Peter C. B. Phillips

CFDPs

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]
CFDP 2208 Maria Kyriacou, Peter C. B. Phillips, Francesca Rossi, "Continuously Updated Indirect Inference in Heteroskedastic Spatial Models," (December 2019) [41pp, Abstract]
CFDP 2194 Violetta Dalla, Liudas Giraitis, Peter C. B. Phillips, "Robust Tests for White Noise and Cross-Correlation," (April 2019) [32pp, Abstract] [Supplemental material, 51 pp]
CFDP 2193 Peter C. B. Phillips, Ying Wang, "Functional Coefficient Panel Modeling with Communal Smoothing Covariates," (May 2019) [48pp, Abstract] [Supplemental material, 33 pp]
CFDP 2192 Peter C. B. Phillips, Zhentao Shi, "Boosting the Hodrick-Prescott Filter," (May 2019) [46pp, Abstract]
CFDP 2153 Peter C. B. Phillips, Yonghui Zhang, Xiaohu Wang, "HAR Testing for Spurious Regression in Trend," (December 2018) [36pp, Abstract]
CFDP 2152 Peter C. B. Phillips, Shuping Shi, "Real Time Monitoring of Asset Markets: Bubbles and Crises," (November 2018) [24pp, Abstract]

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

CFPs

CFP 1677 Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips, "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, (2020), (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
CFP 1646 Wuyi Wang, Peter C. B. Phillips, Liangjun Su, "The Heterogeneous Effects of the Minimum Wage on Employment Across States," Economics Letters, (January 2019), 174: 179-185
CFP 1645 Peter C. B. Phillips, Chirok Han, "Dynamic Panel GMM Using R," (January 2019), 41(1): 119-144 (C.R. Rao, Hrishikesh Vinod)
CFP 1644 Wuyi Wang, Peter C. B. Phillips, Liangjun Su, "Homogeneity Pursuit in Panel Data Models: Theory and Applications," Journal of Applied Econometrics, (June 2018), 33(6): 797-815 (See CFDP 2063)
CFP 1627 Yubo Tao, Peter C. B. Phillips, Jun Yu, "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, (April 2019), 209(2): 208-237 (See CFDP 2114)
CFP 1626 Jianning Kong, Peter C. B. Phillips, Donggyu Sul, "Weak σ- Convergence: Theory and Applications," Journal of Econometrics, (April 2019), 209(2): 185-207 (See CFDP 2072)
CFP 1623 David F. Hendry, Peter C. B. Phillips, "John Denis Sargan (1924–1996)," (January 2019), 667-695