Peter C. B. Phillips

CFDPs

CFDP 2288 Liang Jiang, Peter C. B. Phillips, Yubo Tao, Yichong Zhang, "Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations," (May 2021) [44pp, Abstract] [Supplemental material, 64 pp]
CFDP 2259 Todd Henry, Peter C. B. Phillips, "Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US," (October 2020) [20pp, Abstract]
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) (See: CFP1730)
CFDP 2211 Zhishui Hu, Peter C. B. Phillips, Qiying Wang, "Nonlinear Cointegrating Power Function Regression with Endogeneity," (December 2019) [42pp, Abstract]

For accessibility assistance with publications, please email cowles@yale.edu.

CFPs

CFP 1730 Peter C. B. Phillips, Zhentao Shi, "Boosting: Why you can use the Hodrick-Prescott Filter," International Economic Review, (May 2021), 62(2): 521-570 (See CFDP 2212)
CFP 1729 Peter C. B. Phillips, Sainan Jin, "Business Cycles, Trend Elimination and the HP Filter," International Economic Review, (May 2021), 62(2): 469-520 (See CFDP 2005)
CFP 1728 Peter C. B. Phillips, "Dynamic Panel Modeling of Climate Change," Econometrics, (September 2020), 8(3): 30 (See CFDP 2150)
CFP 1727 Shuping Shi, Stan Hurn, 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 1716 Qiying Wang, Peter C. B. Phillips, Ioannis Kasparis, "Latent Variable Nonparametric Cointegrating Regression," Econometric Theory, (February 2021), 37(1): 138-168 (See CFDP 2111)
CFP 1715 Wenxin Huang, Sainan Jin, Peter C. B. Phillips, Liangjun Su, "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, (March 2021), 221(1): 198-222
CFP 1712 Zhishui Hu, Peter C. B. Phillips, Qiying Wang, "Nonlinear Cointegrating Power Function Regression With Endogeneity," Econometric Theory, (February 2021), 37(1): 1-41 (See CFDP 2211)
CFP 1702 Anna Bykhovskaya, Peter C. B. Phillips, "Point Optimal Testing With Roots That Are Functionally Local to Unity," Journal of Econometrics, (November 2020), 219(2): 231-259
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)