P. Phillips

发表

P. Phillips, 1988, Econometric Theory.

Statistical Inference in Instrumental Variables

P. Phillips, B. Hansen, 1989 .

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?

P. Phillips, P. Schmidt, D. Kwiatkowski, 1992 .

Multiple Time Series Regression with Integrated Processes

P. Phillips, S. Durlauf, 1986 .

TRENDS VERSUS RANDOM WALKS IN TIME SERIES ANALYSIS

P. Phillips, S. Durlauf, 1988 .

Understanding spurious regressions in econometrics

P. Phillips, 1986 .

Testing for a Unit Root in Time Series Regression

P. Phillips, 1988 .

Vector autoregression and causality: a theoretical overview and simulation study

P. Phillips, Hiro Y. Toda, 1994 .

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations

P. Phillips, Jun Yu, 2005 .

INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS

P. Phillips, Tassos Magdalinos, 2013, Econometric Theory.

Dating the Timeline of Financial Bubbles During the Subprime Crisis

P. Phillips, Jun Yu, 2010 .

The Estimation of Some Continuous Time Models

P. Phillips, 1974 .

Refined Inference on Long Memory in Realized Volatility

P. Phillips, Offer Lieberman, 2006 .

Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

Peter C. B. Phillips, Binbin Guo, P. Phillips, 2001 .

Asymptotic Properties of Residual Based Tests for Cointegration

P. Phillips, S. Ouliaris, 1990 .

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

P. Phillips, J. Cho, 2016 .

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

P. Phillips, J. Cho, 2016 .

TESTING LINEARITY USING POWER TRANSFORMS OF REGRESSORS by Yae In

P. Phillips, J. Cho, Baek, 2015 .

Testing Linearity Using Power Transforms of Regressors

P. Phillips, J. Cho, Y. Baek, 2013 .

Testing Linearity Using Power Transforms of Regressors

P. Phillips, J. Cho, Y. Baek, 2013 .

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

John C. Chao, P. Phillips, 1999 .

Identifying Latent Structures in Panel Data

P. Phillips, Liangjun Su, Zhentao Shi, 2014 .

Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

Peter C. B. Phillips, John C. Chao, P. Phillips, 1998 .

Exact Small Sample Theory in the Simultaneous Equations Model

Peter C. B. Phillips, P. Phillips, 1983 .

Bimodal T-Ratios: The Impact of Thick Tails on Inference

Peter C. B. Phillips, Carlo V. Fiorio, Vassilis A. Hajivassiliou, 2010 .

ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

Qiying Wang, Peter C. B. Phillips, P. Phillips, 2006, Econometric Theory.

Simulation-Based Estimation of Contingent-Claims Prices

P. Phillips, Jun Yu, 2007 .

Jackknifing Bond Option Prices

P. Phillips, Jun Yu, 2003 .

A Gaussian approach for continuous time models of the short-term interest rate

P. Phillips, Jun Yu, 2001 .

Nonstationary Density Estimation and Kernel Autoregression

P. Phillips, Joon Y. Park, 1998 .

A two-stage realized volatility approach to estimation of diffusion processes with discrete data

P. Phillips, Jun Yu, 2009 .

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

P. Phillips, Jun Yu, 2007 .

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

P. Phillips, F. Bandi, 2005 .

The Structural Estimation of a Stochastic Differential Equation System

P. Phillips, 1972 .

THE PROBLEM OF IDENTIFICATION IN FINITE PARAMETER CONTINUOUS TIME MODELS

P. Phillips, 1973 .

Time series regression with a unit root

P. Phillips, 1987 .

Regression Theory for Near-Integrated Time Series

P. Phillips, 1988 .

Statistical Inference in Regressions with Integrated Processes: Part 1

P. Phillips, Joon Y. Park, 1988, Econometric Theory.

Nonstationary Continuous-Time Processes ⁄

P. Phillips, F. Bandi, 2010 .

Model Selection in the Presence of Incidental Parameters

P. Phillips, Yoonseok Lee, 2013 .

A Primer on Unit Root Testing

P. Phillips, Zhijie Xiao, 1998 .

Local Whittle estimation in nonstationary and unit root cases

P. Phillips, Katsumi Shimotsu, 2004, math/0406462.

Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

P. Phillips, M. Loretan, 1994 .

Threshold Regression with Endogeneity

P. Phillips, P. Yu, 2014 .

Linear Regression Limit Theory for Nonstationary Panel Data

P. Phillips, H. Moon, 1999 .

Advances in econometrics and quantitative economics : essays in honor of professor C.R. Rao

Calyampudi R. Rao, P. Phillips, T. Srinivasan, 1995 .

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Ke-Li Xu, Peter C. B. Phillips, P. Phillips, 2006 .

Change Detection and the Causal Impact of the Yield Curve

P. Phillips, S. Hurn, Shuping Shi, 2018, Journal of Time Series Analysis.

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Xiaohong Chen, P. Phillips, R. Dahlhaus, 2003 .

The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables

P. Phillips, P C B Phillips, 1980 .

Time Series Regression With a Unit Root and Infinite-Variance Errors

Peter C. B. Phillips, P. Phillips, 1990, Econometric Theory.

Vector Autoregressions and Causality

Peter C. B. Phillips, P. Phillips, Hiro Y. Toda, 1993 .

Optimal estimation under nonstandard conditions

P. Phillips, W. Ploberger, Peter C. B. Phillips, 2006 .

John Denis Sargan (1924–1996)

P. Phillips, D. Hendry, 2019, The Palgrave Companion to LSE Economics.

John Denis Sargan at the London School of Economics

P. Phillips, D. Hendry, 2017 .

Laws and Limits of Econometrics

Peter C. B. Phillips, P. Phillips, 2003 .

LM Tests for a Unit Root in the Presence of Deterministic Trends

Peter Schmidt, Peter C. B. Phillips, P. Phillips, 1992 .

Fully Nonparametric Estimation of Scalar Diffusion Models

Peter C. B. Phillips, P. Phillips, F. Bandi, 2001 .

Statistical Inference in Regressions with Integrated Processes: Part 2

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 1989, Econometric Theory.

Institutional Knowledge at Singapore Management University Disentangling greenhouse warming and aerosol cooling to reveal Earth's climate sensitivity

M. Wild, P. Phillips, U. Lohmann, 2016 .

Disentangling greenhouse warming and aerosol cooling to reveal Earth[rsquor]s climate sensitivity

Martin Wild, Peter C. B. Phillips, Trude Storelvmo, 2016 .

A CUSUM Test for Cointegration Using Regression Residuals

Zhijie Xiao, Peter C. B. Phillips, P. Phillips, 2001 .

Nonstationary panel data analysis: an overview of some recent developments

Peter C.B. Phillips, P. Phillips, H. Moon, 2000 .

Parameter constancy in cointegrating regressions

P. Phillips, Carmela E. Quintos, Carmela Quintos, 1993 .

Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains

P. Phillips, In Choi, 1989 .

Testing for cointegration using principal components methods

Sam Ouliaris, Peter C. B. Phillips, P. Phillips, 1988 .

UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY

P. Phillips, 2013, Econometric Theory.

AUTOMATED DISCOVERY IN ECONOMETRICS

Peter C. B. Phillips, P. Phillips, 2004, Econometric Theory.

Structural Nonparametric Cointegrating Regression

Qiying Wang, Peter C. B. Phillips, P. Phillips, 2008 .

The Review of Economic Studies , Ltd . Multiple Time Series Regression with Integrated Processes

P. Phillips, S. Durlauf, Cowles, 2014 .

Smoothing Local-to-Moderate Unit Root Theory

P. Phillips, L. Giraitis, Tassos Magdalinos, 2008 .

A Shortcut to LAD Estimator Asymptotics

Peter C. B. Phillips, P. Phillips, 1991, Econometric Theory.

A Bayesian Analysis of Trend Determination in Economic Time Series

Eric Zivot, Peter C. B. Phillips, P. Phillips, 1994 .

Semiparametric Estimation in Simultaneous Equations of Time Series Models

P. Phillips, Jiti Gao, 2010 .

Semiparametric Estimation in Time Series of Simultaneous Equations

P. Phillips, Jiti Gao, 2010 .

High-dimensional VARs with common factors

P. Phillips, Liangjun Su, Ke Miao, 2022, Journal of Econometrics.

Estimating Smooth Structural Change in Cointegration Models

P. Phillips, Jiti Gao, Degui Li, 2013 .

Functional Coefficient Nonstationary Regression

P. Phillips, Jiti Gao, 2013 .

Semiparametric Estimation in Multivariate Nonstationary Time Series Models

P. Phillips, Jiti Gao, 2011 .

LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS

Peter C. B. Phillips, P. Phillips, Tassos Magdalinos, 2009, Econometric Theory.

REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS

P. Phillips, R. Ibragimov, 2004, Econometric Theory.

Limit Theory for Moderate Deviations from a Unit Root

Peter C. B. Phillips, P. Phillips, Tassos Magdalinos, 2004 .

REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS 1

P. Phillips, R. Ibragimov, 2004 .

Nonlinear Regressions with Integrated Time Series

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 2001 .

Econometric Model Determination

Peter C. B. Phillips, P. Phillips, 1996 .

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

Peter C. B. Phillips, P. Phillips, 1988, Econometric Theory.

LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES

P. Phillips, C. Kim, 2007, Econometric Theory.

Band Spectral Regression with Trending Data

Sam Ouliaris, Peter C. B. Phillips, Dean Corbae, 2002 .

Minimum Distance Testing and Top Income Shares in Korea

P. Phillips, J. Cho, Myung-ho Park, 2015 .

Reduced forms and weak instrumentation

P. Phillips, 2017 .

Nonstationary panel models with latent group structures and cross-section dependence

P. Phillips, Liangjun Su, Sainan Jin, 2020 .

On the Consistency of Non-Linear FIML

P. Phillips, 1980 .

POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS

P. Phillips, Yixiao Sun, Sainan Jin, 2010, Econometric Theory.

Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

P. Phillips, Yixiao Sun, Sainan Jin, 2007 .

Log Periodogram Regression: The Nonstationary Case

Peter C. B. Phillips, P. Phillips, Chang Sik Kim, 2006 .

Asymptotic Expansions in Nonstationary Vector Autoregressions

P. Phillips, 1987, Econometric Theory.

Edmond Malinvaud: A Tribute to His Contributions in Econometrics

P. Phillips, 2015 .

Homogeneity Pursuit in Panel Data Models: Theory and Applications

P. Phillips, Liangjun Su, Wuyi Wang, 2016, Journal of applied econometrics.

Pythagorean generalization of testing the equality of two symmetric positive definite matrices

P. Phillips, J. Cho, 2018 .

Testing Equality of Covariance Matrices via Pythagorean Means

P. Phillips, J. Cho, 2014 .

ERA'S: A NEW APPROACH TO SMALL SAMPLE THEORY

Peter C. B. Phillips, P. Phillips, 1983 .

Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's

P. Phillips, R. C. Reiss, 1984 .

Automated Forecasts of Asia-Pacific Economic Activity

P. Phillips, 1995 .

The heterogeneous effects of the minimum wage on employment across states

P. Phillips, Liangjun Su, Wuyi Wang, 2019, Economics Letters.

Indirect Inference in Spatial Autoregression

P. Phillips, Francesca Rossi, Maria Kyriacou, 2017 .

Nonlinearity Induced Weak Instrumentation

P. Phillips, Tassos Magdalinos, Ioannis Kasparis, 2012 .

Efficiency of Maximum Likelihood

P. Phillips, 1992, Econometric Theory.

Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process

P. Phillips, F. Sabzikar, Qiying Wang, 2018, Journal of Econometrics.

Asymptotic theory for near integrated processes driven by tempered linear processes

P. Phillips, F. Sabzikar, Qiying Wang, 2020, Journal of Econometrics.

REFINED INFERENCE ON LONG MEMORY IN REALIZED

P. Phillips, 2006 .

Prewhitening Bias in Hac Estimation

P. Phillips, Donggyu Sul, Chi‐Young Choi, 2003 .

Statistical Inference in Instrumental Variables Regression with I(1) Processes

Peter C. B. Phillips, Bruce E. Hansen, P. Phillips, 1990 .

Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices

P. Phillips, Offer Lieberman, 2018, Journal of Econometrics.

UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION

P. Phillips, Jiti Gao, Degui Li, 2013, Econometric Theory.

Fully Modified Least Squares in I(2) Regression

P. Phillips, Yoosoo Chang, 1994, Econometric Theory.

Unidentified Components in Reduced Rank Regression Estimation of ECM's

P. Phillips, 1991 .

INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS

P. Phillips, Tassos Magdalinos, 2010, Econometric Theory.

Exact Local Whittle Estimation of Fractional Integration

P. Phillips, Katsumi Shimotsu, 2002, math/0508286.

Weak Identification of Long Memory with Implications for Inference

P. Phillips, Shuping Shi, Jia Li, 2022, Social Science Research Network.

Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models

P. Phillips, C. Gouriéroux, Jun Yu, 2017 .

A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES

P. Phillips, Qiying Wang, BY Qiying Wang, 2022 .

OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION

P. Phillips, Qiying Wang, 2020, Econometric Theory.

The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models

P. Phillips, 1991 .

Institutional Knowledge at Singapore Management University Indirect inference in spatial autoregression

P. Phillips, Francesca Rossi, Maria Kyriacou, 2019 .

Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy

P. Phillips, 1992 .

The Characteristic Function of the Dirichlet and Multivariate F Distributions

P. Phillips, 1988 .

Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case

P. Phillips, 1981 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Jackknifing Bond Option Prices Jackknifing Bond Option Prices

P. Phillips, 2020 .

Models, methods, and applications of econometrics : essays in honor of A.R. Bergstrom

P. Phillips, S. Caudill, A. Bergstrom, 1994 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Testing linearity using power transforms of regressors Testing linearity using power transforms of regressors

P. Phillips, J. Cho, Y. Baek, 2020 .

ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION

P. Phillips, L. Giraitis, Violetta Dalla, 2019, Econometric Theory.

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models Indirect Inference for Dynamic Panel Models

P. Phillips, C. Gouriéroux, 2020 .

Dynamic Panel Modeling of Climate Change

P. Phillips, 2018, Econometrics.

ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER

P. Phillips, H. Moon, B. Perron, 2006, Econometric Theory.

Incidental Trends and the Power of Panel Unit Root Tests

P. Phillips, H. Moon, B. Perron, 2005 .

An Econometrician amongst Statisticians: T. W. Anderson

P. Phillips, 2022 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Simulation-Based Estimation of Contingent-Claims Prices Simulation-Based Estimation of Contingent-Claims Prices

P. Phillips, 2020 .

Meritocracy Voting: Measuring the Unmeasurable

P. Phillips, 2011 .

Comment on university education in ecnometrics

P. Phillips, 1983 .

Institutional Knowledge at Singapore Management University Albert Rex Bergstrom: 1925-2005

P. Phillips, 2019 .

The Geometry of the Equivalence of OLS and GLS in the Linear Model

P. Phillips, 1990, Econometric Theory.

The impact of upzoning on housing construction in Auckland

P. Phillips, Ryan Greenaway‐McGrevy, 2023, Journal of Urban Economics.

The Boosted HP Filter Is More General Than You Might Think

P. Phillips, Zhentao Shi, Ziwei Mei, 2022, SSRN Electronic Journal.

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Nonparametric Predictive Regression Nonparametric Predictive Regression

P. Phillips, Ioannis Kasparis, Elena Andreou, 2020 .

Institutional Knowledge at Singapore Management University Limit theory for moderate deviations from a unit root under weak dependence

P. Phillips, 2019 .

IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models

P. Phillips, Offer Lieberman, 2016 .

Spurious Regression in Forecast-Encompassing Tests

P. Phillips, 1994, Econometric Theory.

Forecasting New Zealand's real GDP

P. Phillips, A. Schiff, 2000 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Limit Theory for Explosively Cointegrated Systems Limit Theory for Explosively Cointegrated Systems

P. Phillips, 2020 .

Unit root log periodogram regression

P. Phillips, 2007 .

Boundary Limit Theory for Functional Local to Unity Regression

P. Phillips, A. Bykhovskaya, 2017 .

Testing for Stationarity in the Components Representation of a Time Series

P. Phillips, P. Schmidt, D. Kwiatkowski, 1991, Econometric Theory.

Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency *

P. Phillips, 2022 .

STRUCTURAL INFERENCE FROM REDUCED FORMS WITH MANY

P. Phillips, 2016 .

Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs

P. Phillips, Xiaobin Liu, Yichong Zhang, 2020, The Review of Economics and Statistics.

Bimodal t-ratios

P. Phillips, V. Hajivassiliou, 1987 .

Econometric Analysis of Asset Price Bubbles *

P. Phillips, Shuping Shi, 2022 .

Diagnosing Housing Fever with an Econometric Thermometer

P. Phillips, Shuping Shi, 2020, SSRN Electronic Journal.

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends

Peter C. B. Phillips, P. Phillips, 1991 .

LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES

P. Phillips, J. Cho, Chirok Han, 2009, Econometric Theory.

On the Consistency of Nonlinear FIML

P. Phillips, 1982 .

Institutional Knowledge at Singapore Management University Reduced forms and weak instrumentation

P. Phillips, 2019 .

Multiple Regression with Integrated Time Series

P. Phillips, 1987 .

A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS

Manfred Deistler, Danny Quah, Peter Phillips, 2007 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

A New Approach to Small Sample Theory

P. Phillips, 1981 .

02.3.1. Regression with an Evaporating Logarithmic Trend— Solution

P. Phillips, Yixiao Sun, 2003, Econometric Theory.

A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family

P. Phillips, 1985 .

Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations

P. Phillips, W. Ploberger, 1991 .

Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values?

Yangru Wu, Peter C. B. Phillips, P. Phillips, 2007 .

House prices and affordability

P. Phillips, Ryan Greenaway‐McGrevy, 2021 .

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

P. Phillips, Giuseppe Cavaliere, Stephan Smeekes, 2012 .

Pitfalls in Bootstrapping Spurious Regression

P. Phillips, 2021, Journal of Quantitative Economics.

TRIBUTE TO T.W. ANDERSON

P. Phillips, 2016, Econometric Theory.

Structural Inference from Reduced Forms with Many Instruments

P. Phillips, Wayne Yuan Gao, 2016 .

Lectures on advanced econometric theory, Denis Sargan (edited by Meghnad Desai). basil Blackwell, Oxford, 1988. Price (cloth): £25, pp. xi + 176

P. Phillips, 1989 .

Proffessor T.W. Anderson

P. Phillips, 1986, Econometric Theory.

EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

Peter C. B. Phillips, Offer Lieberman, P. Phillips, 2001, Econometric Theory.

Predictive regression under various degrees of persistence and robust long-horizon regression

Peter C. B. Phillips, Ji Hyung Lee, P. Phillips, 2013 .

ON THE FORMULATION OF WALD TESTS OF NONLINEAR RESTRICTIONS

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 1986 .

On the behavior of inconsistent instrumental variable estimators

P. Phillips, E. Maasoumi, 1982 .

Edgeworth and saddlepoint approximations in the first-order noncircular autoregression

P. Phillips, 1978 .

Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation

Peter C. B. Phillips, P. Phillips, 1977 .

Towards a Unified Asymptotic Theory for Autoregression

Peter C. B. Phillips, P. Phillips, 1987 .

Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables

John C. Chao, P. Phillips, 2002 .

Information loss in volatility measurement with flat price trading

P. Phillips, Jun Yu, 2007, Empirical Economics.

An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional

P. Phillips, W. Ploberger, 2003 .

EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS

Peter C. B. Phillips, Werner Ploberger, P. Phillips, 2003 .

EMPIRICAL LIMITS FOR TIME SERIES

P. Phillips, W. Ploberger, 2003 .

Dynamic Misspecification in Nonparametric Cointegrating Regression

P. Phillips, Ioannis Kasparis, 2009 .

Consistent Misspecification Testing in Spatial Autoregressive Models

Francesca Rossi, Peter C. B. Phillips, Jungyoon Lee, 2020 .

Transition Modeling and Econometric Convergence Tests

Donggyu Sul, Peter C. B. Phillips, P. Phillips, 2007 .

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

P. Phillips, S. Hurn, Shuping Shi, 2016, Journal of Financial Econometrics.

Fully Modified Least Squares and Vector Autoregression

Peter C. B. Phillips, P. Phillips, 1993 .

The spurious effect of unit roots on vector autoregressions: An analytical study

P. Phillips, Hiro Y. Toda, 1993 .

Vector autoregression and causality

P. Phillips, Hiro Y. Toda, 1991 .

P. Phillips, Zhijie Xiao, 1999, Econometric Theory.

An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the US Economy

P. Phillips, Zhijie Xiao, 1998 .

Testing for a unit root by frequency domain regression

P. Phillips, In Choi, 1993 .

An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator

P. Phillips, 1977 .

Boosting: Why you Can Use the HP Filter

Zhentao Shi, Peter C.B. Phillips, P. Phillips, 2019, International Economic Review.

The ET Interview: Professor James Durbin

Peter C. B. Phillips, P. Phillips, 1988, Econometric Theory.

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

P. Phillips, L. Giraitis, 2009 .

Hybrid Stochastic Local Unit Roots

P. Phillips, Offer Lieberman, 2017, Journal of Econometrics.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

P. Phillips, Jun Yu, Yubo Tao, 2018, Journal of Econometrics.

Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity

P. Phillips, Seung-Hyun Hong, 2005 .

Nonparametric Predictive Regression

P. Phillips, Ioannis Kasparis, Elena Andreou, 2012 .

Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence

Donggyu Sul, Peter C. B. Phillips, P. Phillips, 2002 .

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

P. Phillips, Jun Yu, Shuping Shi, 2013 .

Estimation and Inference in Models of Cointegration: A Simulation Study

P. Phillips, B. Hansen, 1988 .

Inference in Autoregression under Heteroskedasticity

P. Phillips, Ke-Li Xu, 2006 .

Inference and Specification Testing in Threshold Regression with Endogeneity

Ping Yu, Qin Liao, Peter C. B. Phillips, 2019, SSRN Electronic Journal.

Robust Nonstationary Regression

P. Phillips, 1995, Econometric Theory.

Fractional Matrix Calculus and the Distribution of Multivariate Tests

P. Phillips, 1987 .

Economic Transition and Growth

Donggyu Sul, Peter C. B. Phillips, P. Phillips, 2005 .

Does Gnp Have a Unit Root? a Reevaluation

P. Phillips, Pierre Perron, 1986 .

Business Cycles, Trend Elimination, and the HP Filter

P. Phillips, Sainan Jin, 2015, International Economic Review.

Boosting the Hodrick-Prescott Filter

Zhentao Shi, Peter C.B. Phillips, P. Phillips, 2019, SSRN Electronic Journal.

Testing for Multiple Bubbles

Peter C. B. Phillips, Jun Yu, Shuping Shi, 2011 .

GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY

P. Phillips, Chirok Han, 2007, Econometric Theory.

Phoebus J. Dhrymes (1932–2016)

P. Phillips, A. Spanos, 2017, Econometric Theory.

AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

P. Phillips, Z. Liao, 2012, Econometric Theory.

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

P. Phillips, Z. Liao, 2012 .

The Mysteries of Trend

P. Phillips, 2010 .

Cointegrating Rank Selection in Models with Time-Varying Variance

Xu Cheng, Peter C. B. Phillips, P. Phillips, 2008 .

Asymptotics for Linear Processes

Victor Solo, Peter C. B. Phillips, V. Solo, 1992 .

The ET interview: professor Clive Granger

Peter C. B. Phillips, P. Phillips, 2001 .

Two New Zealand pioneer econometricians

P. Phillips, 2010 .

EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY

P. Phillips, 2007, Econometric Theory.

Long Memory and Long Run Variation

Peter C. B. Phillips, P. Phillips, 2008 .

UNIT ROOT LOG PERIODOGRAM REGRESSION BY PETER C. B. PHILLIPS COWLES FOUNDATION PAPER NO. 1197 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS

P. Phillips, 2006 .

New unit root asymptotics in the presence of deterministic trends

P. Phillips, 2002 .

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

P. Phillips, H. Moon, 2003 .

Folklore Theorems, Implicit Maps and New Unit Root Limit Theory

Peter C. B. Phillips, P. Phillips, 2010 .

Bootstrapping I(1) Data

P. Phillips, 2009 .

A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION

Peter C. B. Phillips, P. Phillips, 2005, Econometric Theory.

Comment on “modeling asset returns with alternative stable distributions”

P. Phillips, 1993 .

The true characteristic function of the F distribution

Peter C. B. Phillips, P. Phillips, 1982 .

Impulse response and forecast error variance asymptotics in nonstationary VARs

Peter C. B. Phillips, P. Phillips, 1998 .

Bayes Models and Forecasts of Australian Macroeconomic Time Series

Peter C. B. Phillips, P. Phillips, 1992 .

Sinusoidal modeling applied to spatially variant tropospheric ozone air pollution

Peter C. B. Phillips, Nicholas Z. Muller, P. Phillips, 2006 .

Folklore Theorems, Implicit Maps, and Indirect Inference

P. Phillips, 2012 .

PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES

Juwon Seo, Jin Seo Cho, Peter C.B. Phillips, 2021, International Economic Review.

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Peter C. B. Phillips, P. Phillips, 2012 .

FINITE SAMPLE ECONOMETRICS USING ERA'S

P. Phillips, 1983 .

Optimal Inference in Cointegrated Systems

Peter C. B. Phillips, P. Phillips, 1991 .

Infinite Density at the Median and the Typical Shape of Stock Return Distributions

P. Phillips, J. Cho, Chirok Han, 2011 .

Efficient Estimation of Stock Volatility

P. Phillips, Binbin Guo, 2002 .

Efficient Estimation of Second Moment Parameters in Arch Models

P. Phillips, Binbin Guo, 2001 .

Bayesian prediction a response

Peter C. B. Phillips, P. Phillips, 1995 .

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

P. Phillips, Yixiao Sun, 2008 .

REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS

P. Phillips, 2007, Econometric Theory.

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

P. Phillips, Yixiao Sun, Sainan Jin, 2005 .

Improved Har Inference Using Power Kernels Without Truncation

P. Phillips, Yixiao Sun, Sainan Jin, 2005 .

HAC ESTIMATION BY AUTOMATED REGRESSION

P. Phillips, 2004, Econometric Theory.

Regression with Slowly Varying Regressors

P. Phillips, 2001 .

HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY

P. Phillips, Zhijie Xiao, H. Moon, 2001, Econometric Theory.

Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments

P. Phillips, Y. Kitamura, 1997 .

COWLES FOUNDATION FOR RESEARCH IN ECONOMICS

P. Phillips, Garey Ramey, Chin Chin Lee, 1998 .

Nonstationary time series and cointegration

P. Phillips, 1995 .

Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 1988 .

A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System

Peter C. B. Phillips, Alberto Holly, P. Phillips, 1979 .

Semiparametric Cointegrating Rank Selection

Xu Cheng, Peter C. B. Phillips, P. Phillips, 2008 .

Nonlinear Instrumental Variable Estimation of an Autoregression

P. Phillips, Yoosoon Chang, Joon Y. Park, 2001 .

Nonlinear econometric models with cointegrated and deterministically trending regressors

Peter C. B. Phillips, P. Phillips, Yoosoon Chang, 2001 .

ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 1999, Econometric Theory.

Incidental Parameters and Dynamic Panel Modeling

Peter C. B. Phillips, Hyungsik Roger Moon, Benoit Perron, 2015 .

INCIDENTAL PARAMETERS AND DYNAMIC PANEL MODELING by Hyungsik

P. Phillips, B. Perron, R. Moon, 2015 .

A quarterly forecasting model of the New Zealand economy

P. Phillips, J. Yeabsley, 1975 .

Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations

Yichong Zhang, Liang Jiang, Peter C. B. Phillips, 2021, SSRN Electronic Journal.

IN MEMORY OF JOHN DENIS SARGAN

P. Phillips, Peter C.B. Phillips, 2003, Econometric Theory.

Chuan Goh Efficient Semiparametric Detection of Changes in Trend

P. Phillips, D. Andrews, Jean-Marie Dufour, 2009 .

DEPARTMENT OF ECONOMICS

P. Phillips, Tassos Magdalinos, Ioannis Kasparis, 2007 .

Nonstationary Binary Choice

Peter C. B. Phillips, P. Phillips, Joon Y. Park, 2000 .

Estimating Long Run Economic Equilibria

Peter C. B. Phillips, Mico Loretan, P. Phillips, 1991 .

Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach

Peter C. B. Phillips, P. Phillips, Ling Hu, 2002 .

ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS

P. Phillips, 2022, Econometric Theory.

Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour

P. Phillips, Jun Yu, Shuping Shi, 2012 .

Asset pricing with financial bubble risk

Ji Hyung Lee, P. Phillips, 2016 .

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

P. Phillips, O. Linton, Thong Nguyen, 2001 .

Testing the Martingale Hypothesis

P. Phillips, Sainan Jin, 2013 .

Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion

P. Phillips, P. Yu, 2018, Economics Letters.

Point Optimal Testing with Roots That Are Functionally Local to Unity

P. Phillips, A. Bykhovskaya, 2017, Journal of Econometrics.

IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS

P. Phillips, Offer Lieberman, 2017, Econometric Theory.

A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing

P. Phillips, Offer Lieberman, 2014 .

Econometric Inference in the Vicinity of Unity. 1

P. Phillips, 2009 .

Robust inference with stochastic local unit root regressors in predictive regressions

P. Phillips, Yanbo Liu, 2022, Journal of Econometrics.

ERROR CORRECTION AND LONG-RUN EQUILIBRIUM IN CONTINUOUS TIME

Peter C. B. Phillips, P. Phillips, 1989 .

UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION

P. Phillips, Chirok Han, Donggyu Sul, 2010, Econometric Theory.

Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors

Jun Yu, Peter C. B. Phillips, Shuping Shi, 2013 .

Change Detection and the Causal Impact of the Yield Curve

Stan Hurn, Peter C. B. Phillips, Shuping Shi, 2016, Journal of Time Series Analysis.

Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns

P. Phillips, M. Loretan, 1990 .

Diagnostic tests for volatility models

N. Shephard, P. Phillips, J. Davidson, 2008 .

Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde

Peter C. B. Phillips, Jun Yu, P. Phillips, 2005 .

Spectral Regression for Cointegrated Time Series

Peter C. B. Phillips, P. Phillips, 1988 .

Testing Convergence Using HAR Inference

P. Phillips, Donggyu Sul, Jianning Kong, 2020 .

Inference in Near Singular Regression

P. Phillips, 2015 .

Testing for Common Trends in Semi�?Parametric Panel Data Models with Fixed Effects

Yonghui Zhang, Peter C. B. Phillips, Liangjun Su, 2011 .

Some Empirics on Economic Growth under Heterogeneous Technology

P. Phillips, Donggyu Sul, 2007 .

Testing Weak σ-Convergence using HAR Inference ∗

P. Phillips, Donggyu Sul, Jianning Kong, 2019 .

Challenges of Trending Time Series Econometrics

Peter C. B. Phillips, P. Phillips, 2004, Math. Comput. Simul..

The Elusive Empirical Shadow of Growth Convergence

P. Phillips, Donggyu Sul, 2003 .

Weak σ- Convergence: Theory and Applications

P. Phillips, Donggyu Sul, Jianning Kong, 2017 .

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence

Donggyu Sul, Peter C. B. Phillips, P. Phillips, 2003 .

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications

P. Phillips, Ke-Li Xu, 2009 .

Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

Alex Maynard, Peter C. B. Phillips, P. Phillips, 2001 .

Robust tests of forward exchange market efficiency with empirical evidence from the 1920s

P. C. McMahon, P. Phillips, J. McFarland, 1996 .

Conditional and unconditional statistical independence

P. Phillips, 1988 .

The Exact Distribution of the Wald Statistic

P. Phillips, 1986 .

Unit‐Root Tests

P. Phillips, 2006 .

Econometric estimates of Earth’s transient climate sensitivity

P. Phillips, T. Storelvmo, T. Leirvik, 2020, Journal of Econometrics.

Lethargic Response to Aerosol Emissions in Current Climate Models

P. Phillips, T. Storelvmo, M. Wild, 2018, Geophysical Research Letters.

Econometric Measurement of Earth's Transient Climate Sensitivity

P. Phillips, T. Storelvmo, T. Leirvik, 2017 .

Dynamic panel GMM using R

Peter C. B. Phillips, Chirok Han, P. Phillips, 2019, Handbook of Statistics.

Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†

P. Phillips, 2015 .

New methodology for constructing real estate price indices applied to the Singapore residential market

Peter C. B. Phillips, Jun Yu, Liang Jiang, 2015 .

Structural Change Tests in Tail Behaviour and the Asian Crisis

Carmela Quintos, Peter C. B. Phillips, P. Phillips, 1999 .

Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations

Peter C. B. Phillips, In Choi, P. Phillips, 1992 .

ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

Peter C. B. Phillips, Hyungsik Roger Moon, Peter C. B. Phillips, 1999, Econometric Theory.

GMM with Many Moment Conditions

Chirok Han, Peter C. B. Phillips, P. Phillips, 2005 .

Detecting Financial Collapse and Ballooning Sovereign Risk

P. Phillips, Shuping Shi, 2017, Oxford Bulletin of Economics and Statistics.

A reexamination of the consumption function using frequency domain regressions

P. Phillips, S. Ouliaris, Dean Corbae, 1994 .

A Panel Clustering Approach to Analyzing Bubble Behavior

P. Phillips, Jun Yu, Yanbo Liu, 2023, SSRN Electronic Journal.

Uniform Inference in Panel Autoregression

John C. Chao, P. Phillips, 2017, Econometrics.

Point�?Optimal Panel Unit Root Tests with Serially Correlated Errors

P. Phillips, H. Moon, B. Perron, 2014 .

Operational Algebra and Regression t-Tests

P. Phillips, 1990 .

Common Bubble Detection in Large Dimensional Financial Systems

P. Phillips, Ye Chen, Shuping Shi, 2019, SSRN Electronic Journal.

Real Time Monitoring of Asset Markets: Bubbles and Crises

P. Phillips, Shuping Shi, 2018, Handbook of Statistics.

FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION

P. Phillips, Shuping Shi, 2017, Econometric Theory.

Modeling speculative bubbles with diverse investor expectations

P. Phillips, 2016 .

Robust econometric inference with mixed integrated and mildly explosive regressors

Ji Hyung Lee, P. Phillips, 2016 .

Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres

P. Phillips, Ryan Greenaway‐McGrevy, 2015 .

Limit Theory for VARs with Mixed Roots Near Unity

Ji Hyung Lee, P. Phillips, 2015 .

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market

P. Phillips, Jun Yu, Liang Jiang, 2014 .

Financial Bubble Implosion

Peter C. B. Phillips, Shuping Shi, P. Phillips, 2014 .

UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST

P. Phillips, Tassos Magdalinos, 2008, Econometric Theory.

Warning Signs of Future Asset Bubbles

P. Phillips, Jun Yu, 2011 .

Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

Jun Yu, Peter C. B. Phillips, P. Phillips, 2009 .

Limit Theory for Moderate Deviations from Unity

P. Phillips, Tassos Magadalinos, 2007 .

Improved HAR Inference

P. Phillips, Yixiao Sun, Sainan Jin, 2005 .

The exact distribution of the Stein-rule estimator

P. Phillips, 1984 .

VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN

P. Phillips, 2003, Econometric Theory.

Efficient Regression in Time Series Partial Linear Models

P. Phillips, Zhijie Xiao, Binbin Guo, 2002 .

Higher order approximations for Wald statistics in time series regressions with integrated processes

P. Phillips, Zhijie Xiao, 2002 .

Higher-order approximations for frequency domain time series regression

Peter C. B. Phillips, Zhijie Xiao, P. Phillips, 1998 .

Higher Order Approximations for Wald Statistics in Cointegrating Regressions

P. Phillips, Zhijie Xiao, 1998 .

VISION AND INFLUENCE

P. Phillips, J. Sargan, In Econometrics, 2003 .

Functional Coefficient Panel Modeling with Communal Smoothing Covariates

P. Phillips, Ying Wang, 2019, Journal of Econometrics.

FUNCTIONAL COE FF I CIENT PANEL MODELING WITH COMMUNAL SMOOTHING COVARIATES By

P. Phillips, Ying Wang, 2019 .

Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea

P. Phillips, J. Cho, Myung-Ho Park, 2018 .

Bootstrapping Spurious Regression

P. Phillips, 2001 .

ASYMPTOTIC PROPERTIES OF RESIDUAL BASED TESTS

P. Phillips, S. Ouliaris, 1990 .

Uniform Limit Theory for Stationary Autoregression

P. Phillips, L. Giraitis, 2004 .

Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US

P. Phillips, T. Henry, 2020, SSRN Electronic Journal.

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

P. Phillips, Yixiao Sun, Sainan Jin, 2003 .

Local Whittle estimation of fractional integration and some of its variants

Peter C. B. Phillips, Katsumi Shimotsu, P. Phillips, 2006 .

Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/jae.760 UNDERSTANDING THE FISHER EQUATION

P. Phillips, Yixiao Sun, 2022 .

Unit Root Model Selection

P. Phillips, 2008 .

Posterior Odds Testing for a Unit Root with Data-Based Model Selection

Peter C. B. Phillips, Werner Ploberger, P. Phillips, 1994, Econometric Theory.

Lag length selection in panel autoregression

P. Phillips, Chirok Han, Donggyu Sul, 2017 .

Tilted Nonparametric Estimation of Volatility Functions

P. Phillips, Ke-Li Xu, 2010 .

NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY

P. Phillips, Qiying Wang, Zhishui Hu, 2019, Econometric Theory.

Hyper-Consistent Estimation of a Unit Root in Time Series Regression

P. Phillips, 1992 .

Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor

P. Phillips, Liangjun Su, 2009 .

X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION

P. Phillips, Chirok Han, Donggyu Sul, 2013, Econometric Theory.

Indirect Inference for Dynamic Panel Models

Christian Gourieroux, Jun Yu, Peter C. B. Phillips, 2006 .

The University of Auckland Year Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence

P. Phillips, Donggyu Sul, 2006 .

Maximum Likelihood Estimation in Panels with Incidental Trends

Peter C. B. Phillips, Hyungsik Roger Moon, P. Phillips, 1999 .

Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients

Peter C. B. Phillips, P. Phillips, 1994 .

Rissanen's Theorem and Econometric Time Series

Peter C. B. Phillips, Werner Ploberger, P. Phillips, 1998 .

ECONOMETRIC THEORY AND PRACTICE

P. Phillips, 2009, Econometric Theory.

Forward exchange market unbiasedness: the case of the Australian dollar since 1984

P. Phillips, J. McFarland, 1997 .

First difference maximum likelihood and dynamic panel estimation

P. Phillips, Chirok Han, 2013 .

RESEARCH ARTICLE Two New Zealand pioneer econometricians

P. Phillips, 2010 .

Nonstationary Discrete Choice: A Corrigendum and Addendum

P. Phillips, Ling Hu, Sainan Jin, 2005 .

Nonstationary Discrete Choice

P. Phillips, Ling Hu, 2002 .

Supplement to two papers on multiple bubbles [Online supplementary materials]

P. Phillips, Jun Yu, Shuping Shi, 2015 .

Optimal Estimation of Cointegrated Systems with Irrelevant Instruments

P. Phillips, 2006 .

Peter C. B. Phillips, P. Phillips, 2000 .

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

P. Phillips, Jiti Gao, Degui Li, 2017, Journal of Econometrics.

Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration

P. Phillips, Jiti Gao, 2013 .

An Asymptotic Theory of Bayesian Inference for Time Series

Peter C. B. Phillips, Werner Ploberger, P. Phillips, 1996 .

New Tools for Understanding Spurious Regressions

Peter C. B. Phillips, P. Phillips, 1998 .

RECESSION HEADLINE NEWS, CONSUMER SENTIMENT, THE STATE OF THE ECONOMY AND PRESIDENTIAL POPULARITY: A TIME SERIES ANALYSIS 1989–1993

Peter C. B. Phillips, P. Phillips, Deborah J. Blood, 1995 .

Efficient Semiparametric Detection of Changes in Trend Chuan Goh

P. Phillips, D. Andrews, Jean-Marie Dufour, 2009 .

Simultaneous Equations Bias in Level VAR Estimation

P. Phillips, 1992, Econometric Theory.

The sampling distribution of forecasts from a first-order autoregression

Peter C. B. Phillips, P. Phillips, 1979 .

A Model of Output, Employment, Capital Formation and Inflation

P. Phillips, R. Bailey, V. Hall, 1987 .

Realized Variance and Market Microstructure Noise - Comment

P. Phillips, Jun Yu, 2006 .

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Peter C. B. Phillips, Yixiao Sun, P. Phillips, 2002 .

LIKELIHOOD ESTIMATORS OF COINTEGRATING COEFFICIENTS IN ERROR CORRECTION MODELS

P. Phillips, 1994 .

Unit root log periodogram regression

P. Phillips, 2007 .

Linear Regression Limit Theory for Nonstationary Panel Data

P. Phillips, H. Moon, 1999 .

Dynamic Panel GMM with Near Unity

P. Phillips, 2014 .

True Limit Distributions of the Anderson-Hsiao Iv Estimators in Panel Autoregression

P. Phillips, Chirok Han, 2014 .

Supplement to: Dynamic Panel Anderson-Hsiao Estimation with Roots Near Unity∗

P. Phillips, 2015 .

X-Differencing and Dynamic Panel Model Estimation ∗ Chirok Han Korea

P. Phillips, Chirok Han, Donggyu Sul, 2011 .

Econometric Analysis of Nonstationary Data

P. Phillips, 1998 .

PROCESSES : PART 1

P. Phillips, Joon Y. Park, 2010 .

HAR Testing for Spurious Regression in Trend

P. Phillips, Xiaohu Wang, Yonghui Zhang, 2018, Econometrics.

Spurious Regression Unmasked

P. Phillips, 1996 .

Reflections on econometric methodology

Peter C. B. Phillips, P. Phillips, 1988 .

Professor J. D. Sargan

P. Phillips, 1985, Econometric Theory.

Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions

P. Phillips, D. Andrews, 1987 .

THE EXACT DISTRIBUTION OF THE SUR ESTIMATOR

P. Phillips, 1985 .

A. W. H. Phillips: Collected Works in Contemporary Perspective: The Bill Phillips legacy of continuous time modelling and econometric model design

P. Phillips, 2000 .

A Gaussian approach for continuous time models of the short-term interest rate

P. Phillips, Jun Yu, 2001 .

Small Sample Distribution Theory in Econometric Models of Simultaneous Equations

P. Phillips, 1982 .

Spherical matrix distributions and cauchy quotients

P. Phillips, 1989 .

Comment: A Selective Overview of Nonparametric Methods in Financial Eco

Jun Yu, Peter C. B. Phillips, P. Phillips, 2005 .

Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan

P. Phillips, Jun Yu, 2005 .

Optimal Structural Estimation of Triangular Systems: I. The Stationary Case

P. Phillips, J. Dolado, 1990, Econometric Theory.

An everywhere convergent series representation of the distribution of Hotelling's generalized T 0 2

Peter C. B. Phillips, P. Phillips, 1987 .

Testing Mean Stability of Heteroskedastic Time Series

P. Phillips, L. Giraitis, Violetta Dalla, 2015 .

NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY

P. Phillips, Qiying Wang, 2014, Econometric Theory.

Non�?Parametric Regression Under Location Shifts

P. Phillips, Liangjun Su, 2011 .

A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators

P. Phillips, 1977 .

NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY

P. Phillips, P. Yu, Qin Liao, 2023, Econometric Theory.

A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process

P. Phillips, Offer Lieberman, 2006 .

ON MULTICOINTEGRATION

P. Phillips, I. Kheifets, 2018 .

Restricted Likelihood Ratio Tests in Predictive Regression

P. Phillips, Ye Chen, 2014 .

Bias in Estimating Multivariate and Univariate Diffusions

P. Phillips, Jun Yu, Xiaohu Wang, 2010 .

ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION

Marcus J. Chambers, P. Phillips, A. Taylor, 2009, Econometric Theory.

A specification test for nonlinear nonstationary models

Peter C. B. Phillips, Qiying Wang, P. Phillips, 2012, 1206.0825.

Specification Testing for Nonlinear Cointegrating Regression

Peter C. B. Phillips, Qiying Wang, P. Phillips, 2011 .

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Peter C. B. Phillips, Offer Lieberman, P. Phillips, 2004 .

The Exact Distribution of LIML: II

P. Phillips, 1984 .

Bayesian model selection and prediction with empirical applications

Peter C. B. Phillips, P. Phillips, 1995 .

Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case

P. Phillips, Katsumi Shimotsu, 2000 .

DISCRETE FOURIER TRANSFORMS OF FRACTIONAL PROCESSES WITH ECONOMETRIC APPLICATIONS

P. Phillips, 2018 .

Some Useful Integral Asymptotic Expansions The following lemmas

P. Phillips, 2012 .

Econometric Analysis of Fisher's Equation

P. Phillips, 2005 .

THE ITERATED MINIMUM DISTANCE ESTIMATOR AND THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR

P. Phillips, 1976 .

NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS

P. Phillips, Offer Lieberman, 2013 .

WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS

P. Phillips, Qiying Wang, Hanying Liang, 2014, Econometric Theory.

Testing for a Unit Root in the Presence of a Maintained Trend

Sam Ouliaris, Peter C.B. Phillips, P. Phillips, 1989 .

On the Exact Distribution of LIML (revised and extended, see CFDP 658)

P. Phillips, 1982 .

Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume

P. Phillips, 1980 .

A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression

P. Phillips, 1978 .

Econometric Reviews honors Esfandiar Maasoumi

P. Phillips, A. Ullah, 2017 .

The exact distribution of exogenous variable coefficient estimators

P. Phillips, 1984 .

A large deviation limit theorem for multivariate distributions

P. Phillips, 1977 .

Distribution of F-Ratio

P. Phillips, A. Ullah, 1986, Econometric Theory.

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

P. Phillips, Jun Yu, Shuping Shi, 2013 .

The Durbin-Watson ratio under infinite-variance errors

P. Phillips, M. Loretan, 1991 .

ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS

Peter C. B. Phillips, Qiying Wang, P. Phillips, 2010, Econometric Theory.

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

P. Phillips, Qiying Wang, 2009 .

LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION

Peter C. B. Phillips, P. Phillips, 2008, Econometric Theory.

Structural Nonparametric Cointegrating Regression ∗ Qiying Wang School of Mathematics and Statistics The University of Sydney

P. Phillips, Qiying Wang, 2008 .

Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation

P. Phillips, Yixiao Sun, Sainan Jin, 2006 .

Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

P. Phillips, S. Hurn, Shuping Shi, 2016, Journal of Financial Econometrics.

Time Series Regression with Mixtures of Integrated Processes

P. Phillips, Yoosoon Chang, 1995, Econometric Theory.

Inference in continuous systems with mildly explosive regressors

P. Phillips, Jun Yu, Ye Chen, 2017 .

Limit Theory for Continuous Time Systems with Mildly Explosive Regressors

P. Phillips, Jun Yu, Ye Chen, 2015 .

NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION

P. Phillips, Xiaoxia Shi, 2010, Econometric Theory.

LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS

P. Phillips, Tassos Magdalinos, 2007, Econometric Theory.

BOOTSTRAPPING I(1) DATA BY PETER C. B. PHILLIPS COWLES FOUNDATION PAPER NO. 1310 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS

P. Phillips, 2010 .

Weak convergence to the matrix stochastic integral : B dB 2

P. Phillips, 1988 .

Explosive Behavior and the Nasdaq Bubble in the 1990s: When Did Irrational Exuberance Escalate Asset Values?

P. Phillips, Jun Yu, Yangru Wu, 2006 .

Descriptive econometrics for non‐stationary time series with empirical illustrations

P. Phillips, 2001 .

Nonstationary Binary Choice

P. Phillips, Joon Y. Park, 2000 .

Supplemental Material for “ Automated Estimation of Vector Error Correction Models ”

P. Phillips, Z. Liao, 2013 .

MEMORIAL TO EDMOND MALINVAUD

P. Phillips, 2015, Econometric Theory.

The ET Interview: Professor Edmond Malinvaud

P. Phillips, 1987, Econometric Theory.

The concentration ellipsoid of a random vector

P. Phillips, 1979 .

Fully modified least squares cointegrating parameter estimation in multicointegrated systems

Peter C. B. Phillips, Igor L. Kheifets, P. Phillips, 2021, 2108.03486.

Fully Modified Least Squares for Multicointegrated Systems

P. Phillips, I. Kheifets, 2019, SSRN Electronic Journal.

EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS

P. Phillips, W. Ploberger, 2003 .

BOOSTING THE HP FILTER FOR TRENDING TIME SERIES WITH LONG RANGE DEPENDENCE

P. Phillips, Farzad Sabzikar, Eva Biswas, 2022 .

Recent advances in nonstationary time series: A festschrift in honor of

Peter C. B. Phillips, Sim Kee, P. Phillips, 2012 .

Discrete Fourier Transforms of Fractional Processes

P. Phillips, 1999 .

LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION

P. Phillips, Qiying Wang, Ioannis Kasparis, 2017, Econometric Theory.

2010 – Exploring the mysteries of trends and bubbles

P. Phillips, 2012 .

Weakσ-convergence: Theory and applications

P. Phillips, Donggyu Sul, Jianning Kong, 2019, Journal of Econometrics.

Weak (cid:27) - Convergence: Theory and Applications (cid:3)

P. Phillips, Donggyu Sul, Jianning Kong, 2018 .

The Distribution of LIML in the Leading Case – Solution

P. Phillips, 1987, Econometric Theory.

The Exact Distribution of Zellner's SUR

P. Phillips, 1983 .

First Difference MLE and Dynamic Panel Estimation

P. Phillips, Chirok Han, 2010 .

Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future

P. Phillips, 1994 .

VARs with Mixed Roots Near Unity

Ji Hyung Lee, P. Phillips, 2012 .

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

P. Phillips, Yixiao Sun, Sainan Jin, 2003 .

Semiparametric estimation in triangular system equations with nonstationarity

Peter C. B. Phillips, Jiti Gao, P. Phillips, 2013 .

Title Linear Nonstationary Models : A Review of the Work of Professor

P. Phillips, 2017 .

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): Corrigendum to Yu and Phillips

P. Phillips, Jun Yu, 2011 .

Reflections on the Day

P. Phillips, 1994 .

Pitfalls and Possibilities in Predictive Regression

P. Phillips, 2015 .

Panel data models with time-varying latent group structures

P. Phillips, Liangjun Su, Yiren Wang, 2023, Journal of Econometrics.

Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer

P. Phillips, Shuping Shi, 2023, Australian Economic Review.

CAMA Centre for Applied Macroeconomic Analysis Diagnosing Housing Fever with an Econometric Thermometer CAMA Working Paper 43 / 2020 May 2020

P. Phillips, Shuping Shi, 2020 .