. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Econometrics Journal (1998)
  2. Band Spectral Regression with Trending Data
    Working Papers, University of Iowa, Department of Economics View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads

    See also Journal Article in Econometrica (2002)
  3. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1999)
  4. Regressions for Partially Identified, Cointegrated Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1996

  1. Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Efficiency Gains from Quasi-Differencing Under Nonstationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (18)
  3. Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of International Money and Finance (1997)
  4. Spurious Regression Unmasked
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)

1995

  1. Automated Forecasts of Asia-Pacific Economic Activity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
  2. Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (1998)
  3. Unit Root Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)

1994

  1. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (1997)
  2. Model Determination and Macroeconomic Activity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Applied Econometrics (1996)

1993

  1. Fully Modified Least Squares and Vector Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)
    See also Journal Article in Econometrica (1995)
  2. Robust Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Econometric Theory (1995)

1992

  1. Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  2. Bayes Models and Forecasts of Australian Macroeconomic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Bayesian Model Selection and Prediction with Empirical Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (1995)
  4. Hyper-Consistent Estimation of a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  5. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (23)
    See also Journal Article in Econometric Theory (1994)
  6. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1994)
  7. 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 (1)
    See also Journal Article in Journal of Empirical Finance (1994)
  8. Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)

1991

  1. A Bayesian Analysis of Trend Determination in Economic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  2. A Reexamination of the Consumption Function Using Frequency Domain Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Empirical Economics (1994)
  3. 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)
  4. Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (16)
    See also Journal Article in Journal of Applied Econometrics (1991)
  5. Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (38)
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (50)

    See also Journal Article in Journal of Econometrics (1992)
  6. The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  7. The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  8. The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  9. Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  10. Unidentified Components in Reduced Rank Regression Estimation of ECM's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  11. Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  12. Vector Autoregression and Causality
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    See also Journal Article in Econometrica (1993)
  13. Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (15)

1990

  1. A Shortcut to LAD Estimator Asymptotics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (1991)
  2. Operational Algebra and Regression t-Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  4. Testing forUnit Root in the Presence of Deterministic Trends
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (4)
  5. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Journal of Applied Econometrics (1991)

1989

  1. A Little Magic with the Cauchy Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. A New Proof of Knight's Theorem on the Cauchy Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (1992)
  4. Asymptotics for Linear Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (74)
  5. Error Correction and Long Run Equilibrium in Continuous Time
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1991)
  6. Estimating Long Run Economic Equilibria
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (37)
    See also Journal Article in Review of Economic Studies (1991)
  7. Optimal Inference in Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1991)
  8. Statistical Inference in Instrumental Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (106)
  9. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  10. Testing for a Unit Root in the Presence of Deterministic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)
  11. The Durbin-Watson Ratio Under Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1991)
  12. Time Series Regression with a Unit Root and Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (1990)

1988

  1. Asymptotic Properties of Residual Based Tests for Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Econometrica (1990)
  2. Estimation and Inference in Models of Cointegration: A Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  3. Partially Identified Econometric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (29)
    See also Journal Article in Econometric Theory (1989)
  4. Reflections on Econometric Methodology
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (24)
    See also Journal Article in The Economic Record (1988)
  5. Spectral Regression for Cointegrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (23)
  6. Testing for a Unit Root in the Presence of a Maintained Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (55)
  7. The Characteristic Function of the Dirichlet and Multivariate F Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1987

  1. Bimodal t-Ratios
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  2. Conditional and Unconditional Statistical Independence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1988)
  3. Multiple Regression with Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
  4. Regression Theory for Near-Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1988)
  5. Spherical Matrix Distributions and Cauchy Quotients
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Statistics & Probability Letters (1989)
  6. Statistical Inference in Regressions with Integrated Processes: Part 1
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (33)
    See also Journal Article in Econometric Theory (1988)
  7. Statistical Inference in Regressions with Integrated Processes: Part 2
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (39)
    See also Journal Article in Econometric Theory (1989)
  8. Testing for Cointegration Using Principal Component Measures
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  9. Testing for a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (433)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (371)

    See also Journal Article in Econometrica (1987)
  10. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Theory (1988)

1986

  1. An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  3. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  4. Does Gnp Have a Unit Root? a Reevaluation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    See also Journal Article in Economics Letters (1987)
  5. On the Formulation of Wald Tests of Nonlinear Restrictions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Econometrica (1988)
  6. Time Series Regression with a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (38)
    See also Journal Article in Econometrica (1987)
  7. Towards a Unified Asymptotic Theory for Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  8. Trends Versus Random Walks in Time Series Analysis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrica (1988)
  9. Weak Convergence to the Matrix Stochastic Integral BdB
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)

1985

  1. Asymptotic Expansions in Nonstationary Vector Autoregressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Econometric Theory (1987)
  2. Fractional Matrix Calculus and the Distribution of Multivariate Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  3. Multiple Time Series Regression with Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article in Review of Economic Studies (1986)
  4. The Distribution of FIML in the Leading Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in International Economic Review (1986)
  5. Understanding Spurious Regressions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (69)
    See also Journal Article in Journal of Econometrics (1986)

1984

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

1983

  1. Finite Sample Econometrics Using ERA's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  2. On University Education in Econometrics: Remarks on an Article by Eric R. Sowey
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. The Exact Distribution of Exogenous Variable Coefficient Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1984)
  4. The Exact Distribution of LIML: II
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1982) Downloads

    See also Journal Article in International Economic Review (1985)
  5. The Exact Distribution of Zellner's SUR
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. The Exact Distribution of the Stein-Rule Estimator
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1984)

1982

  1. ERA's: A New Approach to Small Sample Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1983)
  2. Exact Small Sample Theory in the Simultaneous Equations Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Chapter (1983)
  3. Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  6. The Distribution of Matrix Quotients
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Multivariate Analysis (1985)

1981

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

1980

  1. A Model of Output, Employment, Capital Formation and Inflation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  2. Best Uniform Approximation to Probability Densities in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Characteristic Functions and the Tail Behavior of Probability Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. On a Lemma of Amemiya
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. On the Behavior of Inconsistent Instrumental Variable Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    See also Journal Article in Journal of Econometrics (1982)
  6. On the Consistency of Non-Linear FIML
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1982)
  7. The Characteristic Function of the F Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1979

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

1978

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

Undated

  1. Restricted Likelihood Ratio Tests in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Testing Equality of Covariance Matrices via Pythagorean Means
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

Journal Articles

2017

  1. A multivariate stochastic unit root model with an application to derivative pricing
    Journal of Econometrics, 2017, 196, (1), 99-110 Downloads
    See also Working Paper (2014)
  2. Edmond Malinvaud ? an Economist's Econometrician
    Annals of Economics and Statistics, 2017, (125-126), 135-151 Downloads
  3. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 Downloads
    See also Working Paper (2013)
  4. Lag length selection in panel autoregression
    Econometric Reviews, 2017, 36, (1-3), 225-240 Downloads
  5. TRIBUTE TO T.W. ANDERSON
    Econometric Theory, 2017, 33, (03), 529-533 Downloads
    See also Working Paper (2016)

2016

  1. Asset pricing with financial bubble risk
    Journal of Empirical Finance, 2016, 38, (PB), 590-622 Downloads View citations (4)
  2. Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres
    New Zealand Economic Papers, 2016, 50, (1), 88-113 Downloads
    See also Working Paper (2015)
  3. Meritocracy Voting: Measuring the Unmeasurable
    Econometric Reviews, 2016, 35, (1), 2-40 Downloads View citations (1)
    See also Working Paper (2011)
  4. Modeling speculative bubbles with diverse investor expectations
    Research in Economics, 2016, 70, (3), 375-387 Downloads
  5. NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
    Econometric Theory, 2016, 32, (02), 359-401 Downloads View citations (2)
  6. Robust econometric inference with mixed integrated and mildly explosive regressors
    Journal of Econometrics, 2016, 192, (2), 433-450 Downloads
  7. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (03), 655-685 Downloads View citations (1)
    See also Working Paper (2013)
  8. WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
    Econometric Theory, 2016, 32, (06), 1349-1375 Downloads View citations (2)
    See also Working Paper (2014)

2015

  1. AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2015, 31, (03), 581-646 Downloads View citations (6)
    See also Working Paper (2012)
  2. Edmond Malinvaud: a tribute to his contributions in econometrics
    Econometrics Journal, 2015, 18, (2), A1-A13 Downloads View citations (1)
    See also Working Paper (2015)
  3. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 Downloads View citations (1)
    See also Working Paper (2012)
  4. Limit Theory for VARs with Mixed Roots Near Unity
    Econometric Reviews, 2015, 34, (6-10), 1035-1056 Downloads View citations (1)
  5. MEMORIAL TO EDMOND MALINVAUD
    Econometric Theory, 2015, 31, (03), 423-425 Downloads
  6. Model selection in the presence of incidental parameters
    Journal of Econometrics, 2015, 188, (2), 474-489 Downloads View citations (2)
    See also Working Paper (2013)
  7. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 Downloads View citations (2)
  8. Nonparametric predictive regression
    Journal of Econometrics, 2015, 185, (2), 468-494 Downloads View citations (1)
    See also Working Paper (2013)
  9. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, 1043-1078 Downloads View citations (26)
    See also Working Paper (2013)
  10. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, 1079-1134 Downloads View citations (16)
    See also Working Paper (2013)
  11. Testing linearity using power transforms of regressors
    Journal of Econometrics, 2015, 187, (1), 376-384 Downloads View citations (2)
    See also Working Paper (2015)
  12. The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
    Economics Letters, 2015, 127, (C), 89-92 Downloads View citations (1)

2014

  1. Homage to Halbert White
    Journal of Financial Econometrics, 2014, 12, (4), 618-619 Downloads
  2. NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
    Journal of Time Series Analysis, 2014, 35, (6), 592-623 Downloads View citations (4)
    See also Working Paper (2013)
  3. Nonlinearity Induced Weak Instrumentation
    Econometric Reviews, 2014, 33, (5-6), 676-712 Downloads View citations (3)
    See also Working Paper (2012)
  4. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Econometrica, 2014, 82, (3), 1177-1195 Downloads View citations (5)
    See also Working Paper (2012)
  5. Optimal estimation of cointegrated systems with irrelevant instruments
    Journal of Econometrics, 2014, 178, (P2), 210-224 Downloads View citations (2)
    See also Working Paper (2006)
  6. Point‐optimal panel unit root tests with serially correlated errors
    Econometrics Journal, 2014, 17, (3), 338-372 Downloads View citations (1)
  7. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (01), 1-2 Downloads
  8. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 Downloads View citations (23)
    See also Working Paper (2012)
  9. Testing the Martingale Hypothesis
    Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 Downloads View citations (1)
    See also Working Paper (2013)
  10. UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY
    Econometric Theory, 2014, 30, (04), 719-736 Downloads
    See also Working Paper (2013)
  11. X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
    Econometric Theory, 2014, 30, (01), 201-251 Downloads View citations (5)
    See also Working Paper (2010)

2013

  1. First difference maximum likelihood and dynamic panel estimation
    Journal of Econometrics, 2013, 175, (1), 35-45 Downloads View citations (5)
  2. INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
    Econometric Theory, 2013, 29, (04), 808-837 Downloads View citations (3)
    See also Working Paper (2011)
  3. Predictive regression under various degrees of persistence and robust long-horizon regression
    Journal of Econometrics, 2013, 177, (2), 250-264 Downloads View citations (10)
  4. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 Downloads View citations (12)

2012

  1. Cointegrating rank selection in models with time-varying variance
    Journal of Econometrics, 2012, 169, (2), 155-165 Downloads View citations (4)
    See also Working Paper (2009)
  2. Dynamic misspecification in nonparametric cointegrating regression
    Journal of Econometrics, 2012, 168, (2), 270-284 Downloads View citations (6)
    See also Working Paper (2009)
  3. Folklore Theorems, Implicit Maps, and Indirect Inference
    Econometrica, 2012, 80, (1), 425-454 Downloads View citations (11)
  4. Mean and autocovariance function estimation near the boundary of stationarity
    Journal of Econometrics, 2012, 169, (2), 166-178 Downloads View citations (2)
    See also Working Paper (2009)
  5. NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
    Econometric Theory, 2012, 28, (03), 509-547 Downloads View citations (9)
    See also Working Paper (2010)
  6. Optimal estimation under nonstandard conditions
    Journal of Econometrics, 2012, 169, (2), 258-265 Downloads View citations (7)
    See also Working Paper (2010)
  7. THE 2009–2011 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2012, 28, (04), 933-934 Downloads
  8. THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS
    Econometric Theory, 2012, 28, (01), 207-217 Downloads
  9. Testing for common trends in semi‐parametric panel data models with fixed effects
    Econometrics Journal, 2012, 15, (1), 56-100 Downloads View citations (2)
    See also Working Paper (2011)

2011

  1. ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
    Econometric Theory, 2011, 27, (02), 235-259 Downloads View citations (15)
  2. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 Downloads View citations (3)
    See also Working Paper (2011)
  3. Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
    Econometrics Journal, 2011, 14, 126-129 Downloads
  4. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 Downloads View citations (116)
    See also Working Paper (2010)
  5. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (154)
    See also Working Paper (2009)
  6. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 Downloads View citations (2)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) Downloads View citations (2)

    See also Working Paper (2009)
  7. Non‐parametric regression under location shifts
    Econometrics Journal, 2011, 14, (3), 457-486 Downloads View citations (2)
  8. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (06), 1320-1368 Downloads View citations (5)
    See also Working Paper (2010)
  9. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
    Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 Downloads View citations (5)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 (2011) Downloads View citations (9)
  10. UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
    Econometric Theory, 2011, 27, (06), 1117-1151 Downloads View citations (2)
    See also Working Paper (2010)

2010

  1. Bimodal t-ratios: the impact of thick tails on inference
    Econometrics Journal, 2010, 13, (2), 271-289 Downloads View citations (4)
  2. Bootstrapping I(1) data
    Journal of Econometrics, 2010, 158, (2), 280-284 Downloads View citations (1)
    See also Working Paper (2009)
  3. GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
    Econometric Theory, 2010, 26, (01), 119-151 Downloads View citations (37)
    See also Working Paper (2007)
  4. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (32)
    See also Working Paper (2006)
  5. LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
    Econometric Theory, 2010, 26, (03), 953-962 Downloads View citations (1)
    See also Working Paper (2009)
  6. Smoothing local-to-moderate unit root theory
    Journal of Econometrics, 2010, 158, (2), 274-279 Downloads View citations (6)
    See also Working Paper (2008)
  7. Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 2010, 28, (1), 96-114 Downloads View citations (12)
    See also Working Paper (2005)
  8. Two New Zealand pioneer econometricians
    New Zealand Economic Papers, 2010, 44, (1), 1-26 Downloads View citations (1)
    See also Working Paper (2010)

2009

  1. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
    Journal of Econometrics, 2009, 150, (2), 139-150 Downloads View citations (6)
  2. ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
    Econometric Theory, 2009, 25, (03), 710-738 Downloads View citations (48)
    See also Working Paper (2006)
  3. ECONOMETRIC THEORY AND PRACTICE
    Econometric Theory, 2009, 25, (03), 583-586 Downloads
  4. ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
    Econometric Theory, 2009, 25, (04), 891-900 Downloads
  5. EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
    Econometric Theory, 2009, 25, (04), 958-984 Downloads View citations (2)
    See also Working Paper (2007)
  6. Economic transition and growth
    Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 Downloads View citations (76)
    See also Working Paper (2005)
  7. LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
    Econometric Theory, 2009, 25, (02), 482-526 Downloads View citations (13)
  8. LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
    Econometric Theory, 2009, 25, (06), 1466-1497 Downloads View citations (10)
    See also Working Paper (2008)
  9. Long memory and long run variation
    Journal of Econometrics, 2009, 151, (2), 150-158 Downloads View citations (1)
    See also Working Paper (2008)
  10. OBITUARY
    Econometric Theory, 2009, 25, (05), 1139-1142 Downloads
    Also in Econometric Theory, 1999, 15, (04), 639-641 (1999) Downloads
  11. Semiparametric cointegrating rank selection
    Econometrics Journal, 2009, 12, (s1), S83-S104 Downloads View citations (10)
    See also Working Paper (2008)
  12. Simulation-Based Estimation of Contingent-Claims Prices
    Review of Financial Studies, 2009, 22, (9), 3669-3705 Downloads View citations (13)
    See also Working Paper (2008)
  13. Structural Nonparametric Cointegrating Regression
    Econometrica, 2009, 77, (6), 1901-1948 Downloads View citations (45)
    See also Working Paper (2008)
  14. UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
    Econometric Theory, 2009, 25, (06), 1682-1715 Downloads View citations (23)
    See also Working Paper (2008)

2008

  1. A complete asymptotic series for the autocovariance function of a long memory process
    Journal of Econometrics, 2008, 147, (1), 99-103 Downloads View citations (4)
    See also Working Paper (2006)
  2. Adaptive estimation of autoregressive models with time-varying variances
    Journal of Econometrics, 2008, 142, (1), 265-280 Downloads View citations (22)
    See also Working Paper (2006)
  3. GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
    Econometric Theory, 2008, 24, (03), 631-650 Downloads View citations (7)
    See also Working Paper (2006)
  4. LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
    Econometric Theory, 2008, 24, (04), 865-887 Downloads View citations (12)
    See also Working Paper (2007)
  5. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Econometrica, 2008, 76, (1), 175-194 Downloads View citations (56)
    See also Working Paper (2006)
  6. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
    Econometric Theory, 2008, 24, (04), 888-947 Downloads View citations (11)
    See also Working Paper (2008)
  7. Refined Inference on Long Memory in Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 254-267 Downloads View citations (14)
    See also Working Paper (2006)
  8. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007
    Econometric Theory, 2008, 24, (05), 1461-1462 Downloads

2007

  1. A simple approach to the parametric estimation of potentially nonstationary diffusions
    Journal of Econometrics, 2007, 137, (2), 354-395 Downloads View citations (18)
    See also Working Paper (2005)
  2. Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
    Journal of Econometrics, 2007, 137, (1), 162-188 Downloads View citations (62)
    See also Working Paper (2004)
  3. Incidental trends and the power of panel unit root tests
    Journal of Econometrics, 2007, 141, (2), 416-459 Downloads View citations (34)
    See also Working Paper (2005)
  4. LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
    Econometric Theory, 2007, 23, (06), 1233-1247 Downloads View citations (7)
    See also Working Paper (2007)
  5. Limit theory for moderate deviations from a unit root
    Journal of Econometrics, 2007, 136, (1), 115-130 Downloads View citations (104)
    See also Working Paper (2004)
  6. REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
    Econometric Theory, 2007, 23, (04), 557-614 Downloads View citations (19)
  7. Some empirics on economic growth under heterogeneous technology
    Journal of Macroeconomics, 2007, 29, (3), 455-469 Downloads View citations (14)
  8. The Econometric Theory Awards 2007
    Econometric Theory, 2007, 23, (02), 369-369 Downloads
  9. Transition Modeling and Econometric Convergence Tests
    Econometrica, 2007, 75, (6), 1771-1855 Downloads View citations (155)
    See also Working Paper (2007)
  10. Unit root log periodogram regression
    Journal of Econometrics, 2007, 138, (1), 104-124 Downloads View citations (38)
    See also Working Paper (1999)

2006

  1. A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
    Econometric Theory, 2006, 22, (05), 947-960 Downloads View citations (7)
    See also Working Paper (2005)
  2. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306 Downloads View citations (4)
    See also Working Paper (2005)
  3. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208 Downloads
  4. GMM with Many Moment Conditions
    Econometrica, 2006, 74, (1), 147-192 Downloads View citations (40)
    See also Working Paper (2005)
  5. Inference in Autoregression under Heteroskedasticity
    Journal of Time Series Analysis, 2006, 27, (2), 289-308 Downloads View citations (24)
  6. Local Whittle estimation of fractional integration and some of its variants
    Journal of Econometrics, 2006, 130, (2), 209-233 Downloads View citations (56)
  7. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
    Econometric Theory, 2006, 22, (06), 1179-1190 Downloads View citations (8)
  8. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 Downloads View citations (24)
    See also Working Paper (2004)
  9. THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2006, 22, (04), 763-764 Downloads
  10. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005
    Econometric Theory, 2006, 22, (01), 169-170 Downloads
  11. The Econometric Theory Awards 2006
    Econometric Theory, 2006, 22, (02), 345-345 Downloads
  12. Uniform Limit Theory for Stationary Autoregression
    Journal of Time Series Analysis, 2006, 27, (1), 51-60 Downloads View citations (30)
    See also Working Paper (2004)

2005

  1. AUTOMATED DISCOVERY IN ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 3-20 Downloads View citations (7)
    See also Working Paper (2004)
  2. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
    Econometric Theory, 2005, 21, (01), 1-2 Downloads View citations (1)
  3. Albert Rex Bergstrom 1925-2005
    New Zealand Economic Papers, 2005, 39, (2), 129-152 Downloads View citations (1)
  4. Challenges of trending time series econometrics
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 401-416 Downloads View citations (21)
    See also Working Paper (2004)
  5. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
    Econometrics Journal, 2005, 8, (3), 367-379 Downloads View citations (2)
    See also Working Paper (2004)
  6. HAC ESTIMATION BY AUTOMATED REGRESSION
    Econometric Theory, 2005, 21, (01), 116-142 Downloads View citations (23)
    See also Working Paper (2004)
  7. Jackknifing Bond Option Prices
    Review of Financial Studies, 2005, 18, (2), 707-742 Downloads View citations (49)
    See also Working Paper (2004)
  8. Phillips on Fisher's Equation
    American Journal of Economics and Sociology, 2005, 64, (1), 125-168 Downloads
  9. Prewhitening Bias in HAC Estimation
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 Downloads View citations (111)
    See also Working Paper (2004)
  10. The Econometric Theory Awards 2005
    Econometric Theory, 2005, 21, (02), 489-489 Downloads

2004

  1. EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
    Econometric Theory, 2004, 20, (03), 464-484 Downloads View citations (8)
  2. Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
    Journal of Time Series Analysis, 2004, 25, (5), 733-753 Downloads View citations (3)
    See also Working Paper (2002)
  3. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Econometrica, 2004, 72, (2), 467-522 Downloads View citations (12)
    See also Working Paper (2003)
  4. NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES
    Econometric Theory, 2004, 20, (04), 643-644 Downloads
  5. Nonlinear instrumental variable estimation of an autoregression
    Journal of Econometrics, 2004, 118, (1-2), 219-246 Downloads View citations (17)
    See also Working Paper (2001)
  6. Nonstationary discrete choice
    Journal of Econometrics, 2004, 120, (1), 103-138 Downloads View citations (24)
    See also Working Paper (2002)
  7. The Econometric Theory Awards 2004
    Econometric Theory, 2004, 20, (03), 641-641 Downloads

2003

  1. 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
    Econometric Theory, 2003, 19, (04), 692-701 Downloads View citations (1)
  2. An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890 Downloads View citations (1)
  3. Dynamic panel estimation and homogeneity testing under cross section dependence &ast
    Econometrics Journal, 2003, 6, (1), 217-259 Downloads View citations (241)
  4. Empirical Limits for Time Series Econometric Models
    Econometrica, 2003, 71, (2), 627-673 Downloads View citations (15)
    See also Working Paper (1999)
  5. Fully Nonparametric Estimation of Scalar Diffusion Models
    Econometrica, 2003, 71, (1), 241-283 Downloads View citations (81)
    See also Working Paper (2001)
  6. IN MEMORY OF JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (03), 417-422 Downloads View citations (1)
  7. Inference in Arch and Garch Models with Heavy--Tailed Errors
    Econometrica, 2003, 71, (1), 285-317 Downloads View citations (69)
  8. Laws and Limits of Econometrics
    Economic Journal, 2003, 113, (486), C26-C52 Downloads View citations (18)
    See also Working Paper (2003)
  9. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 Downloads View citations (50)
    See also Working Paper (2002)
  10. THE 2000 2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2003, 19, (06), 1201-1202 Downloads
  11. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2003
    Econometric Theory, 2003, 19, (06), 1199-1200 Downloads
  12. VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (03), 495-511 Downloads View citations (3)
    See also Working Paper (2003)

2002

  1. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 Downloads View citations (22)
    See also Working Paper (2001)
  2. Band Spectral Regression with Trending Data
    Econometrica, 2002, 70, (3), 1067-1109 Downloads View citations (42)
    See also Working Paper (1997)
  3. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 Downloads View citations (5)
  4. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
    Journal of Econometrics, 2002, 111, (2), 251-283 Downloads View citations (5)
    See also Working Paper (1998)
  5. New unit root asymptotics in the presence of deterministic trends
    Journal of Econometrics, 2002, 111, (2), 323-353 Downloads View citations (10)
    See also Working Paper (1998)
  6. The 2002 Econometric Theory Awards
    Econometric Theory, 2002, 18, (01), 195-195 Downloads
  7. The KPSS test with seasonal dummies
    Economics Letters, 2002, 77, (2), 239-243 Downloads View citations (5)
    See also Working Paper (2002)

2001

  1. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations (11)
  2. Descriptive econometrics for non-stationary time series with empirical illustrations
    Journal of Applied Econometrics, 2001, 16, (3), 389-413 Downloads View citations (9)
    See also Working Paper (1999)
  3. ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS
    Econometric Theory, 2001, 17, (06), 1161-1163 Downloads
  4. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
    Econometric Theory, 2001, 17, (01), 29-69 Downloads View citations (15)
    See also Working Paper (1999)
  5. Nonlinear Regressions with Integrated Time Series
    Econometrica, 2001, 69, (1), 117-61 View citations (150)
    See also Working Paper (1999)
  6. Nonlinear econometric models with cointegrated and deterministically trending regressors
    Econometrics Journal, 2001, 4, (1), 1-36 View citations (36)
    See also Working Paper (1999)
  7. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
    Journal of Applied Econometrics, 2001, 16, (6), 671-708 Downloads View citations (96)
  8. Structural Change Tests in Tail Behaviour and the Asian Crisis
    Review of Economic Studies, 2001, 68, (3), 633-663 Downloads View citations (37)
  9. Trending time series and macroeconomic activity: Some present and future challenges
    Journal of Econometrics, 2001, 100, (1), 21-27 Downloads View citations (17)
    See also Working Paper (2000)

2000

  1. ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
    Econometric Theory, 2000, 16, (06), 927-997 Downloads View citations (23)
    See also Working Paper (1999)
  2. Forecasting New Zealand's real GDP
    New Zealand Economic Papers, 2000, 34, (2), 159-181 Downloads
    See also Working Paper (2000)
  3. MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG)
    Econometric Theory, 2000, 16, (02), 283-285 Downloads
  4. Nonstationary Binary Choice
    Econometrica, 2000, 68, (5), 1249-1280 View citations (49)
    See also Working Paper (1999)
  5. Nonstationary panel data analysis: an overview of some recent developments
    Econometric Reviews, 2000, 19, (3), 263-286 Downloads View citations (98)
    See also Working Paper (1999)

1999

  1. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 1999, 15, (03), 269-298 Downloads View citations (135)
    See also Working Paper (1998)
  2. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
    Econometric Theory, 1999, 15, (04), 519-548 Downloads View citations (13)
  3. Linear Regression Limit Theory for Nonstationary Panel Data
    Econometrica, 1999, 67, (5), 1057-1112 View citations (459)
    See also Working Paper (1999)
  4. Maximum Likelihood Estimation in Panels with Incidental Trends
    Oxford Bulletin of Economics and Statistics, 1999, 61, 711-47 Downloads View citations (18)
    See also Working Paper (1999)
  5. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    Journal of Econometrics, 1999, 91, (2), 227-271 Downloads View citations (50)
    See also Working Paper (1997)

1998

  1. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-470 Downloads View citations (28)
    Also in Journal of Economic Surveys, 1998, 12, (5), 423-69 (1998) Downloads View citations (93)

    See also Working Paper (1998)
  2. 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 (10)
    See also Working Paper (1997)
  3. EDITOR'S TRIBUTE
    Econometric Theory, 1998, 14, (02), 293-294 Downloads
  4. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 Downloads View citations (14)
  5. Impulse response and forecast error variance asymptotics in nonstationary VARs
    Journal of Econometrics, 1998, 83, (1-2), 21-56 Downloads View citations (102)
    See also Working Paper (1995)
  6. New Tools for Understanding Spurious Regressions
    Econometrica, 1998, 66, (6), 1299-1326 View citations (55)
  7. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
    Journal of Econometrics, 1998, 87, (1), 49-86 Downloads View citations (25)
  8. THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994 1996
    Econometric Theory, 1998, 14, (06), 699-699 Downloads

1997

  1. Forward exchange market unbiasedness: the case of the Australian dollar since 1984
    Journal of International Money and Finance, 1997, 16, (6), 885-907 Downloads View citations (12)
    See also Working Paper (1996)
  2. Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
    Journal of Econometrics, 1997, 80, (1), 85-123 Downloads View citations (25)
    See also Working Paper (1994)
  3. New Heraldry for ET
    Econometric Theory, 1997, 13, (06), 769-769 Downloads
  4. The A.R. Bergstrom Prize in Econometrics, 1996
    Econometric Theory, 1997, 13, (02), 148-148 Downloads
  5. The Econometric Theory Awards
    Econometric Theory, 1997, 13, (02), 145-147 Downloads

1996

  1. An Asymptotic Theory of Bayesian Inference for Time Series
    Econometrica, 1996, 64, (2), 381-412 Downloads View citations (68)
  2. Econometric Model Determination
    Econometrica, 1996, 64, (4), 763-812 Downloads View citations (64)
  3. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
    Journal of Applied Econometrics, 1996, 11, (1), 1-22 Downloads View citations (13)
    See also Working Paper (1994)

1995

  1. Bayesian model selection and prediction with empirical applications
    Journal of Econometrics, 1995, 69, (1), 289-331 Downloads View citations (19)
    See also Working Paper (1992)
  2. Bayesian prediction a response
    Journal of Econometrics, 1995, 69, (1), 351-365 Downloads View citations (4)
  3. Efficient IV Estimation in Nonstationary Regression
    Econometric Theory, 1995, 11, (05), 1095-1130 Downloads View citations (7)
  4. Fully Modified Least Squares and Vector Autoregression
    Econometrica, 1995, 63, (5), 1023-78 Downloads View citations (140)
    See also Working Paper (1993)
  5. Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure
    Econometric Theory, 1995, 11, (03), 666-668 Downloads
    Also in Econometric Theory, 1993, 9, (04), 689-690 (1993) Downloads
  6. Reduced Rank Regression Asymptotics in Multivariate Regression – Solution
    Econometric Theory, 1995, 11, (03), 661-666 Downloads
  7. Robust Nonstationary Regression
    Econometric Theory, 1995, 11, (05), 912-951 Downloads View citations (17)
    See also Working Paper (1993)
  8. Spurious Regression in Forecast-Encompassing Tests
    Econometric Theory, 1995, 11, (05), 1188-1190 Downloads
    Also in Econometric Theory, 1994, 10, (3-4), 818-819 (1994) Downloads View citations (1)
  9. Time Series Regression with Mixtures of Integrated Processes
    Econometric Theory, 1995, 11, (05), 1033-1094 Downloads View citations (5)
  10. Trending Multiple Time Series: Editor's Introduction
    Econometric Theory, 1995, 11, (05), 811-817 Downloads

1994

  1. A Reexamination of the Consumption Function Using Frequency Domain Regressions
    Empirical Economics, 1994, 19, (4), 595-609 View citations (15)
    See also Working Paper (1991)
    Working Paper (1991)
  2. Bayes Methods and Unit Roots
    Econometric Theory, 1994, 10, (3-4), 453-460 Downloads View citations (1)
  3. Fully Modified Least Squares in I(2) Regression
    Econometric Theory, 1994, 10, (05), 967-967 Downloads View citations (1)
  4. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
    Econometric Theory, 1994, 10, (3-4), 774-808 Downloads View citations (40)
    See also Working Paper (1992)
  5. Reflections on the Day
    Journal of Economic Surveys, 1994, 8, (3), 311-16
  6. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
    Econometrica, 1994, 62, (1), 73-93 Downloads View citations (49)
    See also Working Paper (1992)
  7. Some Exponential Martingales
    Econometric Theory, 1994, 10, (3-4), 819-819 Downloads
  8. Spurious Regression and Generalized Least Squares
    Econometric Theory, 1994, 10, (05), 967-968 Downloads View citations (7)
  9. 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 Downloads View citations (107)
    See also Working Paper (1992)
  10. Unit Root Testing with Intermittent Data
    Econometric Theory, 1994, 10, (3-4), 817-818 Downloads

1993

  1. Efficiency of Maximum Likelihood
    Econometric Theory, 1993, 9, (03), 534-536 Downloads
    Also in Econometric Theory, 1992, 8, (03), 427-427 (1992) Downloads
  2. Limit Theory in Cointegrated Vector Autoregressions
    Econometric Theory, 1993, 9, (01), 150-153 Downloads View citations (4)
  3. Parameter Constancy in Cointegrating Regressions
    Empirical Economics, 1993, 18, (4), 675-706 View citations (45)
  4. Simultaneous Equations Bias in Level VAR Estimation
    Econometric Theory, 1993, 9, (02), 326-328 Downloads
    Also in Econometric Theory, 1992, 8, (02), 307-307 (1992) Downloads
  5. Testing for a unit root by frequency domain regression
    Journal of Econometrics, 1993, 59, (3), 263-286 Downloads View citations (5)
  6. The spurious effect of unit roots on vector autoregressions: An analytical study
    Journal of Econometrics, 1993, 59, (3), 229-255 Downloads View citations (23)
  7. Vector Autoregressions and Causality
    Econometrica, 1993, 61, (6), 1367-93 Downloads View citations (271)
    See also Working Paper (1991)

1992

  1. 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 Downloads View citations (55)
    See also Working Paper (1989)
  2. Generalized Inverses of Partitioned Matrices
    Econometric Theory, 1992, 8, (03), 426-427 Downloads
  3. Geometry of the Equivalence of OLS and GLS in the Linear Model
    Econometric Theory, 1992, 8, (01), 158-159 Downloads View citations (2)
  4. 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 (282)
  5. Partitioned Regression with Rank-Deficient Regressions
    Econometric Theory, 1992, 8, (02), 307-309 Downloads
  6. Testing for Stationarity in the Components Representation of a Time Series
    Econometric Theory, 1992, 8, (04), 586-591 Downloads View citations (4)
    Also in Econometric Theory, 1991, 7, (04), 543-544 (1991) Downloads View citations (1)
  7. 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 Downloads View citations (2646)
    See also Working Paper (1991)

1991

  1. A Shortcut to LAD Estimator Asymptotics
    Econometric Theory, 1991, 7, (04), 450-463 Downloads View citations (26)
    See also Working Paper (1990)
  2. Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
    Journal of Applied Econometrics, 1991, 6, (4), 435-73 Downloads View citations (20)
    See also Working Paper (1991)
  3. Error Correction and Long-Run Equilibrium in Continuous Time
    Econometrica, 1991, 59, (4), 967-80 Downloads View citations (45)
    See also Working Paper (1989)
  4. Estimating Long-run Economic Equilibria
    Review of Economic Studies, 1991, 58, (3), 407-436 Downloads View citations (256)
    See also Working Paper (1989)
  5. Estimation and Testing in Linear Models with Singular Covariance Matrices
    Econometric Theory, 1991, 7, (01), 153-162 Downloads
    Also in Econometric Theory, 1989, 5, (03), 455-455 (1989) Downloads
  6. Optimal Inference in Cointegrated Systems
    Econometrica, 1991, 59, (2), 283-306 Downloads View citations (362)
    See also Working Paper (1989)
  7. Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case
    Econometric Theory, 1991, 7, (04), 549-558 Downloads
    Also in Econometric Theory, 1990, 6, (03), 407-408 (1990) Downloads View citations (1)
  8. The Durbin-Watson ratio under infinite-variance errors
    Journal of Econometrics, 1991, 47, (1), 85-114 Downloads View citations (6)
    See also Working Paper (1989)
  9. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
    Journal of Applied Econometrics, 1991, 6, (4), 333-64 Downloads View citations (102)
    See also Working Paper (1990)

1990

  1. Asymptotic Properties of Residual Based Tests for Cointegration
    Econometrica, 1990, 58, (1), 165-93 Downloads View citations (629)
    See also Working Paper (1988)
  2. Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics
    Econometric Theory, 1990, 6, (02), 286-286 Downloads
  3. Optimal Structural Estimation of Triangular Systems: I. The Stationary Case
    Econometric Theory, 1990, 6, (02), 285-286 Downloads View citations (1)
  4. Statistical Inference in Instrumental Variables Regression with I(1) Processes
    Review of Economic Studies, 1990, 57, (1), 99-125 Downloads View citations (894)
  5. Testing Causality in an Autoregression with Cointegrated Regressors
    Econometric Theory, 1990, 6, (04), 489-489 Downloads
  6. The Geometry of the Equivalence of OLS and GLS in the Linear Model
    Econometric Theory, 1990, 6, (04), 489-490 Downloads
  7. The Tjalling C. Koopmans Econometric Theory Prize
    Econometric Theory, 1990, 6, (02), i-i Downloads
  8. Time Series Regression With a Unit Root and Infinite-Variance Errors
    Econometric Theory, 1990, 6, (01), 44-62 Downloads View citations (21)
    See also Working Paper (1989)

1989

  1. Partially Identified Econometric Models
    Econometric Theory, 1989, 5, (02), 181-240 Downloads View citations (112)
    See also Working Paper (1988)
  2. Spherical matrix distributions and cauchy quotients
    Statistics & Probability Letters, 1989, 8, (1), 51-53 Downloads View citations (3)
    See also Working Paper (1987)
  3. Statistical Inference in Regressions with Integrated Processes: Part 2
    Econometric Theory, 1989, 5, (01), 95-131 Downloads View citations (114)
    See also Working Paper (1987)
  4. Structural Estimation under Partial Identification
    Econometric Theory, 1989, 5, (02), 321-324 Downloads
    Also in Econometric Theory, 1988, 4, (01), 172-173 (1988) Downloads
  5. The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate
    Econometric Theory, 1989, 5, (03), 455-456 Downloads

1988

  1. Asymptotic Properties of OLS and GLS
    Econometric Theory, 1988, 4, (01), 171-172 Downloads
  2. Conditional and unconditional statistical independence
    Journal of Econometrics, 1988, 38, (3), 341-348 Downloads View citations (5)
    See also Working Paper (1987)
  3. On the Formulation of Wald Tests of Nonlinear Restrictions
    Econometrica, 1988, 56, (5), 1065-83 Downloads View citations (40)
    See also Working Paper (1986)
  4. Reflections on Econometric Methodology
    The Economic Record, 1988, 64, (187), 344-59 View citations (28)
    See also Working Paper (1988)
  5. Regression Theory for Near-Integrated Time Series
    Econometrica, 1988, 56, (5), 1021-43 Downloads View citations (81)
    See also Working Paper (1987)
  6. Statistical Inference in Regressions with Integrated Processes: Part 1
    Econometric Theory, 1988, 4, (03), 468-497 Downloads View citations (145)
    See also Working Paper (1987)
  7. Testing for cointegration using principal components methods
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 Downloads View citations (50)
  8. The ET Interview: Professor James Durbin
    Econometric Theory, 1988, 4, (01), 125-157 Downloads View citations (3)
  9. The Et Interview: Professor Albert Rex Bergstrom
    Econometric Theory, 1988, 4, (02), 301-327 Downloads View citations (1)
  10. Trends versus Random Walks in Time Series Analysis
    Econometrica, 1988, 56, (6), 1333-54 Downloads View citations (69)
    See also Working Paper (1986)
  11. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations
    Econometric Theory, 1988, 4, (03), 528-533 Downloads View citations (24)
    See also Working Paper (1987)
  12. Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
    Journal of Multivariate Analysis, 1988, 24, (2), 252-264 Downloads View citations (1)
  13. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
    Econometric Theory, 1988, 4, (01), 1-34 Downloads View citations (6)

1987

  1. An everywhere convergent series representation of the distribution of Hotelling's generalized T02
    Journal of Multivariate Analysis, 1987, 21, (2), 238-249 Downloads
  2. Asymptotic Expansions in Nonstationary Vector Autoregressions
    Econometric Theory, 1987, 3, (01), 45-68 Downloads View citations (8)
    See also Working Paper (1985)
  3. Does GNP have a unit root?: A re-evaluation
    Economics Letters, 1987, 23, (2), 139-145 Downloads View citations (34)
    See also Working Paper (1986)
  4. Editorial
    Econometric Theory, 1987, 3, (02), 169-169 Downloads
  5. The Distribution of LIML in the Leading Case – Solution
    Econometric Theory, 1987, 3, (03), 469-470 Downloads
  6. Time Series Regression with a Unit Root
    Econometrica, 1987, 55, (2), 277-301 Downloads View citations (796)
    See also Working Paper (1986)
    Working Paper (1987)

1986

  1. An Integral Over a Matrix Space
    Econometric Theory, 1986, 2, (03), 446-447 Downloads
  2. Distribution of F-Ratio
    Econometric Theory, 1986, 2, (03), 449-452 Downloads
  3. Multiple Time Series Regression with Integrated Processes
    Review of Economic Studies, 1986, 53, (4), 473-495 Downloads View citations (241)
    See also Working Paper (1985)
  4. Proffessor T.W. Anderson
    Econometric Theory, 1986, 2, (02), 249-288 Downloads View citations (1)
  5. The Distribution of FIML in the Leading Case
    International Economic Review, 1986, 27, (1), 239-43 Downloads View citations (3)
    See also Working Paper (1985)
  6. The Exact Distribution of the Wald Statistic
    Econometrica, 1986, 54, (4), 881-95 Downloads View citations (6)
    See also Working Paper (1984)
  7. Understanding spurious regressions in econometrics
    Journal of Econometrics, 1986, 33, (3), 311-340 Downloads View citations (511)
    See also Working Paper (1985)

1985

  1. 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 Downloads View citations (1)
  2. Editorial
    Econometric Theory, 1985, 1, (01), 1-5 Downloads
  3. Editorial Note
    Econometric Theory, 1985, 1, (01), 141-142 Downloads
  4. Professor J. D. Sargan
    Econometric Theory, 1985, 1, (01), 119-139 Downloads View citations (6)
  5. The Exact Distribution of LIML: II
    International Economic Review, 1985, 26, (1), 21-36 Downloads View citations (18)
    Also in International Economic Review, 1984, 25, (1), 249-61 (1984) Downloads View citations (20)

    See also Working Paper (1983)
  6. The Exact Distribution of the SUR Estimator
    Econometrica, 1985, 53, (4), 745-56 Downloads View citations (5)
  7. The distribution of matrix quotients
    Journal of Multivariate Analysis, 1985, 16, (1), 157-161 Downloads View citations (2)
    See also Working Paper (1982)

1984

  1. The exact distribution of exogenous variable coefficient estimators
    Journal of Econometrics, 1984, 26, (3), 387-398 Downloads View citations (5)
    See also Working Paper (1983)
  2. The exact distribution of the Stein-rule estimator
    Journal of Econometrics, 1984, 25, (1-2), 123-131 Downloads View citations (6)
    See also Working Paper (1983)

1983

  1. ERAs: A New Approach to Small Sample Theory
    Econometrica, 1983, 51, (5), 1505-25 Downloads View citations (12)
    See also Working Paper (1982)

1982

  1. A simple proof of the latent root sensitivity formula
    Economics Letters, 1982, 9, (1), 57-59 Downloads
  2. On the Consistency of Nonlinear FIML
    Econometrica, 1982, 50, (5), 1307-24 Downloads View citations (5)
    See also Working Paper (1980)
  3. On the behavior of inconsistent instrumental variable estimators
    Journal of Econometrics, 1982, 19, (2-3), 183-201 Downloads View citations (14)
    See also Working Paper (1980)

1980

  1. Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
    Review of Economic Studies, 1980, 47, (1), 183-224 Downloads View citations (12)
  2. The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
    Econometrica, 1980, 48, (4), 861-78 Downloads View citations (17)

1979

  1. A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
    Econometrica, 1979, 47, (6), 1527-47 Downloads View citations (3)
  2. The concentration ellipsoid of a random vector
    Journal of Econometrics, 1979, 11, (2-3), 363-365 Downloads
  3. The sampling distribution of forecasts from a first-order autoregression
    Journal of Econometrics, 1979, 9, (3), 241-261 Downloads View citations (14)

1977

  1. 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 Downloads View citations (22)
  2. A large deviation limit theorem for multivariate distributions
    Journal of Multivariate Analysis, 1977, 7, (1), 50-62 Downloads
  3. An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
    Journal of Econometrics, 1977, 6, (2), 147-164 Downloads View citations (4)
  4. Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
    Econometrica, 1977, 45, (2), 463-85 Downloads View citations (40)

1976

  1. The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
    Econometrica, 1976, 44, (3), 449-60 Downloads View citations (2)

1974

  1. The Estimation of Some Continuous Time Models
    Econometrica, 1974, 42, (5), 803-23 Downloads View citations (15)

1973

  1. The problem of identification in finite parameter continuous time models
    Journal of Econometrics, 1973, 1, (4), 351-362 Downloads View citations (32)

1972

  1. The Structural Estimation of a Stochastic Differential Equation System
    Econometrica, 1972, 40, (6), 1021-41 Downloads View citations (22)

Chapters

1983

  1. Exact small sample theory in the simultaneous equations model
    Chapter 08 in Handbook of Econometrics, 1983, vol. 1, pp 449-516 Downloads View citations (27)
    See also Working Paper (1982)

Software Items

 
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