Peter C. B. Phillips

CFDPs

CFDP 2337 Qiying Wang, Peter C. B. Phillips, "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," (July 2022) [48pp, Abstract]
CFDP 2334 Jia Li, Peter C. B. Phillips, Shuping Shi, Jun Yu, "Weak Identification of Long Memory with Implications for Inference," (June 2022) [41pp, Abstract] [Supplemental material, 9 pp]
CDFP 2333 Peter C. B. Phillips, "An Econometrician amongst Statisticians: T. W. Anderson," (June 2022) [ Abstract]
CFDP 2332 Peter C. B. Phillips, "Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency," (May 2022) [25pp, Abstract]
CFDP 2331 Shuping Shi, Peter C. B. Phillips, "Econometric Analysis of Asset Price Bubbles," (June 2022) [31pp, Abstract]
CFDP 2330 Ryan Greenaway-McGrevy, Peter C. B. Phillips, "The Impact of Upzoning on Housing Construction in Auckland," (May 2022) [ Abstract]
CFDP 2323 Yanbo Liu, Peter C. B. Phillips, Jun Yu, "A Panel Clustering Approach to Analyzing Bubble Behavior," (February 2022) [56pp, Abstract] [Supplemental material, 67 pp]
CFDP 2307 Peter C. B. Phillips, Ying Wang, "Limit Theory for Locally Flat Functional Coefficient Regression," (October 2021) [50pp, Abstract] [Supplemental material] (See: CFP 1795)
CFDP 2306 Peter C. B. Phillips, Igor Kheifets, "On Multicointegration," (October 2021) [76pp, Abstract]
CFDP 2305 Yanbo Liu, Peter C. B. Phillips, "Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions," (October 2021) [56pp, Abstract] [Supplemental material]

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

CFPs

CFP 1798 Peter C. B. Phillips, "Estimation and Inference with Near Unit Roots," Econometric Theory, (July 2022), 1-43 (See CFDP 2304)
CFP 1795 Peter C. B. Phillips, Ying Wang, "Limit Theory for Locally Flat Functional Coefficient Regression," Econometric Theory, (July 2022), 1-50 (See CFDP 2307)
CFP 1774 Peter C. B. Phillips, Ying Wang, "Functional coefficient panel modeling with communal smoothing covariates," Journal of Econometrics, (April 2022), 227(2): 371-407 (See CFDP 2193)
CFP 1769 Offer Lieberman, Peter C. B. Phillips, "Understanding temporal aggregation effects on kurtosis in financial indices," Journal of Econometrics, (March 2022), 227(1): 25-46 (See CFDP 2151)
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