Papers (Reprints)

Number

CFP 1386

Jiti Gao and Peter C. B. Phillips, “Semiparametric Estimation in Triangular System Equations with Nonstationarity,” Journal of Econometrics (September 2013), 176(1): 59–79 [See CFDP 1769]

CFP 1385

Carlo V. Fiorio, Vassilis A. Hajivassiliou, and Peter C. B. Phillips, “Bimodal t-ratios: The Impact of Thick Tails on Inference,” Econometrics Journal (July 2010), 13(2): 271–289 [See CFDP 842]

CFP 1384

Minjing Tao, Yazhen Wang, and Xiaohong Chen, “Fast Convergence Rates in Estimating Large Volatility Matrices Using High-Frequency Financial Data,” Econometric Theory (August 2013), 29(4): 838-856

CFP 1383

Peter C. B. Phillips and Tassos Magdalinos, “Inconsistent VAR Regression with Common Explosive Roots,” Econometric Theory (August 2013), 29(4): 808-837 [See CFDP 1777]

CFP 1382

Yuichi Kitamura, Taisuke Otsu, and Kirill Evdokomov, “Robustness, Infinitesimal Neighborhoods, and Moment Restrictions,” Econometrica (May 2013), 81(3): 1185-1201 [See CFDP 1720]

CFP 1381

Dirk Bergemann and Stephen Morris, “Robust Predictions in Games with Incomplete Information,” Econometrica (July 2013), 81(4): 1251-1308 [See CFDP 1821R3]

CFP 1380

Helios Herrera and Johannes Hörner, “Biased Social Learning,” Games and Economic Behavior (July 2013), 80: 131-146 [See CFDP 1738]

CFP 1379

Chirok Han and Peter C. B. Phillips, “First Difference Maximum Likelihood and Dynamic Panel Estimation,” Journal of Econometrics (July 2013), 175(1): 35-45 [See CFDP 1780]

CFP 1378

Eric Gautier and Yuichi Kitamura, “Nonparametric Estimation in Random Coefficients Binary Choice Models,” Econometrica (March, 2013), 81(2): 581-607 [See CFDP 1721]

CFP 1377

Donald W. K. Andrews and Xiaoxia Shi, “Inference Based on Conditional Moment Inequalities,” Econometrica (March 2013), 81(2): 609-666 [Supplemental material] [See CFDP 1761R2; Supplemental material]

CFP 1376

Dirk Bergemann and Stephen Morris, “An Introduction to Robust Mechanism Design,” Foundations and Trends in Microeconomics (2012), 8(3): 169-230 [See CFDP 1818]

CFP 1375

Donald W. K. Andrews and Xu Cheng, “Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure,” Journal of Econometrics (March 2013), 173(1): 36-56 [See CFDP 1824R; Supplemental material]

CFP 1374

Ioannis Kasparis and Peter C. B. Phillips, “Dynamic Misspecification in Nonparametric Cointegrating Regression,” Journal of Econometrics (June 2012), 168(2): 270-284 [See CFDP 1700]

CFP 1373

Peter C. B. Phillips, “Exploring the Mysteries of Trends and Bubbles,” in Anderson, K., Australia’s Economy and its International Context: The Joseph Fisher Lectures, Volume II (1956-2012), Adelaide: University of Adelaide Press, 2012, Ch. 54, pp. 599-616

CFP 1372

Donald W. K. Andrews and Panle Jai Barwick, “Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure,” Econometrica (November, 2012), 80(6): 2805–2826 [Supplemental material] [Computer programs also available on the Econometric Society website] [See CFDP 1676R; Supplemental material]

CFP 1371

Stefan Thurner, J. Doyne Farmer, and John Geanakoplos, “Leverage Causes Fat Tails and Clustered Volatility,” Quantitative Finance (May 2012), 12:5: 695-707 [See CFDP 1745R]

CFP 1370

Donald W. K. Andrews and Xu Cheng, “Estimation and Inference with Weak, Semi-Strong, and Strong Identification,” Econometrica (September 2012) 80(5): 2153-2211 [Supplemental material] [Computer programs also available on the Econometric Society website] [See CFDP 1773R; Supplemental material]

CFP 1369

Joseph G. Altonji, Hidehiko Ichimura, and Taisuke Otsu, “Estimating Derivatives in Nonseparable Models with Limited Dependent Variables,” Econometrica (July 2012), 80(4): 1701-1719 [See CFDP 1668R]

CFP 1368

Yonghui Zhang, Liangjun Su, and Peter C. B. Phillips, “Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects,” Econometrics Journal (February 2012), 15(1): 56-100 [See CFDP 1832]

CFP 1367

Pradeep Dubey, John Geanakoplos, and Ori Haimanko, “Prizes versus Wages with Envy and Pride,” Japanese Economic Review (March 2013), 64(1): 98-121 [See CFDP 1537CFDP 1835]

CFP 1366

Chunrong Ai and Xiaohong Chen, “Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions,” Journal of Econometrics (October 2012), 170(2): 442-457 [See CFDP 1731]

CFP 1365

Donald W. K. Andrews and Patrik Guggenberger, “Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity,” Journal of Econometrics (August 2012), 169(2): 196-210 [See CFDP 1665R2]

CFP 1364

Werner Ploberger and Peter C. B. Phillips, “Optimal Estimation under Nonstandard Conditions,” Journal of Econometrics (August 2012), 169(2): 258-265 [See CFDP 1748]

CFP 1363

Liudas Giraitis and Peter C. B. Phillips, “Mean and Autocovariance Function Estimation near the Boundary of Stationarity,” Journal of Econometrics (August 2012), 169(2): 166-178 [See CFDP 1690]

CFP 1362

Xu Cheng and Peter C. B. Phillips, “Cointegrating Rank Selection in Models with Time-varying Variance,” Journal of Econometrics (August 2012), 169(2): 155-165 [See CFDP 1688]

CFP 1361

Martin B. Hackmann, Jonathan T. Kolstad, and Amanda E. Kowalski, “Health Reform, Health Insurance, and Selection: Estimating Selection into Health Insurance Using the Massachusetts Health Reform,” American Economic Review: Papers and Proceedings (May 2012), 102:3: 498-501 [See CFDP 1841]

CFP 1360

Dirk Bergemann, Stephen Morris, and Satoru Takahashi, “Efficient Auctions and Interdependent Types,” American Economic Review, Papers and Proceedings (May 2012), 102(3): 319–324 [See CFDP 1846]

CFP 1359

Qiying Wang and Peter C. B. Phillips, “A Specification Test for Nonlinear Nonstationary Models,” The Annals of Statistics (2012), 40(2): 2, 727–758 [See CFDP 1779]

CFP 1358

John Geanakoplos, Robert Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey, Nathan M. Palmer, and Yangru Wu, “Getting at Systemic Risk via an Agent-Based Model of the Housing Market,” American Economic Review, Papers and Proceedings (May 2012), 102(3): 53-58 [See CFDP 1852]

CFP 1357

Daniel Ackerberg, Xiaohong Chen, and Jinyong Hahn, “A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators,” Review of Economics and Statistics (May 2012), 94(2): 482-498 [See CFDP 1803]

CFP 1356

Anat Bracha and Donald J. Brown, “Affective Decision Making: A Theory of Optimism Bias,” Games and Economic Behavior (May 2012) 75(1): 67-80 [See CFDP 1633R]

CFP 1355

Xiaoxia Shi and Peter C. B. Phillips, “Nonlinear Cointegrating Regression under Weak Identification,” Econometric Theory (June 2012), 28(3): 509-547 [See CFDP 1768]

CFP 1354

Ana Fostel and John Geanakoplos, “Why Does Bad News Increase Volatility and Decrease Leverage?,” Journal of Economic Theory (March 2012), 147(2): 501-525 [See CFDP 1762R2]

CFP 1353

Ana Fostel and John Geanakoplos, “Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes,” American Economic Journal: Macroeconomics (January 2012), 4(1): 190-225  [See CFDP 1809R]

CFP 1352

Costas Arkolakis, Arnaud Costinot, and Andréz Rodríguez-Clare, “New Trade Models, Same Old Gains?”, American Economic Review (February 2012), 102(1): 94-130

CFP 1351

Peter C. B. Phillips and Jun Yu, “The ET Interview: A Conversation with Eric Ghysels,” Econometric Theory (February 2012), 28(1): 207-217

CFP 1350

Peter C. B. Phillips, “Folklore Theorems, Implicit Maps, and Indirect Inference,” Econometrica (January 2012), 80(1): 425–454 (includes Supplemental Material) [See CFDP 1781]

CFP 1349

Peter C. B. Phillips, Yangru Wu, and Jun Yu, “Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review  (February 2011), 52(1): 201–226 [See CFDP 1699]

CFP 1348

Peter C. B. Phillips and Jun Yu, “Dating the Timeline of Financial Bubbles during the Subprime Crisis,” Quantitative Economics (November 2010), 1(2): 455-491 [See CFDP 1770]

CFP 1347

Jun Yu and Peter C. B. Phillips, “Corrigendum” to “A Gaussian Approach for Continuous Time Models of Short-term Interest Rates [CFP 1124],” Econometrics Journal (February 2011), 14(4): 126-129 [See CFDP 1309]

CFP 1346

Peter C. B. Phillips and Liangjun Su, “Non-parametric Regression under Location Shifts,” Econometrics Journal (October 2011), 14(3): 457-486 [See CFDP 1702]

CFP 1345

Xiaohong Chen and Demian Pouzo, “Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals,” Econometrica (January 2012), 80(1): 277-321 [Supplemental Material] [See CFDP 1650R2]

CFP 1344

Xiaohong Chen, Han Hong, and Denis Nekipelov, “Nonlinear Models of Measurement Errors,” Journal of Economic Literature (December 2011), 49(4): 901-937

CFP 1343

Xiaohu Wang, Peter C. B. Phillips, and Jun Yu, “Bias in Estimating Multivariate and Univariate Diffusions,” Journal of Econometrics (April 2011), 161(2): 228-245 [See CFDP 1778]

CFP 1342

Alberto Bisin, John Geanakoplos, Piero Gottardi, Enrico Minelli, and Heracles M. Polemarchakis, “Markets and Contracts,” Journal of Mathematical Economics (May 2011), 47(3): 279-288

CFP 1341

Dirk Bergemann and Karl Schlag, “Robust Monopoly Pricing,” Journal of Economic Theory (November 2011), 46(6): 2527-2543 [See CFDP 1527R2]

CFP 1340

Yixiao Sun, Peter C. B. Phillips, and Sainan Jin, “Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels,” Econometric Theory (December 2011), 27(6): 1320-1368 [See CFDP 1749]

CFP 1339

Chirok Han, Peter C. B. Phillips, and Donggyu Sul, “Uniform Asymptotic Normality in Stationary and Unit Root Autoregression,” Econometric Theory (December 2011), 27(6): 1117-1151 [See CFDP 1746]

CFP 1338

Chirok Han, Jin Seo Cho, and Peter C. B. Phillips, “Infinite Density at the Median and the Typical Shape of Stock Return Distributions,” Journal of Business and Economic Statistics (April 2011), 29(2): 282-294 [See CFDP 1701]

CFP 1337

Ke-Li Xu and Peter C. B. Phillips, “Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications,” Journal of Business and Economic Statistics (October 2011), 29(4): 518–528 [See CFDP 1612]

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