Peter C. B. Phillips

CFDPs

CFDP 2256 Jungyoon Lee, Peter C. B. Phillips, Francesca Rossi, "Consistent Misspecification Testing in Spatial Autoregressive Models," (August 2020) [58pp, Abstract]
CFDP 2252 Ke Miao, Peter C. B. Phillips, Liangjun Su, "High-Dimensional VARs with Common Factors," (August 2020) [70pp, Abstract]
CFDP 2251 Ye Chen, Peter C. B. Phillips, Shuping Shi, "Common Bubble Detection in Large Dimensional Financial Systems," (August 2020) [63pp, Abstract]
CFDP 2250 Peter C. B. Phillips, Ying Wang, "When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression," (August 2020) [56pp, Abstract] [Supplemental material, 13 pp]
CFDP 2249 Liang Jiang, Xiaobin Liu, Peter C. B. Phillips, Yichong Zhang, "Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs," (August 2020) [40pp, Abstract] [Supplemental material, 46 pp]
CFDP 2248 Shuping Shi, Peter C. B. Phillips, "Diagnosing Housing Fever with an Econometric Thermometer," (August 2020) [31pp, Abstract]
CFDP 2212 Peter C. B. Phillips, Zhentao Shi, "Boosting: Why you Can Use the HP Filter," (December 2019) [57pp, Abstract], (See: CFDP 2192)
CFDP 2211 Zhishui Hu, Peter C. B. Phillips, Qiying Wang, "Nonlinear Cointegrating Power Function Regression with Endogeneity," (December 2019) [42pp, Abstract]
CFDP 2210 Igor Kheifets, Peter C. B. Phillips, "Fully Modified Least Squares for Multicointegrated Systems," (December 2019) [36pp, Abstract]
CFDP 2209 Ping Yu, Qin Liao, Peter C. B. Phillips, "Inference and Specification Testing in Threshold Regression with Endogeneity," (December 2019) [87pp, Abstract]

CFPs

CFP 1693 Shuping Shi, Peter C. B. Phillips, "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship," Journal of Financial Econometrics, (Winter 2020), 18(1): 158–180 (See CFDP 2059)
CFP 1692 Peter C. B. Phillips, Shuping Shi, "Real time monitoring of asset markets: Bubbles and crises," (2020), Vol. 42: 61-80 (Editor(s): Hrishikesh D. Vinod, C.R. Rao) (See CFDP 2152)
CFP 1691 Jianning Kong, Peter C. B. Phillips, Donggyu Sul, "Testing Convergence Using HAR Inference," (April 2020), Vol. 41: 25-72
CFP 1690 Peter C. B. Phillips, Xiaohu Wang, Yonghui Zhang, "HAR Testing for Spurious Regression in Trend," (December 2019), 7(4): (See CFDP 2153)
CFP 1689 Degui Li, Peter C. B. Phillips, Jiti Gao, "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, (April 2020), 215(2): 607-632 (See CFDP 2109)
CFP 1688 John C. Chao, Peter C. B. Phillips, "Uniform Inference in Panel Autoregression," (November 2019), 7(4): 1-28 (See CFDP 2071)
CFP 1677 Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips, "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, (May 2020), 216(1): 192-202 (See CFDP 2131)
CFP 1669 Offer Lieberman, Peter C. B. Phillips, "Hybrid Stochastic Local Unit Roots," Journal of Econometrics, (February 2020), 215(1): 257-285 (See CFDP 2113)
CFP 1656 Peter C. B. Phillips, Thomas Leirvik, Trude Storelvmo, "Econometric Estimates of Earth’s Transient Climate Sensitivity," Journal of Econometrics, (January 2020), 214(1): 6-32 (See CFDP 2083)
CFP 1647 Peter C. B. Phillips, Shuping Shi, "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, (June 2019), 1-26