Details about Peter C. B. Phillips
Access statistics for papers by Peter C. B. Phillips.
Last updated 2022-10-11. Update your information in the RePEc Author Service.
Short-id: pph8
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Working Papers
2022
- A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- A Panel Clustering Approach to Analyzing Bubble Behavior
Economics and Statistics Working Papers, Singapore Management University, School of Economics 
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022)
- An Econometrician amongst Statisticians: T. W. Anderson
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Econometric Analysis of Asset Price Bubbles
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations
Papers, arXiv.org View citations (1)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2021) View citations (1)
- The Impact of Upzoning on Housing Construction in Auckland
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Weak Identification of Long Memory with Implications for Inference
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2021
- Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
Papers, arXiv.org View citations (2)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (2)
- Discrete Fourier Transforms of Fractional Processes with Econometric Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Estimation and Inference with Near Unit Roots
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
Papers, arXiv.org View citations (3)
- Limit Theory for Locally Flat Functional Coefficient Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- On Multicointegration
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2020
- Boosting: Why You Can Use the HP Filter
Papers, arXiv.org View citations (3)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (4)
See also Journal Article in International Economic Review (2021)
- Common Bubble Detection in Large Dimensional Financial Systems
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Consistent Misspecification Testing in Spatial Autoregressive Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Diagnosing Housing Fever with an Econometric Thermometer
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (2)
- Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- High-Dimensional VARs with Common Factors
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (2)
See also Journal Article in Journal of Econometrics (2021)
- Robust Tests for White Noise and Cross-Correlation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2020) View citations (4) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) View citations (3)
- When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
2019
- Boosting the Hodrick-Prescott Filter
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- Continuously Updated Indirect Inference in Heteroskedastic Spatial Models
Working Papers, University of Verona, Department of Economics 
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019)
- Fully Modified Least Squares for Multicointegrated Systems
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Functional Coefficient Panel Modeling with Communal Smoothing Covariates
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of Econometrics (2022)
- Inference and Specification Testing in Threshold Regression with Endogeneity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Nonlinear Cointegrating Power Function Regression with Endogeneity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometric Theory (2021)
- Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves
Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
2018
- Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Dynamic Panel Modeling of Climate Change
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometrics (2020)
- HAR Testing for Spurious Regression in Trend
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Econometrics (2019)
- Real Time Monitoring of Asset Markets: Bubbles and Crises
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- The Heterogeneous Effects of the Minimum Wage on Employment Across States
Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
See also Journal Article in Economics Letters (2019)
- Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article in Journal of Econometrics (2022)
2017
- Bayesian estimation based on summary statistics: Double asymptotics and practice
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
- Boundary Limit Theory for Functional Local to Unity Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article in Journal of Time Series Analysis (2018)
- Detecting Financial Collapse and Ballooning Sovereign Risk
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2019)
- Econometric Measurement of Earth's Transient Climate Sensitivity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (4)
- Hybrid Stochastic Local Unit Roots
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Journal of Econometrics (2020)
- John Denis Sargan at the London School of Economics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article in Journal of Econometrics (2020)
- Kernel-based inference in time-varying coefficient models with multiple integrated regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
- Latent Variable Nonparametric Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article in Econometric Theory (2021)
- Point Optimal Testing with Roots That Are Functionally Local to Unity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
See also Journal Article in Journal of Econometrics (2020)
- Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) View citations (2)
See also Journal Article in Journal of Econometrics (2019)
- Uniform Inference in Panel Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Econometrics (2019)
- Weak s- Convergence: Theory and Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of Econometrics (2019)
2016
- "Change Detection and the Causal Impact of the Yield Curve
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (2)
See also Journal Article in Journal of Time Series Analysis (2018)
- A Frequency Approach to Bayesian Asymptotics
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
Also in NCER Working Paper Series, National Centre for Econometric Research (2016) View citations (9)
- Homogeneity Pursuit in Panel Data Models: Theory and Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
See also Journal Article in Journal of Applied Econometrics (2018)
- IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"
Working papers, Yonsei University, Yonsei Economics Research Institute
- Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2018)
- Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
See also Journal Article in Journal of Econometrics (2018)
- 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)
- 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)
- 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
- Tribute to T. W. Anderson
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2015
- Business Cycles, Trend Elimination, and the HP Filter
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (35)
See also Journal Article in International Economic Review (2021)
- Edmond Malinvaud: A Tribute to His Contributions in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometrics Journal (2015)
- 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 (11)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) View citations (14)
See also Journal Article in New Zealand Economic Papers (2016)
- Inference in Near Singular Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Minimum Distance Testing and Top Income Shares in Korea
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Pitfalls and Possibilities in Predictive Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
- Testing Linearity Using Power Transforms of Regressors
Working papers, Yonsei University, Yonsei Economics Research Institute View citations (26)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) 
See also Journal Article in Journal of Econometrics (2015)
- Testing Mean Stability of Heteroskedastic Time Series
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (2) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) View citations (2)
- 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
- 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)
- A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
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 (5)
- Dynamic Panel GMM with Near Unity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
- Financial Bubble Implosion
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
- Identifying Latent Structures in Panel Data
Working Papers, Singapore Management University, School of Economics View citations (9)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (8)
See also Journal Article in Econometrica (2016)
- Threshold Regression with Endogeneity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
See also Journal Article in Journal of Econometrics (2018)
- True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Economics Letters (2015)
- Weak Convergence to Stochastic Integrals for Econometric Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Econometric Theory (2016)
2013
- Estimating Smooth Structural Change in Cointegration Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 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 Journal of Econometrics (2017)
- Functional Coefficient Nonstationary Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
- Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (9)
- Model Selection in the Presence of Incidental Parameters
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2013) View citations (1)
See also Journal Article in Journal of Econometrics (2015)
- Nonparametric Predictive Regression
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) View citations (3) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (3)
See also Journal Article in Journal of Econometrics (2015)
- 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)
- 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 (87)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (81)
See also Journal Article in International Economic Review (2015)
- Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics 
Also in Working Papers, Singapore Management University, School of Economics (2013) View citations (6) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (5)
See also Journal Article in International Economic Review (2015)
- Testing the Martingale Hypothesis
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2014)
- 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)
- 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
- Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (3)
See also Journal Article in Econometric Reviews (2015)
- Non-linearity Induced Weak Instrumentation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) View citations (1)
See also Journal Article in Econometric Reviews (2014)
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Econometrica (2014)
- 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)
- Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)  Working Papers, Singapore Management University, School of Economics (2012) View citations (4) Working Papers, Singapore Management University, School of Economics (2011) View citations (8)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
- Testing for Multiple Bubbles
Working Papers, Singapore Management University, School of Economics View citations (70)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) View citations (44) Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)  Working Papers, Singapore Management University, School of Economics (2011) View citations (49)
- VARs with Mixed Roots Near Unity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2011
- Bias in Estimating Multivariate and Univariate Diffusions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
See also Journal Article in Journal of Econometrics (2011)
- First Difference MLE and Dynamic Panel Estimation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Inconsistent VAR Regression with Common Explosive Roots
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometric Theory (2013)
- 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)
- Semiparametric Estimation in Multivariate Nonstationary Time Series Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
- Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
Working Papers, Singapore Management University, School of Economics View citations (1)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)  Working Papers, Hong Kong Institute for Monetary Research (2011) View citations (3)
- Specification Testing for Nonlinear Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- 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
- A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
Working Papers, Singapore Management University, School of Economics
- Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
Working Papers, Singapore Management University, School of Economics
- Dating the Timeline of Financial Bubbles during the Subprime Crisis
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
Also in Finance Working Papers, East Asian Bureau of Economic Research (2009) View citations (12) Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)  Working Papers, Singapore Management University, School of Economics (2009) View citations (12)
See also Journal Article in Quantitative Economics (2011)
- Measurement and High Finance
Working Papers, Singapore Management University, School of Economics
- 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)
- 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)
- 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)
- Semiparametric Estimation in Simultaneous Equations of Time Series Models
School of Economics Working Papers, University of Adelaide, School of Economics View citations (2)
- Semiparametric Estimation in Time Series of Simultaneous Equations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- The Mysteries of Trend
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
- Tilted Nonparametric Estimation of Volatility Functions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Two New Zealand Pioneer Econometricians
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
See also Journal Article in New Zealand Economic Papers (2010)
- 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)
- 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
- A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- 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)
- 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)
- Dynamic Misspecification in Nonparametric Cointegrating Regression
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics 
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (4) 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)
- Econometric Inference in the Vicinity of Unity
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (1)
- Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics 
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (21) Working Papers, Singapore Management University, School of Economics (2009) View citations (22) Working Papers, Hong Kong Institute for Monetary Research (2007) View citations (9)
See also Journal Article in International Economic Review (2011)
- 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 Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)  Discussion Paper Series, Institute of Economic Research, Korea University (2009) View citations (2)
See also Journal Article in Journal of Business & Economic Statistics (2011)
- 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 Levine's Bibliography, UCLA Department of Economics (2007) View citations (4) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (4) Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008)
- LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
Also in Discussion Paper Series, Institute of Economic Research, Korea University (2009)  Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) 
See also Journal Article in Econometric Theory (2010)
- 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)
- 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
- 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)
- 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)
- Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- Regression asymptotics using martingale convergence methods
Scholarly Articles, Harvard University Department of Economics View citations (25)
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)
- Semiparametric Cointegrating Rank Selection
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
See also Journal Article in Econometrics Journal (2009)
- Simulation-based Estimation of Contingent-claims Prices
Finance Working Papers, East Asian Bureau of Economic Research View citations (1)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) View citations (2) Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics 
See also Journal Article in Review of Financial Studies (2009)
- 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)
- Structural Nonparametric Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
See also Journal Article in Econometrica (2009)
- Unit Root Model Selection
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
- Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometric Theory (2009)
2007
- 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)
- GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
See also Journal Article in Econometric Theory (2010)
- 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)
- Long Run Covariance Matrices for Fractionally Integrated Processes
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
See also Journal Article in Econometric Theory (2007)
- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics  Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (2)
- Transition Modeling and Econometric Convergence Tests
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (493)
See also Journal Article in Econometrica (2007)
2006
- A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of Econometrics (2008)
- A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
Macroeconomics Working Papers, East Asian Bureau of Economic Research
- Adaptive Estimation of Autoregressive Models with Time-Varying Variances
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) 
See also Journal Article in Journal of Econometrics (2008)
- Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Econometric Theory (2009)
- Gaussian Inference in AR(1) Time Series with or without a Unit Root
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Econometric Theory (2008)
- Indirect Inference for Dynamic Panel Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) View citations (2)
See also Journal Article in Journal of Econometrics (2010)
- Log Periodogram Regression: The Nonstationary Case
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (29)
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
See also Journal Article in Econometrica (2008)
- Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
See also Journal Article in Journal of Econometrics (2014)
- 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)
- Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2005
- 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)
- 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)
- 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)
- A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
- Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
Finance Working Papers, East Asian Bureau of Economic Research
- Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
Working Papers, Singapore Management University, School of Economics
- Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
Finance Working Papers, East Asian Bureau of Economic Research View citations (3)
- 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)
- Economic Transition and Growth
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Journal of Applied Econometrics (2009)
- GMM with Many Moment Conditions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (4)
See also Journal Article in Econometrica (2006)
- Improved HAR Inference
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- Incidental Trends and the Power of Panel Unit Root Tests
IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (18) Yale School of Management Working Papers, Yale School of Management (2004) View citations (2)
See also Journal Article in Journal of Econometrics (2007)
- Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- 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)
- Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
See also Journal Article in Journal of Business & Economic Statistics (2010)
2004
- Automated Discovery in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Econometric Theory (2005)
- Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (14) Working Papers, Department of Economics, The University of Auckland (2003) View citations (5)
See also Journal Article in Journal of Econometrics (2007)
- 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)
- Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Econometric Society 2004 North American Winter Meetings, Econometric Society 
Also in Yale School of Management Working Papers, Yale School of Management (2004)  Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (11) University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004)
- Exact Local Whittle Estimation of Fractional Integration
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) View citations (17)
- Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
See also Journal Article in Econometrics Journal (2005)
- HAC Estimation by Automated Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
See also Journal Article in Econometric Theory (2005)
- Jackknifing Bond Option Prices
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (3) Working Papers, Department of Economics, The University of Auckland (2002) 
See also Journal Article in Review of Financial Studies (2005)
- 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)
- Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
Yale School of Management Working Papers, Yale School of Management 
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (4)
- Prewhitening Bias in HAC Estimation
Yale School of Management Working Papers, Yale School of Management View citations (10)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (12) Working Papers, Department of Economics, The University of Auckland (2003) View citations (12)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
- 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)
- 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 (33) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (32)
- Uniform Limit Theory for Stationary Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in Discussion Papers, Department of Economics, University of York View citations (52)
See also Journal Article in Journal of Time Series Analysis (2006)
2003
- Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- 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 (16)
See also Journal Article in Econometrica (2004)
- Laws and Limits of Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (27)
See also Journal Article in Economic Journal (2003)
- Local Whittle Estimation in Nonstationary and Unit Root Cases
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (33)
- Vision and Influence in Econometrics: John Denis Sargan
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Econometric Theory (2003)
2002
- Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
Also in Working Papers, Department of Economics, The University of Auckland (2002) View citations (26)
- 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)
- Efficient Regression in Time Series Partial Linear Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- 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)
- 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)
- Nonstationary Discrete Choice
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
See also Journal Article in Journal of Econometrics (2004)
- The KPSS Test with Seasonal Dummies
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
See also Journal Article in Economics Letters (2002)
2001
- 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)
- Bootstrapping Spurious Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
- Fully Nonparametric Estimation of Scalar Diffusion Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Econometrica (2003)
- 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 (22)
- Nonlinear Instrumental Variable Estimation of an Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of Econometrics (2004)
- Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Regression with Slowly Varying Regressors
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- 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
- Accelerated Asymptotics for Diffusion Model Estimation
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
- 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
- Forecasting New Zealand's Real GDP
Working Papers, Department of Economics, The University of Auckland View citations (2)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) View citations (3)
See also Journal Article in New Zealand Economic Papers (2000)
- Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
- Pooled Log Periodogram Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
See also Journal Article in Journal of Time Series Analysis (2002)
- 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)
- THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
CATRN Papers, Canadian Agri-Food Trade Research Network View citations (4)
- 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
- Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Journal of Applied Econometrics (2001)
- Discrete Fourier Transforms of Fractional Processes
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (69)
- Discrete Fourier Transforms of Fractional Processes August
Working Papers, Department of Economics, The University of Auckland View citations (19)
- 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)
- 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)
- 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)
- Linear Regression Limit Theory for Nonstationary Panel Data
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (776)
See also Journal Article in Econometrica (1999)
- Maximum Likelihood Estimation in Panels with Incidental Trends
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (25)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) View citations (25)
- 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)
- Nonstationary Binary Choice
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
See also Journal Article in Econometrica (2000)
- Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (49)
See also Journal Article in Econometric Reviews (2000)
- Unit Root Log Periodogram Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
See also Journal Article in Journal of Econometrics (2007)
1998
- A Primer on Unit Root Testing
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (110)
See also Journal Article in Journal of Economic Surveys (1998)
- Asymptotics for Nonlinear Transformations of Integrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
See also Journal Article in Econometric Theory (1999)
- Econometric Analysis of Fisher's Equation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (31)
See also Journal Article in American Journal of Economics and Sociology (2005)
- Higher Order Approximations for Wald Statistics in Cointegrating Regressions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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)
- 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)
- Nonlinear Regressions with Integrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometrica (2001)
- Nonstationary Density Estimation and Kernel Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (62)
- Rissanen's Theorem and Econometric Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
1997
- An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
See also Journal Article in Econometrics Journal (1998)
- Band Spectral Regression with Trending Data
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 
Also in Working Papers, University of Iowa, Department of Economics (1997) View citations (5)
See also Journal Article in Econometrica (2002)
- Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Journal of Econometrics (1999)
- Regressions for Partially Identified, Cointegrated Simultaneous Equations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
1996
- Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Efficiency Gains from Quasi-Differencing Under Nonstationarity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
- Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
See also Journal Article in Journal of International Money and Finance (1997)
- Spurious Regression Unmasked
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
1995
- Automated Forecasts of Asia-Pacific Economic Activity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
- 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)
- Unit Root Tests
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
1994
- 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)
- Model Determination and Macroeconomic Activity
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
- Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- 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
- Fully Modified Least Squares and Vector Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (17)
See also Journal Article in Econometrica (1995)
- 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
- 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)
- Bayes Models and Forecasts of Australian Macroeconomic Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- 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)
- 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)
- Posterior Odds Testing for a Unit Root with Data-Based Model Selection
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
See also Journal Article in Econometric Theory (1994)
- Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets
Working papers, Wisconsin Madison - Social Systems View citations (2)
See also Journal Article in Journal of Empirical Finance (1994)
- Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
1991
- 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)
- 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)
- A Rexamination of the Consumption Function Using Frequency Domain Regressions
Working Papers, University of Iowa, Department of Economics
See also Journal Article in Empirical Economics (1994)
- Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (27)
See also Journal Article in Journal of Applied Econometrics (1991)
- Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (42)
Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (52)
See also Journal Article in Journal of Econometrics (1992)
- The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
- 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)
- Unit Roots
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- Vector Autoregression and Causality
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
See also Journal Article in Econometrica (1993)
- Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (18)
1990
- 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)
- Operational Algebra and Regression t-Tests
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
- Testing forUnit Root in the Presence of Deterministic Trends
Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1989) View citations (19)
- To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
See also Journal Article in Journal of Applied Econometrics (1991)
1989
- A Little Magic with the Cauchy Distribution
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- A New Proof of Knight's Theorem on the Cauchy Distribution
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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)
- Asymptotics for Linear Processes
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (72)
- Estimating Long Run Economic Equilibria
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (67)
See also Journal Article in Review of Economic Studies (1991)
- Optimal Inference in Cointegrated Systems
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Econometrica (1991)
- Statistical Inference in Instrumental Variables
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (104)
- 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
- 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)
- 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
- Asymptotic Properties of Residual Based Tests for Cointegration
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)
See also Journal Article in Econometrica (1990)
- Estimation and Inference in Models of Cointegration: A Simulation Study
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
- 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)
- Reflections on Econometric Methodology
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (38)
See also Journal Article in The Economic Record (1988)
- Spectral Regression for Cointegrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (25)
- 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 (107)
- The Characteristic Function of the Dirichlet and Multivariate F Distributions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
1987
- Bimodal t-Ratios
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
- 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)
- Multiple Regression with Integrated Time Series
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (111)
- 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)
- 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)
- 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)
- Statistical Inference in Regressions with Integrated Processes: Part 2
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
See also Journal Article in Econometric Theory (1989)
- Testing for Cointegration Using Principal Component Measures
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Testing for a Unit Root in Time Series Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (443)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (366)
See also Journal Article in Econometrica (1987)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- Time Series Regression with a Unit Root
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (44)
See also Journal Article in Econometrica (1987)
- Towards a Unified Asymptotic Theory for Autoregression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- 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)
- Weak Convergence to the Matrix Stochastic Integral BdB
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
1985
- 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)
- Fractional Matrix Calculus and the Distribution of Multivariate Tests
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- Multiple Time Series Regression with Integrated Processes
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
See also Journal Article in Review of Economic Studies (1986)
- 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)
- Understanding Spurious Regressions in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (68)
See also Journal Article in Journal of Econometrics (1986)
1984
- Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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)
- The Exact Distribution of the Wald Statistic: The Non-Central Case
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
1983
- Finite Sample Econometrics Using ERA's
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
- 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
- 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)
- 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)
- The Exact Distribution of Zellner's SUR
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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
- 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)
- 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)
- 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
- On the Exact Distribution of LIML (revised and extended, see CFDP 658)
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
- 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
- A New Approach to Small Sample Theory
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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
- A Model of Output, Employment, Capital Formation and Inflation
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
- Best Uniform Approximation to Probability Densities in Econometrics
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Characteristic Functions and the Tail Behavior of Probability Distributions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- On a Lemma of Amemiya
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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)
- 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)
- The Characteristic Function of the F Distribution
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
1979
- 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
- 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
- Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
- Restricted Likelihood Ratio Tests in Predictive Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
- Testing Equality of Covariance Matrices via Pythagorean Means
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
Journal Articles
2022
- Functional coefficient panel modeling with communal smoothing covariates
Journal of Econometrics, 2022, 227, (2), 371-407 
See also Working Paper (2019)
- PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES
International Economic Review, 2022, 63, (1), 391-456
- Understanding temporal aggregation effects on kurtosis in financial indices
Journal of Econometrics, 2022, 227, (1), 25-46 
See also Working Paper (2018)
2021
- BOOSTING: WHY YOU CAN USE THE HP FILTER
International Economic Review, 2021, 62, (2), 521-570 View citations (8)
See also Working Paper (2020)
- BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
International Economic Review, 2021, 62, (2), 469-520 View citations (5)
See also Working Paper (2015)
- House prices and affordability
New Zealand Economic Papers, 2021, 55, (1), 1-6
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
Econometric Theory, 2021, 37, (1), 138-168 View citations (1)
See also Working Paper (2017)
- NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY
Econometric Theory, 2021, 37, (6), 1173-1213 View citations (2)
See also Working Paper (2019)
- Nonstationary panel models with latent group structures and cross-section dependence
Journal of Econometrics, 2021, 221, (1), 198-222 View citations (6)
See also Working Paper (2020)
- Pitfalls in Bootstrapping Spurious Regression
Journal of Quantitative Economics, 2021, 19, (1), 163-217 View citations (1)
2020
- Asymptotic theory for near integrated processes driven by tempered linear processes
Journal of Econometrics, 2020, 216, (1), 192-202 View citations (2)
- Dynamic Panel Modeling of Climate Change
Econometrics, 2020, 8, (3), 1-28 
See also Working Paper (2018)
- Econometric estimates of Earth’s transient climate sensitivity
Journal of Econometrics, 2020, 214, (1), 6-32
- Hybrid stochastic local unit roots
Journal of Econometrics, 2020, 215, (1), 257-285 View citations (4)
See also Working Paper (2017)
- Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Journal of Econometrics, 2020, 215, (2), 607-632 View citations (1)
See also Working Paper (2017)
- Point optimal testing with roots that are functionally local to unity
Journal of Econometrics, 2020, 219, (2), 231-259 View citations (4)
See also Working Paper (2017)
2019
- Detecting Financial Collapse and Ballooning Sovereign Risk
Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 View citations (15)
See also Working Paper (2017)
- HAR Testing for Spurious Regression in Trend
Econometrics, 2019, 7, (4), 1-28 View citations (2)
See also Working Paper (2018)
- Random coefficient continuous systems: Testing for extreme sample path behavior
Journal of Econometrics, 2019, 209, (2), 208-237 View citations (3)
See also Working Paper (2017)
- The heterogeneous effects of the minimum wage on employment across states
Economics Letters, 2019, 174, (C), 179-185 View citations (15)
See also Working Paper (2018)
- Uniform Inference in Panel Autoregression
Econometrics, 2019, 7, (4), 1-28 View citations (1)
See also Working Paper (2017)
- Weak σ-convergence: Theory and applications
Journal of Econometrics, 2019, 209, (2), 185-207 View citations (7)
See also Working Paper (2017)
2018
- A frequentist approach to Bayesian asymptotics
Journal of Econometrics, 2018, 206, (2), 359-378 View citations (1)
- Boundary Limit Theory for Functional Local to Unity Regression
Journal of Time Series Analysis, 2018, 39, (4), 523-562 View citations (9)
See also Working Paper (2017)
- Change Detection and the Causal Impact of the Yield Curve
Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (50)
See also Working Paper (2016)
- DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY
Econometric Theory, 2018, 34, (2), 253-276 View citations (5)
- FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
Econometric Theory, 2018, 34, (4), 705-753 View citations (47)
- Homogeneity pursuit in panel data models: Theory and application
Journal of Applied Econometrics, 2018, 33, (6), 797-815 View citations (15)
See also Working Paper (2016)
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
Econometric Theory, 2018, 34, (5), 1065-1100 View citations (3)
- Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
Journal of Business & Economic Statistics, 2018, 36, (3), 523-537 View citations (2)
See also Working Paper (2016)
- Pythagorean generalization of testing the equality of two symmetric positive definite matrices
Journal of Econometrics, 2018, 202, (1), 45-56 View citations (5)
See also Working Paper (2016)
- Sequentially testing polynomial model hypotheses using power transforms of regressors
Journal of Applied Econometrics, 2018, 33, (1), 141-159 View citations (11)
See also Working Paper (2016)
- Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion
Economics Letters, 2018, 172, (C), 123-126 View citations (1)
- Threshold regression with endogeneity
Journal of Econometrics, 2018, 203, (1), 50-68 View citations (16)
See also Working Paper (2014)
2017
- A multivariate stochastic unit root model with an application to derivative pricing
Journal of Econometrics, 2017, 196, (1), 99-110 View citations (12)
See also Working Paper (2014)
- Econometric Reviews honors Esfandiar Maasoumi
Econometric Reviews, 2017, 36, (6-9), 563-567
- Edmond Malinvaud - an Economist's Econometrician
Annals of Economics and Statistics, 2017, (125-126), 135-151
- Estimating smooth structural change in cointegration models
Journal of Econometrics, 2017, 196, (1), 180-195 View citations (31)
See also Working Paper (2013)
- Indirect inference in spatial autoregression
Econometrics Journal, 2017, 20, (2), 168-189 View citations (14)
- Inference in continuous systems with mildly explosive regressors
Journal of Econometrics, 2017, 201, (2), 400-416 View citations (11)
- Labeling Demands, Coexistence and the Challenges for Trade
Journal of Agricultural & Food Industrial Organization, 2017, 15, (1), 10 View citations (1)
- Lag length selection in panel autoregression
Econometric Reviews, 2017, 36, (1-3), 225-240 View citations (10)
- Reduced forms and weak instrumentation
Econometric Reviews, 2017, 36, (6-9), 818-839 View citations (2)
- Structural inference from reduced forms with many instruments
Journal of Econometrics, 2017, 199, (2), 96-116 View citations (2)
See also Working Paper (2016)
2016
- Asset pricing with financial bubble risk
Journal of Empirical Finance, 2016, 38, (PB), 590-622 View citations (18)
- 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
- 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 (31)
See also Working Paper (2015)
- Identifying Latent Structures in Panel Data
Econometrica, 2016, 84, 2215-2264 View citations (82)
See also Working Paper (2014)
- Meritocracy Voting: Measuring the Unmeasurable
Econometric Reviews, 2016, 35, (1), 2-40 View citations (1)
See also Working Paper (2011)
- Modeling speculative bubbles with diverse investor expectations
Research in Economics, 2016, 70, (3), 375-387 View citations (5)
- NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
Econometric Theory, 2016, 32, (2), 359-401 View citations (16)
- Robust econometric inference with mixed integrated and mildly explosive regressors
Journal of Econometrics, 2016, 192, (2), 433-450 View citations (19)
- UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
Econometric Theory, 2016, 32, (3), 655-685 View citations (5)
See also Working Paper (2013)
- WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
Econometric Theory, 2016, 32, (6), 1349-1375 View citations (7)
See also Working Paper (2014)
2015
- Edmond Malinvaud: a tribute to his contributions in econometrics
Econometrics Journal, 2015, 18, (2), A1-A13 View citations (2)
See also Working Paper (2015)
- Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†
The Journal of Financial Econometrics, 2015, 13, (3), 521-555 View citations (12)
- Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Econometric Reviews, 2015, 34, (4), 512-536 View citations (9)
See also Working Paper (2012)
- Limit Theory for VARs with Mixed Roots Near Unity
Econometric Reviews, 2015, 34, (6-10), 1035-1056 View citations (4)
- Model selection in the presence of incidental parameters
Journal of Econometrics, 2015, 188, (2), 474-489 View citations (9)
See also Working Paper (2013)
- 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 (16)
- Nonparametric predictive regression
Journal of Econometrics, 2015, 185, (2), 468-494 View citations (17)
See also Working Paper (2013)
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
International Economic Review, 2015, 56, (4), 1043-1078 View citations (66)
See also Working Paper (2013)
- TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
International Economic Review, 2015, 56, (4), 1079-1134 View citations (42)
See also Working Paper (2013)
- Testing linearity using power transforms of regressors
Journal of Econometrics, 2015, 187, (1), 376-384 View citations (26)
See also Working Paper (2015)
- The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
Economics Letters, 2015, 127, (C), 89-92 View citations (1)
See also Working Paper (2014)
2014
- Homage to Halbert White
The Journal of Financial Econometrics, 2014, 12, (4), 618-619
- NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
Journal of Time Series Analysis, 2014, 35, (6), 592-623 View citations (17)
See also Working Paper (2013)
- Nonlinearity Induced Weak Instrumentation
Econometric Reviews, 2014, 33, (5-6), 676-712 View citations (4)
See also Working Paper (2012)
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
Econometrica, 2014, 82, (3), 1177-1195 View citations (43)
See also Working Paper (2012)
- Optimal estimation of cointegrated systems with irrelevant instruments
Journal of Econometrics, 2014, 178, (P2), 210-224 View citations (15)
See also Working Paper (2006)
- Point‐optimal panel unit root tests with serially correlated errors
Econometrics Journal, 2014, 17, (3), 338-372 View citations (4)
- SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
Econometric Theory, 2014, 30, (1), 1-2
- Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 View citations (75)
See also Working Paper (2012)
- Testing the Martingale Hypothesis
Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 View citations (6)
See also Working Paper (2013)
- UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY
Econometric Theory, 2014, 30, (4), 719-736 
See also Working Paper (2013)
- X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
Econometric Theory, 2014, 30, (1), 201-251 View citations (25)
See also Working Paper (2010)
2013
- First difference maximum likelihood and dynamic panel estimation
Journal of Econometrics, 2013, 175, (1), 35-45 View citations (15)
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
Econometric Theory, 2013, 29, (4), 808-837 View citations (5)
See also Working Paper (2011)
- Predictive regression under various degrees of persistence and robust long-horizon regression
Journal of Econometrics, 2013, 177, (2), 250-264 View citations (50)
- Semiparametric estimation in triangular system equations with nonstationarity
Journal of Econometrics, 2013, 176, (1), 59-79 View citations (22)
2012
- Cointegrating rank selection in models with time-varying variance
Journal of Econometrics, 2012, 169, (2), 155-165 View citations (10)
See also Working Paper (2009)
- Dynamic misspecification in nonparametric cointegrating regression
Journal of Econometrics, 2012, 168, (2), 270-284 View citations (10)
See also Working Paper (2009)
- Folklore Theorems, Implicit Maps, and Indirect Inference
Econometrica, 2012, 80, (1), 425-454 View citations (34)
- Mean and autocovariance function estimation near the boundary of stationarity
Journal of Econometrics, 2012, 169, (2), 166-178 View citations (5)
See also Working Paper (2009)
- NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
Econometric Theory, 2012, 28, (3), 509-547 View citations (12)
See also Working Paper (2010)
- Optimal estimation under nonstandard conditions
Journal of Econometrics, 2012, 169, (2), 258-265 View citations (11)
See also Working Paper (2010)
- Testing for common trends in semi‐parametric panel data models with fixed effects
Econometrics Journal, 2012, 15, (1), 56-100 View citations (19)
See also Working Paper (2011)
2011
- ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
Econometric Theory, 2011, 27, (2), 235-259 View citations (25)
- Bias in estimating multivariate and univariate diffusions
Journal of Econometrics, 2011, 161, (2), 228-245 View citations (11)
See also Working Paper (2011)
- 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
- Dating the timeline of financial bubbles during the subprime crisis
Quantitative Economics, 2011, 2, (3), 455-491 View citations (271)
See also Working Paper (2010)
- EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
International Economic Review, 2011, 52, (1), 201-226 View citations (481)
See also Working Paper (2009)
- Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 View citations (3)
Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) View citations (3)
See also Working Paper (2009)
- Non‐parametric regression under location shifts
Econometrics Journal, 2011, 14, (3), 457-486 View citations (3)
- POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
Econometric Theory, 2011, 27, (6), 1320-1368 View citations (10)
See also Working Paper (2010)
- Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 View citations (18)
Also in Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 (2011) View citations (21)
- UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
Econometric Theory, 2011, 27, (6), 1117-1151 View citations (7)
See also Working Paper (2010)
2010
- Bimodal t-ratios: the impact of thick tails on inference
Econometrics Journal, 2010, 13, (2), 271-289 View citations (7)
- Bootstrapping I(1) data
Journal of Econometrics, 2010, 158, (2), 280-284 View citations (1)
See also Working Paper (2009)
- GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
Econometric Theory, 2010, 26, (1), 119-151 View citations (110)
See also Working Paper (2007)
- Indirect inference for dynamic panel models
Journal of Econometrics, 2010, 157, (1), 68-77 View citations (66)
See also Working Paper (2006)
- LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
Econometric Theory, 2010, 26, (3), 953-962 View citations (2)
See also Working Paper (2009)
- Smoothing local-to-moderate unit root theory
Journal of Econometrics, 2010, 158, (2), 274-279 View citations (13)
See also Working Paper (2008)
- Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
Journal of Business & Economic Statistics, 2010, 28, (1), 96-114 View citations (25)
See also Working Paper (2005)
- Two New Zealand pioneer econometricians
New Zealand Economic Papers, 2010, 44, (1), 1-26 View citations (3)
See also Working Paper (2010)
2009
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Journal of Econometrics, 2009, 150, (2), 139-150 View citations (11)
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
Econometric Theory, 2009, 25, (3), 710-738 View citations (73)
See also Working Paper (2006)
- EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
Econometric Theory, 2009, 25, (4), 958-984 View citations (2)
See also Working Paper (2007)
- Economic transition and growth
Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 View citations (280)
Also in Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 (2009) View citations (261)
See also Working Paper (2005)
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
Econometric Theory, 2009, 25, (2), 482-526 View citations (33)
- LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
Econometric Theory, 2009, 25, (6), 1466-1497 View citations (14)
See also Working Paper (2008)
- Long memory and long run variation
Journal of Econometrics, 2009, 151, (2), 150-158 View citations (2)
See also Working Paper (2008)
- Semiparametric cointegrating rank selection
Econometrics Journal, 2009, 12, (s1), S83-S104 View citations (18)
See also Working Paper (2008)
- Simulation-Based Estimation of Contingent-Claims Prices
Review of Financial Studies, 2009, 22, (9), 3669-3705 View citations (17)
See also Working Paper (2008)
- Structural Nonparametric Cointegrating Regression
Econometrica, 2009, 77, (6), 1901-1948 View citations (67)
See also Working Paper (2008)
- UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
Econometric Theory, 2009, 25, (6), 1682-1715 View citations (38)
See also Working Paper (2008)
2008
- 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)
- Adaptive estimation of autoregressive models with time-varying variances
Journal of Econometrics, 2008, 142, (1), 265-280 View citations (50)
See also Working Paper (2006)
- GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
Econometric Theory, 2008, 24, (3), 631-650 View citations (12)
See also Working Paper (2006)
- LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
Econometric Theory, 2008, 24, (4), 865-887 View citations (13)
See also Working Paper (2007)
- Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Econometrica, 2008, 76, (1), 175-194 View citations (104)
See also Working Paper (2006)
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Econometric Theory, 2008, 24, (4), 888-947 View citations (27)
See also Working Paper (2008)
- Refined Inference on Long Memory in Realized Volatility
Econometric Reviews, 2008, 27, (1-3), 254-267 View citations (22)
See also Working Paper (2006)
2007
- A simple approach to the parametric estimation of potentially nonstationary diffusions
Journal of Econometrics, 2007, 137, (2), 354-395 View citations (19)
See also Working Paper (2005)
- Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
Journal of Econometrics, 2007, 137, (1), 162-188 View citations (131)
See also Working Paper (2004)
- Incidental trends and the power of panel unit root tests
Journal of Econometrics, 2007, 141, (2), 416-459 View citations (54)
See also Working Paper (2005)
- LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
Econometric Theory, 2007, 23, (6), 1233-1247 View citations (10)
See also Working Paper (2007)
- Limit theory for moderate deviations from a unit root
Journal of Econometrics, 2007, 136, (1), 115-130 View citations (206)
See also Working Paper (2004)
- REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
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See also Working Paper (2007)
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See also Working Paper (1999)
2006
- A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
Econometric Theory, 2006, 22, (5), 947-960 View citations (10)
See also Working Paper (2005)
- A new approach to robust inference in cointegration
Economics Letters, 2006, 91, (2), 300-306 View citations (6)
See also Working Paper (2005)
- Comment
Journal of Business & Economic Statistics, 2006, 24, 202-208
- GMM with Many Moment Conditions
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See also Working Paper (2005)
- Inference in Autoregression under Heteroskedasticity
Journal of Time Series Analysis, 2006, 27, (2), 289-308 View citations (39)
- Local Whittle estimation of fractional integration and some of its variants
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- ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
Econometric Theory, 2006, 22, (6), 1179-1190 View citations (12)
- SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
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See also Working Paper (2004)
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See also Working Paper (2004)
2005
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See also Working Paper (2004)
- Albert Rex Bergstrom 1925-2005
New Zealand Economic Papers, 2005, 39, (2), 129-152 View citations (2)
- Challenges of trending time series econometrics
Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 401-416 View citations (33)
See also Working Paper (2004)
- Econometric Analysis of Fisher's Equation
American Journal of Economics and Sociology, 2005, 64, (1), 125-168 View citations (8)
See also Working Paper (1998)
- 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)
- HAC ESTIMATION BY AUTOMATED REGRESSION
Econometric Theory, 2005, 21, (1), 116-142 View citations (53)
See also Working Paper (2004)
- Jackknifing Bond Option Prices
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See also Working Paper (2004)
- Prewhitening Bias in HAC Estimation
Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 View citations (135)
See also Working Paper (2004)
2004
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Econometric Theory, 2004, 20, (3), 464-484 View citations (10)
- Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
Journal of Time Series Analysis, 2004, 25, (5), 733-753 View citations (4)
See also Working Paper (2002)
- GMM Estimation of Autoregressive Roots Near Unity with Panel Data
Econometrica, 2004, 72, (2), 467-522 View citations (21)
See also Working Paper (2003)
- Nonlinear instrumental variable estimation of an autoregression
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See also Working Paper (2001)
- Nonstationary discrete choice
Journal of Econometrics, 2004, 120, (1), 103-138 View citations (65)
See also Working Paper (2002)
2003
- 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution
Econometric Theory, 2003, 19, (4), 692-701 View citations (1)
- 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)
- Dynamic panel estimation and homogeneity testing under cross section dependence &ast
Econometrics Journal, 2003, 6, (1), 217-259 View citations (471)
- Empirical Limits for Time Series Econometric Models
Econometrica, 2003, 71, (2), 627-673 View citations (25)
See also Working Paper (1999)
- Fully Nonparametric Estimation of Scalar Diffusion Models
Econometrica, 2003, 71, (1), 241-283 View citations (100)
See also Working Paper (2001)
- IN MEMORY OF JOHN DENIS SARGAN
Econometric Theory, 2003, 19, (3), 417-422 View citations (1)
- Inference in Arch and Garch Models with Heavy--Tailed Errors
Econometrica, 2003, 71, (1), 285-317 View citations (140)
- Laws and Limits of Econometrics
Economic Journal, 2003, 113, (486), C26-C52 View citations (28)
See also Working Paper (2003)
- Nonlinear log-periodogram regression for perturbed fractional processes
Journal of Econometrics, 2003, 115, (2), 355-389 View citations (58)
See also Working Paper (2002)
- THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
Econometric Theory, 2003, 19, (6), 1201-1202
- VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
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See also Working Paper (2003)
2002
- A CUSUM test for cointegration using regression residuals
Journal of Econometrics, 2002, 108, (1), 43-61 View citations (39)
See also Working Paper (2001)
- Band Spectral Regression with Trending Data
Econometrica, 2002, 70, (3), 1067-1109 View citations (67)
See also Working Paper (1997)
- Higher order approximations for Wald statistics in time series regressions with integrated processes
Journal of Econometrics, 2002, 108, (1), 157-198 View citations (5)
- Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
Journal of Econometrics, 2002, 111, (2), 251-283 View citations (6)
See also Working Paper (1998)
- New unit root asymptotics in the presence of deterministic trends
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See also Working Paper (1998)
- Pooled Log Periodogram Regression
Journal of Time Series Analysis, 2002, 23, (1), 57-93 View citations (28)
See also Working Paper (2000)
- The KPSS test with seasonal dummies
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See also Working Paper (2002)
2001
- A Gaussian approach for continuous time models of the short-term interest rate
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- Descriptive econometrics for non-stationary time series with empirical illustrations
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See also Working Paper (1999)
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See also Working Paper (1999)
- Nonlinear Regressions with Integrated Time Series
Econometrica, 2001, 69, (1), 117-61 View citations (211)
See also Working Paper (1998)
- Nonlinear econometric models with cointegrated and deterministically trending regressors
Econometrics Journal, 2001, 4, (1), 1-36 View citations (78)
See also Working Paper (1999)
- Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
Journal of Applied Econometrics, 2001, 16, (6), 671-708 View citations (116)
- Structural Change Tests in Tail Behaviour and the Asian Crisis
Review of Economic Studies, 2001, 68, (3), 633-663 View citations (59)
- Trending time series and macroeconomic activity: Some present and future challenges
Journal of Econometrics, 2001, 100, (1), 21-27 View citations (43)
See also Working Paper (2000)
2000
- ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
Econometric Theory, 2000, 16, (6), 927-997 View citations (40)
See also Working Paper (1999)
- Forecasting New Zealand's real GDP
New Zealand Economic Papers, 2000, 34, (2), 159-181 View citations (2)
See also Working Paper (2000)
- Nonstationary Binary Choice
Econometrica, 2000, 68, (5), 1249-1280 View citations (74)
See also Working Paper (1999)
- Nonstationary panel data analysis: an overview of some recent developments
Econometric Reviews, 2000, 19, (3), 263-286 View citations (157)
See also Working Paper (1999)
1999
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Econometric Theory, 1999, 15, (3), 269-298 View citations (176)
See also Working Paper (1998)
- EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
Econometric Theory, 1999, 15, (4), 519-548 View citations (20)
- Linear Regression Limit Theory for Nonstationary Panel Data
Econometrica, 1999, 67, (5), 1057-1112 View citations (792)
See also Working Paper (1999)
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Journal of Econometrics, 1999, 91, (2), 227-271 View citations (60)
See also Working Paper (1997)
1998
- A Primer on Unit Root Testing
Journal of Economic Surveys, 1998, 12, (5), 423-470 View citations (111)
See also Working Paper (1998)
- 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 (18)
See also Working Paper (1997)
- Higher-order approximations for frequency domain time series regression
Journal of Econometrics, 1998, 86, (2), 297-336 View citations (15)
- Impulse response and forecast error variance asymptotics in nonstationary VARs
Journal of Econometrics, 1998, 83, (1-2), 21-56 View citations (165)
See also Working Paper (1995)
- New Tools for Understanding Spurious Regressions
Econometrica, 1998, 66, (6), 1299-1326 View citations (85)
- 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 (30)
1997
- Forward exchange market unbiasedness: the case of the Australian dollar since 1984
Journal of International Money and Finance, 1997, 16, (6), 885-907 View citations (20)
See also Working Paper (1996)
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
Journal of Econometrics, 1997, 80, (1), 85-123 View citations (36)
See also Working Paper (1994)
1996
- An Asymptotic Theory of Bayesian Inference for Time Series
Econometrica, 1996, 64, (2), 381-412 View citations (78)
- Econometric Model Determination
Econometrica, 1996, 64, (4), 763-812 View citations (89)
- Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
Journal of Applied Econometrics, 1996, 11, (1), 1-22 View citations (22)
See also Working Paper (1994)
1995
- Bayesian model selection and prediction with empirical applications
Journal of Econometrics, 1995, 69, (1), 289-331 View citations (22)
See also Working Paper (1992)
- Bayesian prediction a response
Journal of Econometrics, 1995, 69, (1), 351-365 View citations (5)
- Efficient IV Estimation in Nonstationary Regression
Econometric Theory, 1995, 11, (5), 1095-1130 View citations (10)
- Fully Modified Least Squares and Vector Autoregression
Econometrica, 1995, 63, (5), 1023-78 View citations (231)
See also Working Paper (1993)
- Robust Nonstationary Regression
Econometric Theory, 1995, 11, (5), 912-951 View citations (24)
See also Working Paper (1993)
- Time Series Regression with Mixtures of Integrated Processes
Econometric Theory, 1995, 11, (5), 1033-1094 View citations (10)
- Trending Multiple Time Series: Editor's Introduction
Econometric Theory, 1995, 11, (5), 811-817
1994
- A Reexamination of the Consumption Function Using Frequency Domain Regressions
Empirical Economics, 1994, 19, (4), 595-609 View citations (20)
See also Working Paper (1991) Working Paper (1991)
- Bayes Methods and Unit Roots
Econometric Theory, 1994, 10, (3-4), 453-460 View citations (1)
- Posterior Odds Testing for a Unit Root with Data-Based Model Selection
Econometric Theory, 1994, 10, (3-4), 774-808 View citations (55)
See also Working Paper (1992)
- Reflections on the Day
Journal of Economic Surveys, 1994, 8, (3), 311-16 View citations (1)
- 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 (160)
See also Working Paper (1992)
1993
- Parameter Constancy in Cointegrating Regressions
Empirical Economics, 1993, 18, (4), 675-706 View citations (53)
- Testing for a unit root by frequency domain regression
Journal of Econometrics, 1993, 59, (3), 263-286 View citations (12)
- The spurious effect of unit roots on vector autoregressions: An analytical study
Journal of Econometrics, 1993, 59, (3), 229-255 View citations (34)
- Vector Autoregressions and Causality
Econometrica, 1993, 61, (6), 1367-93 View citations (396)
See also Working Paper (1991)
1992
- Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
Journal of Econometrics, 1992, 51, (1-2), 113-150 View citations (82)
See also Working Paper (1989)
- 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 (405)
- 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 (3898)
See also Working Paper (1991)
1991
- A Shortcut to LAD Estimator Asymptotics
Econometric Theory, 1991, 7, (4), 450-463 View citations (39)
See also Working Paper (1990)
- Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
Journal of Applied Econometrics, 1991, 6, (4), 435-73 View citations (28)
See also Working Paper (1991)
- Estimating Long-run Economic Equilibria
Review of Economic Studies, 1991, 58, (3), 407-436 View citations (407)
See also Working Paper (1989)
- Optimal Inference in Cointegrated Systems
Econometrica, 1991, 59, (2), 283-306 View citations (471)
See also Working Paper (1989)
- The Durbin-Watson ratio under infinite-variance errors
Journal of Econometrics, 1991, 47, (1), 85-114 View citations (6)
See also Working Paper (1989)
- To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
Journal of Applied Econometrics, 1991, 6, (4), 333-64 View citations (130)
See also Working Paper (1990)
1990
- Asymptotic Properties of Residual Based Tests for Cointegration
Econometrica, 1990, 58, (1), 165-93 View citations (946)
See also Working Paper (1988)
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
Review of Economic Studies, 1990, 57, (1), 99-125 View citations (1602)
- Time Series Regression With a Unit Root and Infinite-Variance Errors
Econometric Theory, 1990, 6, (1), 44-62 View citations (36)
See also Working Paper (1989)
1989
- Partially Identified Econometric Models
Econometric Theory, 1989, 5, (2), 181-240 View citations (155)
See also Working Paper (1988)
- Spherical matrix distributions and cauchy quotients
Statistics & Probability Letters, 1989, 8, (1), 51-53 View citations (5)
See also Working Paper (1987)
- Statistical Inference in Regressions with Integrated Processes: Part 2
Econometric Theory, 1989, 5, (1), 95-131 View citations (173)
See also Working Paper (1987)
1988
- Conditional and unconditional statistical independence
Journal of Econometrics, 1988, 38, (3), 341-348 View citations (5)
See also Working Paper (1987)
- On the Formulation of Wald Tests of Nonlinear Restrictions
Econometrica, 1988, 56, (5), 1065-83 View citations (58)
See also Working Paper (1986)
- Reflections on Econometric Methodology
The Economic Record, 1988, 64, (4), 344-359 View citations (35)
See also Working Paper (1988)
- Regression Theory for Near-Integrated Time Series
Econometrica, 1988, 56, (5), 1021-43 View citations (116)
See also Working Paper (1987)
- Statistical Inference in Regressions with Integrated Processes: Part 1
Econometric Theory, 1988, 4, (3), 468-497 View citations (216)
See also Working Paper (1987)
- Testing for cointegration using principal components methods
Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 View citations (75)
- Trends versus Random Walks in Time Series Analysis
Econometrica, 1988, 56, (6), 1333-54 View citations (104)
See also Working Paper (1986)
- Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations
Econometric Theory, 1988, 4, (3), 528-533 View citations (31)
See also Working Paper (1987)
- Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
Journal of Multivariate Analysis, 1988, 24, (2), 252-264 View citations (7)
- Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
Econometric Theory, 1988, 4, (1), 1-34 View citations (8)
1987
- An everywhere convergent series representation of the distribution of Hotelling's generalized T02
Journal of Multivariate Analysis, 1987, 21, (2), 238-249
- Asymptotic Expansions in Nonstationary Vector Autoregressions
Econometric Theory, 1987, 3, (1), 45-68 View citations (12)
See also Working Paper (1985)
- Does GNP have a unit root?: A re-evaluation
Economics Letters, 1987, 23, (2), 139-145 View citations (44)
See also Working Paper (1986)
- Time Series Regression with a Unit Root
Econometrica, 1987, 55, (2), 277-301 View citations (1098)
See also Working Paper (1987) Working Paper (1986)
1986
- Multiple Time Series Regression with Integrated Processes
Review of Economic Studies, 1986, 53, (4), 473-495 View citations (337)
See also Working Paper (1985)
- The Distribution of FIML in the Leading Case
International Economic Review, 1986, 27, (1), 239-43 View citations (4)
See also Working Paper (1985)
- The Exact Distribution of the Wald Statistic
Econometrica, 1986, 54, (4), 881-95 View citations (9)
See also Working Paper (1984)
- Understanding spurious regressions in econometrics
Journal of Econometrics, 1986, 33, (3), 311-340 View citations (704)
See also Working Paper (1985)
1985
- A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family
Canadian Journal of Economics, 1985, 18, (1), 58-65 View citations (3)
- The Exact Distribution of LIML: II
International Economic Review, 1985, 26, (1), 21-36 View citations (21)
Also in International Economic Review, 1984, 25, (1), 249-61 (1984) View citations (27)
See also Working Paper (1983)
- The Exact Distribution of the SUR Estimator
Econometrica, 1985, 53, (4), 745-56 View citations (8)
- The distribution of matrix quotients
Journal of Multivariate Analysis, 1985, 16, (1), 157-161 View citations (2)
See also Working Paper (1982)
1984
- The exact distribution of exogenous variable coefficient estimators
Journal of Econometrics, 1984, 26, (3), 387-398 View citations (6)
See also Working Paper (1983)
- The exact distribution of the Stein-rule estimator
Journal of Econometrics, 1984, 25, (1-2), 123-131 View citations (9)
See also Working Paper (1983)
1983
- ERAs: A New Approach to Small Sample Theory
Econometrica, 1983, 51, (5), 1505-25 View citations (15)
See also Working Paper (1982)
1982
- A simple proof of the latent root sensitivity formula
Economics Letters, 1982, 9, (1), 57-59 View citations (1)
- On the Consistency of Nonlinear FIML
Econometrica, 1982, 50, (5), 1307-24 View citations (8)
See also Working Paper (1980)
- On the behavior of inconsistent instrumental variable estimators
Journal of Econometrics, 1982, 19, (2-3), 183-201 View citations (27)
See also Working Paper (1980)
1980
- 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 (15)
- The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
Econometrica, 1980, 48, (4), 861-78 View citations (35)
1979
- 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 (10)
- The concentration ellipsoid of a random vector
Journal of Econometrics, 1979, 11, (2-3), 363-365 View citations (1)
- The sampling distribution of forecasts from a first-order autoregression
Journal of Econometrics, 1979, 9, (3), 241-261 View citations (29)
1977
- 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 (29)
- A large deviation limit theorem for multivariate distributions
Journal of Multivariate Analysis, 1977, 7, (1), 50-62
- 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)
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
Econometrica, 1977, 45, (2), 463-85 View citations (58)
1976
- The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
Econometrica, 1976, 44, (3), 449-60 View citations (5)
1974
- A Forecasting Model for the United Kingdom Invisible Account
National Institute Economic Review, 1974, 69, 58-76
- The Estimation of Some Continuous Time Models
Econometrica, 1974, 42, (5), 803-23 View citations (17)
1973
- The problem of identification in finite parameter continuous time models
Journal of Econometrics, 1973, 1, (4), 351-362 View citations (42)
1972
- The Structural Estimation of a Stochastic Differential Equation System
Econometrica, 1972, 40, (6), 1021-41 View citations (29)
Chapters
1983
- Exact small sample theory in the simultaneous equations model
Chapter 08 in Handbook of Econometrics, 1983, vol. 1, pp 449-516 View citations (92)
See also Working Paper (1982)
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