Peter C. B. Phillips

CFDPs

CFDP 2151 Offer Lieberman, Peter C. B. Phillips, "Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices," (June 2018) [39pp, Abstract]
CFDP 2150 Peter C. B. Phillips, "Dynamic Panel Modeling of Climate Change," (December 2018) [33pp, Abstract]
CFDP 2131 Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips, "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," (May 2018) [28pp, Abstract]
CFDP 2114 Yubo Tao, Peter C. B. Phillips, Jun Yu, "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," (December 2017) [55pp, Abstract] (See: CFP1627)
CFDP 2113 Offer Lieberman, Peter C. B. Phillips, "Hybrid Stochastic Local Unit Roots," (December 2017) [39pp, Abstract]
CFDP 2111 Qiying Wang, Peter C. B. Phillips, Ioannis Kasparis, "Latent Variable Nonparametric Cointegrating Regression," (September 2017) [28pp, Abstract]
CFDP 2110 Peter C. B. Phillips, "Detecting Financial Collapse and Ballooning Sovereign Risk," (September 2017) [30pp, Abstract]
CFDP 2109 Degui Li, Peter C. B. Phillips, Jiti Gao, "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," (September 2017) [46pp, Abstract] [Supplemental material, 12 pp]
CFDP 2108 Anna Bykhovskaya, Peter C. B. Phillips, "Boundary Limit Theory for Functional Local to Unity Regression," (September 2017) [45pp, Abstract] (See: CFP1600)
CFDP 2107 Anna Bykhovskaya, Peter C. B. Phillips, "Point Optimal Testing with Roots That Are Functionally Local to Unity," (September 2017) [39pp, Abstract]

CFPs

CFP 1611 Shuping Shi, Peter C. B. Phillips, Stan Hurn, "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, (November 2018), 39(6): 966-987 (See CFDP 2058)
CFP 1610 Offer Lieberman, Peter C. B. Phillips, "IV and GMM Inference in Endogenous Stochastic Unit Root Models," Econometric Theory, (October 2018), 34(5): 1065-1100 (See CFDP 2061)
CFP 1609 Ping Yu, Peter C. B. Phillips, "Threshold Regression Asymptotics: From the Compound Poisson Process to Two-sided Brownian motion," Economics Letters, (November 2018), 172: 123-126
CFP 1607 Jin Seo Cho, Peter C. B. Phillips, "Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors," Journal of Applied Econometrics, (August 2017), 33(1): 141-159 (See CFDP 2060)
CFP 1600 Anna Bykhovskaya, Peter C. B. Phillips, "Boundary Limit Theory for Functional Local to Unity Regression," Journal of Time Series Analysis, (July 2018), 39(4): 523-562 (See CFDP 2108)
CFP 1599 Trude Storelvmo, Ulla K. Heede, Thomas Leirvik, Peter C. B. Phillips, Philipp Arndt, Martin Wild, "Lethargic Response to Aerosol Emissions in Current Climate Models," Geophysical Research Letters, (August 2018), 45(15): 1-10
CFP 1598 Tingting Cheng, Jiti Gao, Peter C. B. Phillips, "A Frequentist Approach to Bayesian Asymptotics," Journal of Econometrics, (October 2018), 206(2): 359-378
CFP 1592 Peter C. B. Phillips, Shu-Ping Shi, "Financial Bubble Implosion and Reverse Regression," Econometric Theory, (August 2018), 34(4): 705 - 753
CFP 1586 Peter C. B. Phillips, "Dynamic Panel Anderson-Hsiao Estimation with Roots Near Unity," Econometric Theory, (April 2018), 34(2): 253-276
CFP 1565 Peter C. B. Phillips, Degui Li, Jiti Gao, "Estimating Smooth Structural Changes in Cointegration Models," Journal of Econometrics, (January 2017), 196(1): 180-195 (See CFDP 1910)