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 2018-08-19. Update your information in the RePEc Author Service.

Short-id: pph8

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Working Papers

2018

1. The Heterogeneous Effects of the Minimum Wage on Employment Across States
   Economics and Statistics Working Papers, Singapore Management University, School of Economics

2017

2. Bayesian estimation based on summary statistics: Double asymptotics and practice
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
3. Econometric Measurement of Earth's Transient Climate Sensitivity
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017)
4. John Denis Sargan at the London School of Economics
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
5. Kernel-based inference in time-varying coefficient models with multiple integrated regressors
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
6. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
   Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
7. Uniform Inference in Panel Autoregression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
8. Weak s- Convergence: Theory and Applications
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

2016

9. "Change Detection and the Causal Impact of the Yield Curve
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
   Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (1)
10. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
11. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (1)
12. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
13. IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
14. Online Supplement to ¡°Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute
15. Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Working papers, Yonsei University, Yonsei Economics Research Institute
    See also Journal Article in Journal of Business & Economic Statistics (2018)
16. Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
    Working papers, Yonsei University, Yonsei Economics Research Institute
    See also Journal Article in Journal of Econometrics (2018)
17. Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2016)
    See also Journal Article in Journal of Applied Econometrics (2018)
18. Structural Inference from Reduced Forms with Many Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2017)
19. 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
20. Tribute to T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2017)

2015

21. Business Cycles, Trend Elimination, and the HP Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
22. Edmond Malinvaud: A Tribute to His Contributions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in Econometrics Journal (2015)
23. Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres
    Working Papers, Department of Economics, The University of Auckland View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) View citations (10)
    See also Journal Article in New Zealand Economic Papers (2016)
24. Inference in Near Singular Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Chapter (2016)
25. Minimum Distance Testing and Top Income Shares in Korea
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
26. Pitfalls and Possibilities in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
27. Testing Linearity Using Power Transforms of Regressors
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013)
    See also Journal Article in Journal of Econometrics (2015)
28. Testing Mean Stability of Heteroskedastic Time Series
    Working Papers, Queen Mary University of London, School of Economics and Finance
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015)
29. We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)

2014

30. A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2017)
31. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Working Papers, Singapore Management University, School of Economics (2014)
32. Dynamic Panel GMM with Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
33. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
34. Identifying Latent Structures in Panel Data
    Working Papers, Singapore Management University, School of Economics View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (6)
    See also Journal Article in Econometrica (2016)
35. Indirect inference in spatial autoregression
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations (4)
    See also Journal Article in Econometrics Journal (2017)
36. Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article in Journal of Econometrics (2018)
37. True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
38. Weak Convergence to Stochastic Integrals for Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2016)

2013

39. Estimating Smooth Structural Change in Cointegration Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) View citations (3)
    See also Journal Article in Journal of Econometrics (2017)
40. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
41. Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
42. Model Selection in the Presence of Incidental Parameters
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (1)
    See also Journal Article in Journal of Econometrics (2015)
43. Nonparametric Predictive Regression
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (3)
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) View citations (3)
    See also Journal Article in Journal of Econometrics (2015)
44. Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Time Series Analysis (2014)
45. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics View citations (32)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (29)
    See also Journal Article in International Economic Review (2015)
46. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (4)
    See also Journal Article in International Economic Review (2015)
47. Testing the Martingale Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Business & Economic Statistics (2014)
48. 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
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013)
    See also Journal Article in Econometric Theory (2016)
49. Unit Roots in Life -- A Graduate Student Story
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2014)

2012

50. Automated Estimation of Vector Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article in Econometric Theory (2015)
51. 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
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (1)
    See also Journal Article in Econometric Reviews (2015)
52. Non-linearity Induced Weak Instrumentation
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (1)
    See also Journal Article in Econometric Reviews (2014)
53. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article in Econometrica (2014)
54. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
55. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Working Papers, Singapore Management University, School of Economics (2011) View citations (2)
    Working Papers, Singapore Management University, School of Economics (2012) View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
56. Testing for Multiple Bubbles
    Working Papers, Singapore Management University, School of Economics View citations (21)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (18)
    Working Papers, Singapore Management University, School of Economics (2011) View citations (22)
57. VARs with Mixed Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2011

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

2010

67. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics
68. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics
69. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2009) View citations (6)
    Working Papers, Singapore Management University, School of Economics (2009) View citations (4)
    See also Journal Article in Quantitative Economics (2011)
70. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics
71. Nonlinear Cointegrating Regression under Weak Identification
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2012)
72. Optimal Estimation under Nonstandard Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2012)
73. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2011)
74. Semiparametric Estimation in Simultaneous Equations of Time Series Models
    School of Economics Working Papers, University of Adelaide, School of Economics View citations (1)
75. Semiparametric Estimation in Time Series of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
76. The Mysteries of Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
77. Tilted Nonparametric Estimation of Volatility Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
78. Two New Zealand Pioneer Econometricians
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in New Zealand Economic Papers (2010)
79. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in Econometric Theory (2011)
80. X-Differencing and Dynamic Panel Model Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in Econometric Theory (2014)

2009

81. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
82. Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
83. Bootstrapping I(1) Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2010)
84. Cointegrating Rank Selection in Models with Time-Varying Variance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article in Journal of Econometrics (2012)
85. Dynamic Misspecification in Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2009) View citations (4)
    See also Journal Article in Journal of Econometrics (2012)
86. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    Also in Working Papers, Singapore Management University, School of Economics (2009) View citations (9)
    Working Papers, Hong Kong Institute for Monetary Research (2007) View citations (2)
    See also Journal Article in International Economic Review (2011)
87. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    Also in Discussion Paper Series, Institute of Economic Research, Korea University (2009)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
88. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (2)
    Levine's Bibliography, UCLA Department of Economics (2007) View citations (2)
89. LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
    Discussion Paper Series, Institute of Economic Research, Korea University
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009)
    See also Journal Article in Econometric Theory (2010)
90. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2012)
91. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

2008

92. Local Limit Theory and Spurious Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Econometric Theory (2009)
93. Long Memory and Long Run Variation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2009)
94. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
95. Regression asymptotics using martingale convergence methods
    Scholarly Articles, Harvard University Department of Economics View citations (15)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) View citations (9)
    See also Journal Article in Econometric Theory (2008)
96. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    See also Journal Article in Econometrics Journal (2009)
97. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007)
    See also Journal Article in Review of Financial Studies (2009)
98. Smoothing Local-to-Moderate Unit Root Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article in Journal of Econometrics (2010)
99. Structural Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
    See also Journal Article in Econometrica (2009)
100. Unit Root Model Selection
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
101. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Econometric Theory (2009)

2007

102. Exact Distribution Theory in Structural Estimation with an Identity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometric Theory (2009)
103. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Econometric Theory (2010)
104. Limit Theory for Explosively Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Econometric Theory (2008)
105. Long Run Covariance Matrices for Fractionally Integrated Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Econometric Theory (2007)
106. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (2)
107. Transition Modeling and Econometric Convergence Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (217)
     See also Journal Article in Econometrica (2007)

2006

108. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Journal of Econometrics (2008)
109. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
     Macroeconomics Working Papers, East Asian Bureau of Economic Research
110. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006)
     See also Journal Article in Journal of Econometrics (2008)
111. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Econometric Theory (2009)
112. 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
     See also Journal Article in Econometric Theory (2008)
113. Indirect Inference for Dynamic Panel Models
     Development Economics Working Papers, East Asian Bureau of Economic Research View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) View citations (1)
     See also Journal Article in Journal of Econometrics (2010)
114. Log Periodogram Regression: The Nonstationary Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
115. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Econometrica (2008)
116. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Journal of Econometrics (2014)
117. Refined Inference on Long Memory in Realized Volatility
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Econometric Reviews (2008)
118. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2005

119. A New Approach to Robust Inference in Cointegration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Economics Letters (2006)
120. A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Econometric Theory (2006)
121. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article in Journal of Econometrics (2007)
122. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
123. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
     Finance Working Papers, East Asian Bureau of Economic Research
124. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
     Working Papers, Singapore Management University, School of Economics
125. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
     Finance Working Papers, East Asian Bureau of Economic Research View citations (3)
126. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
     Working Papers, Singapore Management University, School of Economics View citations (6)
127. Economic Transition and Growth
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Journal of Applied Econometrics (2009)
128. GMM with Many Moment Conditions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (3)
     See also Journal Article in Econometrica (2006)
129. Improved HAR Inference
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
130. Incidental Trends and the Power of Panel Unit Root Tests
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
     Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (2)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (13)
     See also Journal Article in Journal of Econometrics (2007)
131. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
132. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
     University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
133. Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article in Journal of Business & Economic Statistics (2010)

2004

134. Automated Discovery in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Econometric Theory (2005)
135. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     Also in Working Papers, Department of Economics, The University of Auckland (2003)
     Yale School of Management Working Papers, Yale School of Management (2004) View citations (8)
     See also Journal Article in Journal of Econometrics (2007)
136. Challenges of Trending Time Series Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2005)
137. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
     Yale School of Management Working Papers, Yale School of Management
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (10)
     University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004)
     Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
138. Exact Local Whittle Estimation of Fractional Integration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (16)
     Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations (16)
139. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Econometrics Journal (2005)
140. HAC Estimation by Automated Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
     See also Journal Article in Econometric Theory (2005)
141. Jackknifing Bond Option Prices
     Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (2)
     Working Papers, Department of Economics, The University of Auckland (2002)
     See also Journal Article in Review of Financial Studies (2005)
142. Limit Theory for Moderate Deviations from a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article in Journal of Econometrics (2007)
143. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
     Yale School of Management Working Papers, Yale School of Management
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (2)
144. Prewhitening Bias in HAC Estimation
     Yale School of Management Working Papers, Yale School of Management View citations (7)
     Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (11)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (11)
     See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
145. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
     University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
     See also Journal Article in International Economic Review (2006)
146. The Elusive Empirical Shadow of Growth Convergence
     Yale School of Management Working Papers, Yale School of Management
     Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (22)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (17)
147. Uniform Limit Theory for Stationary Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     Also in Discussion Papers, Department of Economics, University of York
     See also Journal Article in Journal of Time Series Analysis (2006)

2003

148. Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
149. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) View citations (10)
     See also Journal Article in Econometrica (2004)
150. Laws and Limits of Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (19)
     See also Journal Article in Economic Journal (2003)
151. Local Whittle Estimation in Nonstationary and Unit Root Cases
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
152. Vision and Influence in Econometrics: John Denis Sargan
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Econometric Theory (2003)

2002

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

2001

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

2000

168. Accelerated Asymptotics for Diffusion Model Estimation
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society
169. 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
170. Forecasting New Zealand's Real GDP
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     Also in Working Papers, Department of Economics, The University of Auckland (2000) View citations (2)
     See also Journal Article in New Zealand Economic Papers (2000)
171. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
172. Pooled Log Periodogram Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
173. Structural Change in Tail Behavior and the Asian Financial Crisis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
174. THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
     CATRN Papers, Canadian Agri-Food Trade Research Network
175. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (2001)

1999

176. Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article in Journal of Applied Econometrics (2001)
177. Discrete Fourier Transforms of Fractional Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (42)
178. Discrete Fourier Transforms of Fractional Processes August
     Working Papers, Department of Economics, The University of Auckland View citations (11)
179. Empirical Limits for Time Series Econometric Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
     See also Journal Article in Econometrica (2003)
180. Estimation of Autoregressive Roots Near Unity Using Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (14)
     Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations (4)
     See also Journal Article in Econometric Theory (2000)
181. How to Estimate Autoregressive Roots Near Unity
     University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) View citations (9)
     See also Journal Article in Econometric Theory (2001)
182. Linear Regression Limit Theory for Nonstationary Panel Data
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (537)
     See also Journal Article in Econometrica (1999)
183. Maximum Likelihood Estimation in Panels with Incidental Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (17)
     Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) View citations (17)
     See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
184. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
     See also Journal Article in Econometrics Journal (2001)
185. Nonlinear Regressions with Integrated Time Series
     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 (1998) View citations (2)
     See also Journal Article in Econometrica (2001)
186. 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)
     See also Journal Article in Econometrica (2000)
187. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (43)
     See also Journal Article in Econometric Reviews (2000)
188. Unit Root Log Periodogram Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (26)
     See also Journal Article in Journal of Econometrics (2007)

1998

189. A Primer on Unit Root Testing
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (94)
     See also Journal Article in Journal of Economic Surveys (1998)
190. Asymptotics for Nonlinear Transformations of Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
     See also Journal Article in Econometric Theory (1999)
191. Econometric Analysis of Fisher's Equation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
192. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
193. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (2002)
194. New Unit Root Asymptotics in the Presence of Deterministic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     Also in Working Papers, Department of Economics, The University of Auckland (1998) View citations (2)
     See also Journal Article in Journal of Econometrics (2002)
195. Nonstationary Density Estimation and Kernel Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (37)
196. Rissanen's Theorem and Econometric Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

1997

197. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article in Econometrics Journal (1998)
198. Band Spectral Regression with Trending Data
     Working Papers, University of Iowa, Department of Economics View citations (5)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997)
     See also Journal Article in Econometrica (2002)
199. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Journal of Econometrics (1999)
200. Regressions for Partially Identified, Cointegrated Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1996

201. 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
202. Efficiency Gains from Quasi-Differencing Under Nonstationarity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (20)
203. Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of International Money and Finance (1997)
204. Spurious Regression Unmasked
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

1995

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

1994

208. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article in Journal of Econometrics (1997)
209. Model Determination and Macroeconomic Activity
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
210. Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
211. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Applied Econometrics (1996)

1993

212. Fully Modified Least Squares and Vector Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (14)
     See also Journal Article in Econometrica (1995)
213. Robust Nonstationary Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
     See also Journal Article in Econometric Theory (1995)

1992

214. Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
215. Bayes Models and Forecasts of Australian Macroeconomic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
216. Bayesian Model Selection and Prediction with Empirical Applications
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     See also Journal Article in Journal of Econometrics (1995)
217. Hyper-Consistent Estimation of a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
218. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (23)
     See also Journal Article in Econometric Theory (1994)
219. 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
     See also Journal Article in Econometrica (1994)
220. 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)
221. Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)

1991

222. A Bayesian Analysis of Trend Determination in Economic Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
223. A Reexamination of the Consumption Function Using Frequency Domain Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Empirical Economics (1994)
224. 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)
225. Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (18)
     See also Journal Article in Journal of Applied Econometrics (1991)
226. Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
     Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (52)
     See also Journal Article in Journal of Econometrics (1992)
227. The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
228. The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
229. The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
230. Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
231. Unidentified Components in Reduced Rank Regression Estimation of ECM's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
232. Unit Roots
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
233. Vector Autoregression and Causality
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (14)
     See also Journal Article in Econometrica (1993)
234. Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (16)

1990

235. A Shortcut to LAD Estimator Asymptotics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometric Theory (1991)
236. Operational Algebra and Regression t-Tests
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
237. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
238. Testing forUnit Root in the Presence of Deterministic Trends
     Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)
239. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article in Journal of Applied Econometrics (1991)

1989

240. A Little Magic with the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
241. A New Proof of Knight's Theorem on the Cauchy Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
242. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
     See also Journal Article in Journal of Econometrics (1992)
243. Asymptotics for Linear Processes
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (74)
244. Error Correction and Long Run Equilibrium in Continuous Time
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1991)
245. Estimating Long Run Economic Equilibria
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (65)
     See also Journal Article in Review of Economic Studies (1991)
246. Optimal Inference in Cointegrated Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1991)
247. Statistical Inference in Instrumental Variables
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (103)
248. 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
249. Testing for a Unit Root in the Presence of Deterministic Trends
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
250. The Durbin-Watson Ratio Under Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (1991)
251. Time Series Regression with a Unit Root and Infinite Variance Errors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometric Theory (1990)

1988

252. Asymptotic Properties of Residual Based Tests for Cointegration
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article in Econometrica (1990)
253. Estimation and Inference in Models of Cointegration: A Simulation Study
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
254. Partially Identified Econometric Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (29)
     See also Journal Article in Econometric Theory (1989)
255. Reflections on Econometric Methodology
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
     See also Journal Article in The Economic Record (1988)
256. Spectral Regression for Cointegrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (23)
257. Testing for a Unit Root in the Presence of a Maintained Trend
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (65)
258. The Characteristic Function of the Dirichlet and Multivariate F Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

1987

259. Bimodal t-Ratios
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
260. Conditional and Unconditional Statistical Independence
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (1988)
261. Multiple Regression with Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
262. Regression Theory for Near-Integrated Time Series
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1988)
263. Spherical Matrix Distributions and Cauchy Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Statistics & Probability Letters (1989)
264. Statistical Inference in Regressions with Integrated Processes: Part 1
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
     See also Journal Article in Econometric Theory (1988)
265. Statistical Inference in Regressions with Integrated Processes: Part 2
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (38)
     See also Journal Article in Econometric Theory (1989)
266. Testing for Cointegration Using Principal Component Measures
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
267. Testing for a Unit Root in Time Series Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (430)
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (365)
     See also Journal Article in Econometrica (1987)
268. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Econometric Theory (1988)

1986

269. An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
270. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
271. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
272. 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)
273. On the Formulation of Wald Tests of Nonlinear Restrictions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Journal Article in Econometrica (1988)
274. Time Series Regression with a Unit Root
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (37)
     See also Journal Article in Econometrica (1987)
275. Towards a Unified Asymptotic Theory for Autoregression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
276. Trends Versus Random Walks in Time Series Analysis
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article in Econometrica (1988)
277. Weak Convergence to the Matrix Stochastic Integral BdB
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)

1985

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

1984

283. 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
284. The Exact Distribution of the Wald Statistic
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1986)
285. The Exact Distribution of the Wald Statistic: The Non-Central Case
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1983

286. Finite Sample Econometrics Using ERA's
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
287. 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
288. The Exact Distribution of Exogenous Variable Coefficient Estimators
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (1984)
289. The Exact Distribution of LIML: II
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1982)
     See also Journal Article in International Economic Review (1985)
290. The Exact Distribution of Zellner's SUR
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
291. The Exact Distribution of the Stein-Rule Estimator
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Econometrics (1984)

1982

292. ERA's: A New Approach to Small Sample Theory
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1983)
293. Exact Small Sample Theory in the Simultaneous Equations Model
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
     See also Chapter (1983)
294. 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
295. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
296. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
297. The Distribution of Matrix Quotients
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Journal of Multivariate Analysis (1985)

1981

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

1980

300. A Model of Output, Employment, Capital Formation and Inflation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
301. Best Uniform Approximation to Probability Densities in Econometrics
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
302. Characteristic Functions and the Tail Behavior of Probability Distributions
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
303. On a Lemma of Amemiya
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
304. 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)
305. On the Consistency of Non-Linear FIML
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article in Econometrica (1982)
306. The Characteristic Function of the F Distribution
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

1979

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

1978

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

Undated

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

Journal Articles

2018

1. Boundary Limit Theory for Functional Local to Unity Regression
   Journal of Time Series Analysis, 2018, 39, (4), 523-562
2. DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY
   Econometric Theory, 2018, 34, (02), 253-276 View citations (1)
3. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
   Econometric Theory, 2018, 34, (04), 705-753 View citations (1)
4. Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
   Journal of Business & Economic Statistics, 2018, 36, (3), 523-537
   See also Working Paper (2016)
5. Pythagorean generalization of testing the equality of two symmetric positive definite matrices
   Journal of Econometrics, 2018, 202, (1), 45-56
   See also Working Paper (2016)
6. Sequentially testing polynomial model hypotheses using power transforms of regressors
   Journal of Applied Econometrics, 2018, 33, (1), 141-159 View citations (1)
   See also Working Paper (2016)
7. TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2015–2017
   Econometric Theory, 2018, 34, (04), 947-948
8. Threshold regression with endogeneity
   Journal of Econometrics, 2018, 203, (1), 50-68 View citations (4)
   See also Working Paper (2014)

2017

9. A multivariate stochastic unit root model with an application to derivative pricing
   Journal of Econometrics, 2017, 196, (1), 99-110 View citations (2)
   See also Working Paper (2014)
10. Econometric Reviews honors Esfandiar Maasoumi
    Econometric Reviews, 2017, 36, (6-9), 563-567
11. Edmond Malinvaud - an Economist's Econometrician
    Annals of Economics and Statistics, 2017, (125-126), 135-151
12. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 View citations (5)
    See also Working Paper (2013)
13. Indirect inference in spatial autoregression
    Econometrics Journal, 2017, 20, (2), 168-189 View citations (2)
    See also Working Paper (2014)
14. Inference in continuous systems with mildly explosive regressors
    Journal of Econometrics, 2017, 201, (2), 400-416 View citations (2)
15. Labeling Demands, Coexistence and the Challenges for Trade
    Journal of Agricultural & Food Industrial Organization, 2017, 15, (1), 10
16. Lag length selection in panel autoregression
    Econometric Reviews, 2017, 36, (1-3), 225-240 View citations (4)
17. Phoebus J. Dhrymes (1932–2016)
    Econometric Theory, 2017, 33, (05), 1039-1045
18. Reduced forms and weak instrumentation
    Econometric Reviews, 2017, 36, (6-9), 818-839 View citations (1)
19. Structural inference from reduced forms with many instruments
    Journal of Econometrics, 2017, 199, (2), 96-116 View citations (1)
    See also Working Paper (2016)
20. TRIBUTE TO T.W. ANDERSON
    Econometric Theory, 2017, 33, (03), 529-533
    See also Working Paper (2016)

2016

21. Asset pricing with financial bubble risk
    Journal of Empirical Finance, 2016, 38, (PB), 590-622 View citations (8)
22. Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2016, 64, (4), 717-738
23. Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres
    New Zealand Economic Papers, 2016, 50, (1), 88-113 View citations (9)
    See also Working Paper (2015)
24. Identifying Latent Structures in Panel Data
    Econometrica, 2016, 84, 2215-2264 View citations (7)
    See also Working Paper (2014)
25. Meritocracy Voting: Measuring the Unmeasurable
    Econometric Reviews, 2016, 35, (1), 2-40 View citations (1)
    See also Working Paper (2011)
26. Modeling speculative bubbles with diverse investor expectations
    Research in Economics, 2016, 70, (3), 375-387 View citations (2)
27. NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
    Econometric Theory, 2016, 32, (02), 359-401 View citations (7)
28. Robust econometric inference with mixed integrated and mildly explosive regressors
    Journal of Econometrics, 2016, 192, (2), 433-450 View citations (3)
29. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (03), 655-685 View citations (2)
    See also Working Paper (2013)
30. WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
    Econometric Theory, 2016, 32, (06), 1349-1375 View citations (5)
    See also Working Paper (2014)

2015

31. AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2015, 31, (03), 581-646 View citations (11)
    See also Working Paper (2012)
32. Edmond Malinvaud: a tribute to his contributions in econometrics
    Econometrics Journal, 2015, 18, (2), A1-A13 View citations (1)
    See also Working Paper (2015)
33. Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†
    Journal of Financial Econometrics, 2015, 13, (3), 521-555 View citations (4)
34. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 View citations (5)
    See also Working Paper (2012)
35. Limit Theory for VARs with Mixed Roots Near Unity
    Econometric Reviews, 2015, 34, (6-10), 1035-1056 View citations (1)
36. MEMORIAL TO EDMOND MALINVAUD
    Econometric Theory, 2015, 31, (03), 423-425 View citations (1)
37. Model selection in the presence of incidental parameters
    Journal of Econometrics, 2015, 188, (2), 474-489 View citations (5)
    See also Working Paper (2013)
38. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 View citations (8)
39. Nonparametric predictive regression
    Journal of Econometrics, 2015, 185, (2), 468-494 View citations (6)
    See also Working Paper (2013)
40. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, 1043-1078 View citations (59)
    See also Working Paper (2013)
41. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, 1079-1134 View citations (36)
    See also Working Paper (2013)
42. Testing linearity using power transforms of regressors
    Journal of Econometrics, 2015, 187, (1), 376-384 View citations (5)
    See also Working Paper (2015)
43. The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
    Economics Letters, 2015, 127, (C), 89-92 View citations (1)

2014

44. Homage to Halbert White
    Journal of Financial Econometrics, 2014, 12, (4), 618-619
45. NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
    Journal of Time Series Analysis, 2014, 35, (6), 592-623 View citations (10)
    See also Working Paper (2013)
46. Nonlinearity Induced Weak Instrumentation
    Econometric Reviews, 2014, 33, (5-6), 676-712 View citations (3)
    See also Working Paper (2012)
47. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Econometrica, 2014, 82, (3), 1177-1195 View citations (11)
    See also Working Paper (2012)
48. Optimal estimation of cointegrated systems with irrelevant instruments
    Journal of Econometrics, 2014, 178, (P2), 210-224 View citations (3)
    See also Working Paper (2006)
49. Point‐optimal panel unit root tests with serially correlated errors
    Econometrics Journal, 2014, 17, (3), 338-372 View citations (1)
50. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (01), 1-2
51. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (34)
    See also Working Paper (2012)
52. Testing the Martingale Hypothesis
    Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 View citations (2)
    See also Working Paper (2013)
53. UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY
    Econometric Theory, 2014, 30, (04), 719-736
    See also Working Paper (2013)
54. X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
    Econometric Theory, 2014, 30, (01), 201-251 View citations (10)
    See also Working Paper (2010)

2013

55. First difference maximum likelihood and dynamic panel estimation
    Journal of Econometrics, 2013, 175, (1), 35-45 View citations (7)
56. INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
    Econometric Theory, 2013, 29, (04), 808-837 View citations (4)
    See also Working Paper (2011)
57. Predictive regression under various degrees of persistence and robust long-horizon regression
    Journal of Econometrics, 2013, 177, (2), 250-264 View citations (14)
58. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 View citations (16)

2012

59. Cointegrating rank selection in models with time-varying variance
    Journal of Econometrics, 2012, 169, (2), 155-165 View citations (8)
    See also Working Paper (2009)
60. Dynamic misspecification in nonparametric cointegrating regression
    Journal of Econometrics, 2012, 168, (2), 270-284 View citations (9)
    See also Working Paper (2009)
61. Folklore Theorems, Implicit Maps, and Indirect Inference
    Econometrica, 2012, 80, (1), 425-454 View citations (20)
62. Mean and autocovariance function estimation near the boundary of stationarity
    Journal of Econometrics, 2012, 169, (2), 166-178 View citations (3)
    See also Working Paper (2009)
63. NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
    Econometric Theory, 2012, 28, (03), 509-547 View citations (10)
    See also Working Paper (2010)
64. Optimal estimation under nonstandard conditions
    Journal of Econometrics, 2012, 169, (2), 258-265 View citations (7)
    See also Working Paper (2010)
65. THE 2009–2011 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2012, 28, (04), 933-934
66. THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS
    Econometric Theory, 2012, 28, (01), 207-217
67. Testing for common trends in semi‐parametric panel data models with fixed effects
    Econometrics Journal, 2012, 15, (1), 56-100 View citations (6)
    See also Working Paper (2011)

2011

68. ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
    Econometric Theory, 2011, 27, (02), 235-259 View citations (19)
69. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 View citations (3)
    See also Working Paper (2011)
70. 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
71. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 View citations (166)
    See also Working Paper (2010)
72. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (229)
    See also Working Paper (2009)
73. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 View citations (2)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) View citations (2)
    See also Working Paper (2009)
74. Non‐parametric regression under location shifts
    Econometrics Journal, 2011, 14, (3), 457-486 View citations (3)
75. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (06), 1320-1368 View citations (6)
    See also Working Paper (2010)
76. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
    Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 View citations (13)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 (2011) View citations (17)
77. UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
    Econometric Theory, 2011, 27, (06), 1117-1151 View citations (4)
    See also Working Paper (2010)

2010

78. Bimodal t-ratios: the impact of thick tails on inference
    Econometrics Journal, 2010, 13, (2), 271-289 View citations (5)
79. Bootstrapping I(1) data
    Journal of Econometrics, 2010, 158, (2), 280-284 View citations (1)
    See also Working Paper (2009)
80. GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
    Econometric Theory, 2010, 26, (01), 119-151 View citations (55)
    See also Working Paper (2007)
81. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 View citations (38)
    See also Working Paper (2006)
82. LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
    Econometric Theory, 2010, 26, (03), 953-962 View citations (2)
    See also Working Paper (2009)
83. Smoothing local-to-moderate unit root theory
    Journal of Econometrics, 2010, 158, (2), 274-279 View citations (6)
    See also Working Paper (2008)
84. Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 2010, 28, (1), 96-114 View citations (18)
    See also Working Paper (2005)
85. Two New Zealand pioneer econometricians
    New Zealand Economic Papers, 2010, 44, (1), 1-26 View citations (1)
    See also Working Paper (2010)

2009

86. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
    Journal of Econometrics, 2009, 150, (2), 139-150 View citations (9)
87. ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
    Econometric Theory, 2009, 25, (03), 710-738 View citations (56)
    See also Working Paper (2006)
88. ECONOMETRIC THEORY AND PRACTICE
    Econometric Theory, 2009, 25, (03), 583-586
89. ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
    Econometric Theory, 2009, 25, (04), 891-900
90. EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
    Econometric Theory, 2009, 25, (04), 958-984 View citations (2)
    See also Working Paper (2007)
91. Economic transition and growth
    Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 View citations (104)
    See also Working Paper (2005)
92. LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
    Econometric Theory, 2009, 25, (02), 482-526 View citations (18)
93. LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
    Econometric Theory, 2009, 25, (06), 1466-1497 View citations (10)
    See also Working Paper (2008)
94. Long memory and long run variation
    Journal of Econometrics, 2009, 151, (2), 150-158 View citations (1)
    See also Working Paper (2008)
95. OBITUARY
    Econometric Theory, 2009, 25, (05), 1139-1142
    Also in Econometric Theory, 1999, 15, (04), 639-641 (1999)
96. Semiparametric cointegrating rank selection
    Econometrics Journal, 2009, 12, (s1), S83-S104 View citations (13)
    See also Working Paper (2008)
97. Simulation-Based Estimation of Contingent-Claims Prices
    Review of Financial Studies, 2009, 22, (9), 3669-3705 View citations (16)
    See also Working Paper (2008)
98. Structural Nonparametric Cointegrating Regression
    Econometrica, 2009, 77, (6), 1901-1948 View citations (50)
    See also Working Paper (2008)
99. UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
    Econometric Theory, 2009, 25, (06), 1682-1715 View citations (27)
    See also Working Paper (2008)

2008

100. A complete asymptotic series for the autocovariance function of a long memory process
     Journal of Econometrics, 2008, 147, (1), 99-103 View citations (5)
     See also Working Paper (2006)
101. Adaptive estimation of autoregressive models with time-varying variances
     Journal of Econometrics, 2008, 142, (1), 265-280 View citations (31)
     See also Working Paper (2006)
102. GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
     Econometric Theory, 2008, 24, (03), 631-650 View citations (9)
     See also Working Paper (2006)
103. LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
     Econometric Theory, 2008, 24, (04), 865-887 View citations (13)
     See also Working Paper (2007)
104. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
     Econometrica, 2008, 76, (1), 175-194 View citations (71)
     See also Working Paper (2006)
105. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
     Econometric Theory, 2008, 24, (04), 888-947 View citations (17)
     See also Working Paper (2008)
106. Refined Inference on Long Memory in Realized Volatility
     Econometric Reviews, 2008, 27, (1-3), 254-267 View citations (15)
     See also Working Paper (2006)
107. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007
     Econometric Theory, 2008, 24, (05), 1461-1462

2007

108. A simple approach to the parametric estimation of potentially nonstationary diffusions
     Journal of Econometrics, 2007, 137, (2), 354-395 View citations (18)
     See also Working Paper (2005)
109. Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
     Journal of Econometrics, 2007, 137, (1), 162-188 View citations (75)
     See also Working Paper (2004)
110. Incidental trends and the power of panel unit root tests
     Journal of Econometrics, 2007, 141, (2), 416-459 View citations (43)
     See also Working Paper (2005)
111. LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
     Econometric Theory, 2007, 23, (06), 1233-1247 View citations (10)
     See also Working Paper (2007)
112. Limit theory for moderate deviations from a unit root
     Journal of Econometrics, 2007, 136, (1), 115-130 View citations (134)
     See also Working Paper (2004)
113. REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
     Econometric Theory, 2007, 23, (04), 557-614 View citations (22)
114. Some empirics on economic growth under heterogeneous technology
     Journal of Macroeconomics, 2007, 29, (3), 455-469 View citations (23)
115. The Econometric Theory Awards 2007
     Econometric Theory, 2007, 23, (02), 369-369
116. Transition Modeling and Econometric Convergence Tests
     Econometrica, 2007, 75, (6), 1771-1855 View citations (216)
     See also Working Paper (2007)
117. Unit root log periodogram regression
     Journal of Econometrics, 2007, 138, (1), 104-124 View citations (43)
     See also Working Paper (1999)

2006

118. A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
     Econometric Theory, 2006, 22, (05), 947-960 View citations (9)
     See also Working Paper (2005)
119. A new approach to robust inference in cointegration
     Economics Letters, 2006, 91, (2), 300-306 View citations (6)
     See also Working Paper (2005)
120. Comment
     Journal of Business & Economic Statistics, 2006, 24, 202-208
121. GMM with Many Moment Conditions
     Econometrica, 2006, 74, (1), 147-192 View citations (48)
     See also Working Paper (2005)
122. Inference in Autoregression under Heteroskedasticity
     Journal of Time Series Analysis, 2006, 27, (2), 289-308 View citations (30)
123. Local Whittle estimation of fractional integration and some of its variants
     Journal of Econometrics, 2006, 130, (2), 209-233 View citations (63)
124. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
     Econometric Theory, 2006, 22, (06), 1179-1190 View citations (9)
125. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
     International Economic Review, 2006, 47, (3), 837-894 View citations (27)
     See also Working Paper (2004)
126. THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
     Econometric Theory, 2006, 22, (04), 763-764 View citations (1)
127. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005
     Econometric Theory, 2006, 22, (01), 169-170
128. The Econometric Theory Awards 2006
     Econometric Theory, 2006, 22, (02), 345-345 View citations (1)
129. Uniform Limit Theory for Stationary Autoregression
     Journal of Time Series Analysis, 2006, 27, (1), 51-60 View citations (36)
     See also Working Paper (2004)

2005

130. AUTOMATED DISCOVERY IN ECONOMETRICS
     Econometric Theory, 2005, 21, (01), 3-20 View citations (7)
     See also Working Paper (2004)
131. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
     Econometric Theory, 2005, 21, (01), 1-2 View citations (1)
132. Albert Rex Bergstrom 1925-2005
     New Zealand Economic Papers, 2005, 39, (2), 129-152 View citations (1)
133. Challenges of trending time series econometrics
     Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 401-416 View citations (24)
     See also Working Paper (2004)
134. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
     Econometrics Journal, 2005, 8, (3), 367-379 View citations (3)
     See also Working Paper (2004)
135. HAC ESTIMATION BY AUTOMATED REGRESSION
     Econometric Theory, 2005, 21, (01), 116-142 View citations (26)
     See also Working Paper (2004)
136. Jackknifing Bond Option Prices
     Review of Financial Studies, 2005, 18, (2), 707-742 View citations (52)
     See also Working Paper (2004)
137. Phillips on Fisher's Equation
     American Journal of Economics and Sociology, 2005, 64, (1), 125-168
138. Prewhitening Bias in HAC Estimation
     Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations (120)
     See also Working Paper (2004)
139. The Econometric Theory Awards 2005
     Econometric Theory, 2005, 21, (02), 489-489

2004

140. EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
     Econometric Theory, 2004, 20, (03), 464-484 View citations (9)
141. Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
     Journal of Time Series Analysis, 2004, 25, (5), 733-753 View citations (3)
     See also Working Paper (2002)
142. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
     Econometrica, 2004, 72, (2), 467-522 View citations (14)
     See also Working Paper (2003)
143. NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES
     Econometric Theory, 2004, 20, (04), 643-644
144. Nonlinear instrumental variable estimation of an autoregression
     Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations (22)
     See also Working Paper (2001)
145. Nonstationary discrete choice
     Journal of Econometrics, 2004, 120, (1), 103-138 View citations (29)
     See also Working Paper (2002)
146. The Econometric Theory Awards 2004
     Econometric Theory, 2004, 20, (03), 641-641

2003

147. 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
     Econometric Theory, 2003, 19, (04), 692-701 View citations (1)
148. An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional
     Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890 View citations (1)
149. Dynamic panel estimation and homogeneity testing under cross section dependence &ast
     Econometrics Journal, 2003, 6, (1), 217-259 View citations (301)
150. Empirical Limits for Time Series Econometric Models
     Econometrica, 2003, 71, (2), 627-673 View citations (20)
     See also Working Paper (1999)
151. Fully Nonparametric Estimation of Scalar Diffusion Models
     Econometrica, 2003, 71, (1), 241-283 View citations (85)
     See also Working Paper (2001)
152. IN MEMORY OF JOHN DENIS SARGAN
     Econometric Theory, 2003, 19, (03), 417-422 View citations (1)
153. Inference in Arch and Garch Models with Heavy--Tailed Errors
     Econometrica, 2003, 71, (1), 285-317 View citations (94)
154. Laws and Limits of Econometrics
     Economic Journal, 2003, 113, (486), C26-C52 View citations (19)
     See also Working Paper (2003)
155. Nonlinear log-periodogram regression for perturbed fractional processes
     Journal of Econometrics, 2003, 115, (2), 355-389 View citations (56)
     See also Working Paper (2002)
156. THE 2000 2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
     Econometric Theory, 2003, 19, (06), 1201-1202
157. THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2003
     Econometric Theory, 2003, 19, (06), 1199-1200
158. VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
     Econometric Theory, 2003, 19, (03), 495-511 View citations (3)
     See also Working Paper (2003)

2002

159. A CUSUM test for cointegration using regression residuals
     Journal of Econometrics, 2002, 108, (1), 43-61 View citations (29)
     See also Working Paper (2001)
160. Band Spectral Regression with Trending Data
     Econometrica, 2002, 70, (3), 1067-1109 View citations (48)
     See also Working Paper (1997)
161. Higher order approximations for Wald statistics in time series regressions with integrated processes
     Journal of Econometrics, 2002, 108, (1), 157-198 View citations (5)
162. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
     Journal of Econometrics, 2002, 111, (2), 251-283 View citations (5)
     See also Working Paper (1998)
163. New unit root asymptotics in the presence of deterministic trends
     Journal of Econometrics, 2002, 111, (2), 323-353 View citations (11)
     See also Working Paper (1998)
164. The 2002 Econometric Theory Awards
     Econometric Theory, 2002, 18, (01), 195-195
165. The KPSS test with seasonal dummies
     Economics Letters, 2002, 77, (2), 239-243 View citations (5)
     See also Working Paper (2002)

2001

166. A Gaussian approach for continuous time models of the short-term interest rate
     Econometrics Journal, 2001, 4, (2), 3 View citations (15)
167. Descriptive econometrics for non-stationary time series with empirical illustrations
     Journal of Applied Econometrics, 2001, 16, (3), 389-413 View citations (11)
     See also Working Paper (1999)
168. ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS
     Econometric Theory, 2001, 17, (06), 1161-1163
169. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
     Econometric Theory, 2001, 17, (01), 29-69 View citations (18)
     See also Working Paper (1999)
170. Nonlinear Regressions with Integrated Time Series
     Econometrica, 2001, 69, (1), 117-61 View citations (166)
     See also Working Paper (1999)
171. Nonlinear econometric models with cointegrated and deterministically trending regressors
     Econometrics Journal, 2001, 4, (1), 1-36 View citations (46)
     See also Working Paper (1999)
172. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
     Journal of Applied Econometrics, 2001, 16, (6), 671-708 View citations (104)
173. Structural Change Tests in Tail Behaviour and the Asian Crisis
     Review of Economic Studies, 2001, 68, (3), 633-663 View citations (48)
174. Trending time series and macroeconomic activity: Some present and future challenges
     Journal of Econometrics, 2001, 100, (1), 21-27 View citations (22)
     See also Working Paper (2000)

2000

175. ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
     Econometric Theory, 2000, 16, (06), 927-997 View citations (26)
     See also Working Paper (1999)
176. Forecasting New Zealand's real GDP
     New Zealand Economic Papers, 2000, 34, (2), 159-181
     See also Working Paper (2000)
177. MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG)
     Econometric Theory, 2000, 16, (02), 283-285
178. Nonstationary Binary Choice
     Econometrica, 2000, 68, (5), 1249-1280 View citations (54)
     See also Working Paper (1999)
179. Nonstationary panel data analysis: an overview of some recent developments
     Econometric Reviews, 2000, 19, (3), 263-286 View citations (118)
     See also Working Paper (1999)

1999

180. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
     Econometric Theory, 1999, 15, (03), 269-298 View citations (142)
     See also Working Paper (1998)
181. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
     Econometric Theory, 1999, 15, (04), 519-548 View citations (15)
182. Linear Regression Limit Theory for Nonstationary Panel Data
     Econometrica, 1999, 67, (5), 1057-1112 View citations (530)
     See also Working Paper (1999)
183. Maximum Likelihood Estimation in Panels with Incidental Trends
     Oxford Bulletin of Economics and Statistics, 1999, 61, 711-47 View citations (20)
     See also Working Paper (1999)
184. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
     Journal of Econometrics, 1999, 91, (2), 227-271 View citations (57)
     See also Working Paper (1997)

1998

185. A Primer on Unit Root Testing
     Journal of Economic Surveys, 1998, 12, (5), 423-69 View citations (107)
     Also in Journal of Economic Surveys, 1998, 12, (5), 423-470 (1998) View citations (42)
     See also Working Paper (1998)
186. 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 (12)
     See also Working Paper (1997)
187. EDITOR'S TRIBUTE
     Econometric Theory, 1998, 14, (02), 293-294
188. Higher-order approximations for frequency domain time series regression
     Journal of Econometrics, 1998, 86, (2), 297-336 View citations (14)
189. Impulse response and forecast error variance asymptotics in nonstationary VARs
     Journal of Econometrics, 1998, 83, (1-2), 21-56 View citations (120)
     See also Working Paper (1995)
190. New Tools for Understanding Spurious Regressions
     Econometrica, 1998, 66, (6), 1299-1326 View citations (59)
191. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
     Journal of Econometrics, 1998, 87, (1), 49-86 View citations (27)
192. THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994 1996
     Econometric Theory, 1998, 14, (06), 699-699

1997

193. Forward exchange market unbiasedness: the case of the Australian dollar since 1984
     Journal of International Money and Finance, 1997, 16, (6), 885-907 View citations (15)
     See also Working Paper (1996)
194. Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
     Journal of Econometrics, 1997, 80, (1), 85-123 View citations (27)
     See also Working Paper (1994)
195. New Heraldry for ET
     Econometric Theory, 1997, 13, (06), 769-769
196. The A.R. Bergstrom Prize in Econometrics, 1996
     Econometric Theory, 1997, 13, (02), 148-148
197. The Econometric Theory Awards
     Econometric Theory, 1997, 13, (02), 145-147

1996

198. An Asymptotic Theory of Bayesian Inference for Time Series
     Econometrica, 1996, 64, (2), 381-412 View citations (72)
199. Econometric Model Determination
     Econometrica, 1996, 64, (4), 763-812 View citations (75)
200. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
     Journal of Applied Econometrics, 1996, 11, (1), 1-22 View citations (18)
     See also Working Paper (1994)

1995

201. Bayesian model selection and prediction with empirical applications
     Journal of Econometrics, 1995, 69, (1), 289-331 View citations (22)
     See also Working Paper (1992)
202. Bayesian prediction a response
     Journal of Econometrics, 1995, 69, (1), 351-365 View citations (5)
203. Efficient IV Estimation in Nonstationary Regression
     Econometric Theory, 1995, 11, (05), 1095-1130 View citations (8)
204. Fully Modified Least Squares and Vector Autoregression
     Econometrica, 1995, 63, (5), 1023-78 View citations (166)
     See also Working Paper (1993)
205. Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure
     Econometric Theory, 1995, 11, (03), 666-668
     Also in Econometric Theory, 1993, 9, (04), 689-690 (1993)
206. Reduced Rank Regression Asymptotics in Multivariate Regression – Solution
     Econometric Theory, 1995, 11, (03), 661-666
207. Robust Nonstationary Regression
     Econometric Theory, 1995, 11, (05), 912-951 View citations (20)
     See also Working Paper (1993)
208. Spurious Regression in Forecast-Encompassing Tests
     Econometric Theory, 1995, 11, (05), 1188-1190
     Also in Econometric Theory, 1994, 10, (3-4), 818-819 (1994) View citations (1)
209. Time Series Regression with Mixtures of Integrated Processes
     Econometric Theory, 1995, 11, (05), 1033-1094 View citations (6)
210. Trending Multiple Time Series: Editor's Introduction
     Econometric Theory, 1995, 11, (05), 811-817

1994

211. A Reexamination of the Consumption Function Using Frequency Domain Regressions
     Empirical Economics, 1994, 19, (4), 595-609 View citations (17)
     See also Working Paper (1991)
     Working Paper (1991)
212. Bayes Methods and Unit Roots
     Econometric Theory, 1994, 10, (3-4), 453-460 View citations (1)
213. Fully Modified Least Squares in I(2) Regression
     Econometric Theory, 1994, 10, (05), 967-967 View citations (1)
214. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
     Econometric Theory, 1994, 10, (3-4), 774-808 View citations (44)
     See also Working Paper (1992)
215. Reflections on the Day
     Journal of Economic Surveys, 1994, 8, (3), 311-16
216. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
     Econometrica, 1994, 62, (1), 73-93 View citations (54)
     See also Working Paper (1992)
217. Some Exponential Martingales
     Econometric Theory, 1994, 10, (3-4), 819-819
218. Spurious Regression and Generalized Least Squares
     Econometric Theory, 1994, 10, (05), 967-968 View citations (7)
219. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
     Journal of Empirical Finance, 1994, 1, (2), 211-248 View citations (132)
     See also Working Paper (1992)
220. Unit Root Testing with Intermittent Data
     Econometric Theory, 1994, 10, (3-4), 817-818

1993

221. Efficiency of Maximum Likelihood
     Econometric Theory, 1993, 9, (03), 534-536
     Also in Econometric Theory, 1992, 8, (03), 427-427 (1992)
222. Limit Theory in Cointegrated Vector Autoregressions
     Econometric Theory, 1993, 9, (01), 150-153 View citations (4)
223. Parameter Constancy in Cointegrating Regressions
     Empirical Economics, 1993, 18, (4), 675-706 View citations (48)
224. Simultaneous Equations Bias in Level VAR Estimation
     Econometric Theory, 1993, 9, (02), 326-328
     Also in Econometric Theory, 1992, 8, (02), 307-307 (1992)
225. Testing for a unit root by frequency domain regression
     Journal of Econometrics, 1993, 59, (3), 263-286 View citations (8)
226. The spurious effect of unit roots on vector autoregressions: An analytical study
     Journal of Econometrics, 1993, 59, (3), 229-255 View citations (27)
227. Vector Autoregressions and Causality
     Econometrica, 1993, 61, (6), 1367-93 View citations (308)
     See also Working Paper (1991)

1992

228. Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
     Journal of Econometrics, 1992, 51, (1-2), 113-150 View citations (56)
     See also Working Paper (1989)
229. Generalized Inverses of Partitioned Matrices
     Econometric Theory, 1992, 8, (03), 426-427
230. Geometry of the Equivalence of OLS and GLS in the Linear Model
     Econometric Theory, 1992, 8, (01), 158-159 View citations (2)
231. 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 (309)
232. Partitioned Regression with Rank-Deficient Regressions
     Econometric Theory, 1992, 8, (02), 307-309
233. Testing for Stationarity in the Components Representation of a Time Series
     Econometric Theory, 1992, 8, (04), 586-591 View citations (4)
     Also in Econometric Theory, 1991, 7, (04), 543-544 (1991) View citations (1)
234. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
     Journal of Econometrics, 1992, 54, (1-3), 159-178 View citations (2918)
     See also Working Paper (1991)

1991

235. A Shortcut to LAD Estimator Asymptotics
     Econometric Theory, 1991, 7, (04), 450-463 View citations (30)
     See also Working Paper (1990)
236. Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
     Journal of Applied Econometrics, 1991, 6, (4), 435-73 View citations (22)
     See also Working Paper (1991)
237. Error Correction and Long-Run Equilibrium in Continuous Time
     Econometrica, 1991, 59, (4), 967-80 View citations (56)
     See also Working Paper (1989)
238. Estimating Long-run Economic Equilibria
     Review of Economic Studies, 1991, 58, (3), 407-436 View citations (289)
     See also Working Paper (1989)
239. Estimation and Testing in Linear Models with Singular Covariance Matrices
     Econometric Theory, 1991, 7, (01), 153-162
     Also in Econometric Theory, 1989, 5, (03), 455-455 (1989)
240. Optimal Inference in Cointegrated Systems
     Econometrica, 1991, 59, (2), 283-306 View citations (392)
     See also Working Paper (1989)
241. Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case
     Econometric Theory, 1991, 7, (04), 549-558
     Also in Econometric Theory, 1990, 6, (03), 407-408 (1990) View citations (1)
242. The Durbin-Watson ratio under infinite-variance errors
     Journal of Econometrics, 1991, 47, (1), 85-114 View citations (6)
     See also Working Paper (1989)
243. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
     Journal of Applied Econometrics, 1991, 6, (4), 333-64 View citations (112)
     See also Working Paper (1990)

1990

244. Asymptotic Properties of Residual Based Tests for Cointegration
     Econometrica, 1990, 58, (1), 165-93 View citations (736)
     See also Working Paper (1988)
245. Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics
     Econometric Theory, 1990, 6, (02), 286-286
246. Optimal Structural Estimation of Triangular Systems: I. The Stationary Case
     Econometric Theory, 1990, 6, (02), 285-286 View citations (1)
247. Statistical Inference in Instrumental Variables Regression with I(1) Processes
     Review of Economic Studies, 1990, 57, (1), 99-125 View citations (1111)
248. Testing Causality in an Autoregression with Cointegrated Regressors
     Econometric Theory, 1990, 6, (04), 489-489
249. The Geometry of the Equivalence of OLS and GLS in the Linear Model
     Econometric Theory, 1990, 6, (04), 489-490
250. The Tjalling C. Koopmans Econometric Theory Prize
     Econometric Theory, 1990, 6, (02), i-i
251. Time Series Regression With a Unit Root and Infinite-Variance Errors
     Econometric Theory, 1990, 6, (01), 44-62 View citations (27)
     See also Working Paper (1989)

1989

252. Partially Identified Econometric Models
     Econometric Theory, 1989, 5, (02), 181-240 View citations (119)
     See also Working Paper (1988)
253. Spherical matrix distributions and cauchy quotients
     Statistics & Probability Letters, 1989, 8, (1), 51-53 View citations (3)
     See also Working Paper (1987)
254. Statistical Inference in Regressions with Integrated Processes: Part 2
     Econometric Theory, 1989, 5, (01), 95-131 View citations (129)
     See also Working Paper (1987)
255. Structural Estimation under Partial Identification
     Econometric Theory, 1989, 5, (02), 321-324
     Also in Econometric Theory, 1988, 4, (01), 172-173 (1988)
256. The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate
     Econometric Theory, 1989, 5, (03), 455-456

1988

257. Asymptotic Properties of OLS and GLS
     Econometric Theory, 1988, 4, (01), 171-172
258. Conditional and unconditional statistical independence
     Journal of Econometrics, 1988, 38, (3), 341-348 View citations (6)
     See also Working Paper (1987)
259. On the Formulation of Wald Tests of Nonlinear Restrictions
     Econometrica, 1988, 56, (5), 1065-83 View citations (43)
     See also Working Paper (1986)
260. Reflections on Econometric Methodology
     The Economic Record, 1988, 64, (187), 344-59 View citations (35)
     See also Working Paper (1988)
261. Regression Theory for Near-Integrated Time Series
     Econometrica, 1988, 56, (5), 1021-43 View citations (96)
     See also Working Paper (1987)
262. Statistical Inference in Regressions with Integrated Processes: Part 1
     Econometric Theory, 1988, 4, (03), 468-497 View citations (158)
     See also Working Paper (1987)
263. Testing for cointegration using principal components methods
     Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 View citations (61)
264. The ET Interview: Professor James Durbin
     Econometric Theory, 1988, 4, (01), 125-157 View citations (4)
265. The Et Interview: Professor Albert Rex Bergstrom
     Econometric Theory, 1988, 4, (02), 301-327 View citations (1)
266. Trends versus Random Walks in Time Series Analysis
     Econometrica, 1988, 56, (6), 1333-54 View citations (79)
     See also Working Paper (1986)
267. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations
     Econometric Theory, 1988, 4, (03), 528-533 View citations (27)
     See also Working Paper (1987)
268. Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
     Journal of Multivariate Analysis, 1988, 24, (2), 252-264 View citations (2)
269. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
     Econometric Theory, 1988, 4, (01), 1-34 View citations (7)

1987

270. An everywhere convergent series representation of the distribution of Hotelling's generalized T02
     Journal of Multivariate Analysis, 1987, 21, (2), 238-249
271. Asymptotic Expansions in Nonstationary Vector Autoregressions
     Econometric Theory, 1987, 3, (01), 45-68 View citations (11)
     See also Working Paper (1985)
272. Does GNP have a unit root?: A re-evaluation
     Economics Letters, 1987, 23, (2), 139-145 View citations (38)
     See also Working Paper (1986)
273. Editorial
     Econometric Theory, 1987, 3, (02), 169-169
274. The Distribution of LIML in the Leading Case – Solution
     Econometric Theory, 1987, 3, (03), 469-470
275. Time Series Regression with a Unit Root
     Econometrica, 1987, 55, (2), 277-301 View citations (912)
     See also Working Paper (1986)
     Working Paper (1987)

1986

276. An Integral Over a Matrix Space
     Econometric Theory, 1986, 2, (03), 446-447
277. Distribution of F-Ratio
     Econometric Theory, 1986, 2, (03), 449-452
278. Multiple Time Series Regression with Integrated Processes
     Review of Economic Studies, 1986, 53, (4), 473-495 View citations (267)
     See also Working Paper (1985)
279. Proffessor T.W. Anderson
     Econometric Theory, 1986, 2, (02), 249-288 View citations (1)
280. The Distribution of FIML in the Leading Case
     International Economic Review, 1986, 27, (1), 239-43 View citations (4)
     See also Working Paper (1985)
281. The Exact Distribution of the Wald Statistic
     Econometrica, 1986, 54, (4), 881-95 View citations (6)
     See also Working Paper (1984)
282. Understanding spurious regressions in econometrics
     Journal of Econometrics, 1986, 33, (3), 311-340 View citations (581)
     See also Working Paper (1985)

1985

283. A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family
     Canadian Journal of Economics, 1985, 18, (1), 58-65 View citations (1)
284. Editorial
     Econometric Theory, 1985, 1, (01), 1-5
285. Editorial Note
     Econometric Theory, 1985, 1, (01), 141-142
286. Professor J. D. Sargan
     Econometric Theory, 1985, 1, (01), 119-139 View citations (6)
287. The Exact Distribution of LIML: II
     International Economic Review, 1985, 26, (1), 21-36 View citations (20)
     Also in International Economic Review, 1984, 25, (1), 249-61 (1984) View citations (22)
     See also Working Paper (1983)
288. The Exact Distribution of the SUR Estimator
     Econometrica, 1985, 53, (4), 745-56 View citations (5)
289. The distribution of matrix quotients
     Journal of Multivariate Analysis, 1985, 16, (1), 157-161 View citations (2)
     See also Working Paper (1982)

1984

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

1983

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

1982

293. A simple proof of the latent root sensitivity formula
     Economics Letters, 1982, 9, (1), 57-59
294. On the Consistency of Nonlinear FIML
     Econometrica, 1982, 50, (5), 1307-24 View citations (6)
     See also Working Paper (1980)
295. On the behavior of inconsistent instrumental variable estimators
     Journal of Econometrics, 1982, 19, (2-3), 183-201 View citations (15)
     See also Working Paper (1980)

1980

296. Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
     Review of Economic Studies, 1980, 47, (1), 183-224 View citations (13)
297. The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
     Econometrica, 1980, 48, (4), 861-78 View citations (23)

1979

298. A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
     Econometrica, 1979, 47, (6), 1527-47 View citations (6)
299. The concentration ellipsoid of a random vector
     Journal of Econometrics, 1979, 11, (2-3), 363-365 View citations (1)
300. The sampling distribution of forecasts from a first-order autoregression
     Journal of Econometrics, 1979, 9, (3), 241-261 View citations (19)

1977

301. A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
     Econometrica, 1977, 45, (6), 1517-34 View citations (22)
302. A large deviation limit theorem for multivariate distributions
     Journal of Multivariate Analysis, 1977, 7, (1), 50-62
303. An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
     Journal of Econometrics, 1977, 6, (2), 147-164 View citations (4)
304. Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
     Econometrica, 1977, 45, (2), 463-85 View citations (45)

1976

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

1974

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

1973

307. The problem of identification in finite parameter continuous time models
     Journal of Econometrics, 1973, 1, (4), 351-362 View citations (35)

1972

308. The Structural Estimation of a Stochastic Differential Equation System
     Econometrica, 1972, 40, (6), 1021-41 View citations (25)

Chapters

2016

1. Inference in Near-Singular Regression
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 461-486
   See also Working Paper (2015)

1983

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

Software Items