Peter C. B. Phillips

CFDPs

CFDP 1611 Peter C. B. Phillips, Chang Sik Kim, "Long Run Covariance Matrices for Fractionally Integrated Processes," (June 2007) [14pp, Abstract]
CFDP 1599 Chirok Han, Peter C. B. Phillips, "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," (January 2007) [45pp, Abstract] [See 1290]
CFDP 1598 Peter C. B. Phillips, Jun Yu, "Information Loss in Volatility Measurement with Flat Price Trading," (January 2007) [27pp, Abstract]
CFDP 1597 Peter C. B. Phillips, Jun Yu, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," (January 2007) [34pp, abstract pp, Abstract]
CFDP 1596 Peter C. B. Phillips, Jun Yu, "Simulation-based Estimation of Contingent-claims Prices," (January 2007) [30pp, Abstract] [See 1279]
CFDP 1595 Peter C. B. Phillips, Donggyu Sul, "Transition Modeling and Econometric Convergence Tests," (January 2007) [72pp, Abstract]
CFDP 1594 Qiying Wang, Peter C. B. Phillips, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," (December 2006) [26pp, Abstract] [See 1270]
CFDP 1587 Chang Sik Kim, Peter C. B. Phillips, "Log Periodogram Regression: The Nonstationary Case," (October 2006) [29pp, Abstract]
CFDP 1586 Offer Lieberman, Peter C. B. Phillips, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," (October 2006) [22pp, Abstract] [See 1247]
CFDP 1585R Ke-Li Xu, Peter C. B. Phillips, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," (October 2006, revised November 2006) [30pp, Abstract] [See 1219]

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

CFPs

CFP 1266 Tassos Magdalinos, Peter C. B. Phillips, "Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors," Econometric Theory, (April 2009), 25(2): 482-526
CFP 1248 Offer Lieberman, Peter C. B. Phillips, "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, (January 2008), 27(1-3): 254-267 [See CFDP 1549]
CFP 1247 Offer Lieberman, Peter C. B. Phillips, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Journal of Econometrics, (November 2008), 147(1): 99-103 [See CFDP 1586]
CFP 1246 Peter C. B. Phillips, "Unit Roots," (in S. Durlauf and L. Blume, eds. New Palgrave Dictionary of Economics, 2nd ed., Macmillan, 2008)
CFP 1245 Rustam Ibragimov, Peter C. B. Phillips, "Regression Asymptotics using Martingale Convergence Methods," Econometric Theory, (August 2008), 24(4): 888-947 [See CFDP 1473]
CFP 1244 Peter C. B. Phillips, Tassos Magdalinos, "Limit Theory for Explosively Cointegrated Systems," Econometric Theory, (August 2008), 24(4): 865-887 [See CFDP 1614]
CFP 1243 Peter C. B. Phillips, Chirok Han, "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Econometric Theory, (June 2008), 24(3): 631-650 [See CFDP 1546]
CFP 1242 Nicholas Z. Muller, Peter C. B. Phillips, "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution," Environmetrics, (September 2008), 19(6): 567-581 [See CFDP 1548]
CFP 1241 Peter C. B. Phillips, "Albert Rex Bergstrom: 1925-2005," (In J. King, ed., Biographical Dictionary of Australian and New Zealand Economists, Edward Elgar, Cheltenham, 2007)
CFP 1231 Peter C. B. Phillips, "Unit Root Model Selection," Journal of the Japan Statistical Society, (January 2008), 38(1): 65-74 [See CFDP 1653]