Discussion Papers

Number

CFDP 3011

Qiying Wang, Peter C. B. Phillips, Ioannis Kasparis, "Latent Variable Nonparametric Cointegrating Regression," (September 2017) [28 pp, abstract]

CFDP 3010

Peter C. B. Phillips, "Detecting Financial Collapse and Ballooning Sovereign Risk," (September 2017) [30 pp, abstract]

CFDP 3009

Degui Li, Peter C. B. Phillips, Jiti Gao, "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," (September 2017) [46 pp, abstract] [Supplemental material, 12 pp]

CFDP 3008

Anna Bykhovskaya, Peter C. B. Phillips, "Boundary Limit Theory for Functional Local to Unity Regression," (September 2017) [45 pp, abstract]

CFDP 3007

Anna Bykhovskaya, Peter C. B. Phillips, "Point Optimal Testing with Roots That Are Functionally Local to Unity," (September 2017) [39 pp, abstract]

CFDP 2094

Peter C. B. Phillips, "Unit Roots in Life and Research," (July 2017) [12 pp, abstract]

CFDP 2083

Peter C. B. Phillips, Thomas Leirvik, Trude Storelvmo, "Econometric Measurement of Earth's Transient Climate Sensitivity," (March 2017) [52 pp, abstract]

CFDP 2082

David F. Hendry, Peter C. B. Phillips, "John Denis Sargan at the London School of Economics," (March 2017) [20 pp, abstract]

CFDP 2081

Peter C. B. Phillips, "Tribute to T. W. Anderson," (March 2017) [6 pp, abstract]

CFDP 2072

Jianning Kong, Peter C. B. Phillips, Donggyu Sul, "Weak σ- Convergence: Theory and Applications," (January 2017) [66 pp, abstract]

CFDP 2071

John C. Chao, Peter C. B. Phillips, "Uniform Inference in Panel Autoregression," (January 2017) [41 pp, abstract] [Supplemental material, 282 pp]

CFDP 2063

Peter C. B. Phillips, Liangjun Su, Wuyi Wang, "Homogeneity Pursuit in Panel Data Models: Theory and Applications," (December 2016) [57 pp, abstract]

CFDP 2062

Peter C. B. Phillips, Wayne Yuan Gao, "Structural Inference from Reduced Forms with Many Instruments," (December 2016) [45 pp, abstract]

CFDP 2061

Offer Lieberman, Peter C. B. Phillips, "IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models," (December 2016) [45 pp, abstract]

CFDP 2060

Jin Seo Cho, Peter C. B. Phillips, "Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors," (December 2016) [46 pp, abstract]

CFDP 2059

Shu-Ping Shi, Stan Hurn, Peter C. B. Phillips, "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship," (December 2016) [58 pp, abstract]

CFDP 2058

Stan Hurn, Peter C. B. Phillips, Shu-Ping Shi, "Change Detection and the Causal Impact of the Yield Curve," (December 2016) [67 pp, abstract]

CFDP 2009

Peter C. B. Phillips, “Inference in Near Singular Regression” (July 2015) [20pp, abstract] [see CFP 1525]

CFDP 2007

Jin Seo Cho, Myung-Ho Park, and Peter C. B. Phillips, “Minimum Distance Testing and Top Income Shares in Korea” (June 2015) [48pp, abstract]

CFDP 2006

Violetta Dalla, Liudas Giraitis, and Peter C. B. Phillips, “Testing Mean Stability of Heteroskedastic Time Series” (June 2015) [48pp, abstract]

CFDP 2005

Peter C. B. Phillips and Sainan Jin, “Business Cycles, Trend Elimination, and the HP Filter” (June 2015) [55pp, abstract]

CFDP 2004

Ryan Greenaway-McGrevy and Peter C. B. Phillips, “Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres” (June 2015) [33pp, abstract]

CFDP 2003

Peter C. B. Phillips, “Pitfalls and Possibilities in Predictive Regression” (June 2015) [42pp, abstract] [See CFP 1491]

CFDP 2002

Peter C. B. Phillips, “Edmond Malinvaud: A Tribute to His Contributions in Econometrics” (June 2015) [15pp, abstract] [See CFP 1492]

CFDP 1971

Hanying Liang, P. C. B. Phillips, Hanchao Wang, and Qiying Wang, “Weak Convergence to Stochastic Integrals for Econometric Applications” (December 2014) [29pp, abstract]

CFDP 1970

Jin Seo Cho and Peter C. B. Phillips, “Testing Equality of Covariance Matrices via Pythagorean Means” (December 2014) [48pp, abstract]

CFDP 1969

Liang Jiang, Peter C. B. Phillips, and Jun Yu, “A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market” (December 2014) [22pp, abstract] [See CFP 1503]

CFDP 1968

Peter C. B. Phillips and Ye Chen, “Restricted Likelihood Ratio Tests in Predictive Regression” (December 2014) [65pp, abstract]

CFDP 1967

Peter C. B. Phillips and Shu-Ping Shi, “Financial Bubble Implosion” (December 2014) [46pp, abstract]

CFDP 1966

Ping Yu and Peter C. B. Phillips, “Threshold Regression with Endogeneity” (December 2014) [84pp, abstract]

CFDP 1965

Liangjun Su, Zhentao Shi, and Peter C. B. Phillips, “Identifying Latent Structures in Panel Data” (December 2014) [76pp, abstract] [See CFP 1536]

CFDP 1964

Offer Lieberman and Peter C. B. Phillips, “A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing” (December 2014) [56pp, abstract]

CFDP 1963

Peter C. B. Phillips and Chirok Han, “True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression” (December 2014) [9pp, abstract] [See CFP 1455]

CFDP 1962

Peter C. B. Phillips, “Dynamic Panel GMM with Near Unity” (December 2014) [36pp, abstract]

CFDP 1929

Degui Li, Peter C. B. Phillips, and Jiti Gao, “Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression” (December 2013) [24pp, abstract]

CFDP 1919

Yoonseok Lee and Peter C. B. Phillips, “Model Selection in the Presence of Incidental Parameters” (October 2013) [36pp, abstract] [See CFP 1494]

CFDP 1917

Yae In Baek, Jin Seo Cho, and Peter C. B. Phillips, “Testing Linearity Using Power Transforms of Regressors” (September 2013) [53pp, abstract] [See CFP 1483]

CFDP 1916

Offer Lieberman and Peter C. B. Phillips, “Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions” (September 2013) [48pp, abstract] [See CFP 1454]

CFDP 1915

Peter C. B. Phillips, Shu-Ping Shi, and Jun Yu, “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors” (September 2013) [75pp, abstract] [See CFP 1499]

CFDP 1914

Peter C. B. Phillips, Shu-Ping Shi, and Jun Yu, “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500” (September 2013) [45pp, abstract] [See CFP 1498]

CFDP 1913

Peter C. B. Phillips, “Unit Roots in Life — A Graduate Student Story” (September 2013) [22pp, abstract] [See CFP 1429]

CFDP 1912

Peter C. B. Phillips and Sainan Jin, “Testing the Martingale Hypothesis” (September 2013) [46pp, abstract] [See CFP 1443]

CFDP 1911

Jiti Gao and Peter C. B. Phillips, “Functional Coefficient Nonstationary Regression” (September 2013) [55pp, abstract]

CFDP 1910

Peter C. B. Phillips, Degui Li, Jiti Gao, "Estimating Smooth Structural Change in Cointegration Models," (September 2013) [42 pp, abstract] [See CFP CFP1565]

CFDP 1879

Peter C. B. Phillips, “On Confidence Intervals for Autoregressive Roots and Predictive Regression” (September 2012) [27pp, abstract] [See CFP 1422]

CFDP 1878

Ioannis Kasparis, Elena Andreou, and Peter C. B. Phillips, “Nonparametric Predictive Regression” (September 2012) [49pp, abstract] [See CFP 1461]

CFDP 1873

Zhipeng Liao and Peter C. B. Phillips, “Automated Estimation of Vector Error Correction Models” (September 2012) [91pp, abstract] [See CFP 1476]

CFDP 1872

Ioannis Kasparis, Peter C. B. Phillips, and Tassos Magdalinos, “Non-linearity Induced Weak Instrumentation” (September 2012) [38pp, abstract] [See CFP 1404]

CFDP 1871

Peter C. B. Phillips and Zhipeng Liao, “Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications” (September 2012) [52pp, abstract]

CFDP 1845

Peter C. B. Phillips and Ji Hyung Lee, “VARs with Mixed Roots Near Unity” (January 2012) [24pp, abstract] [See CFP 1473]

Pages