Peter C. B. Phillips

CFDPs

CFDP 1653 Peter C. B. Phillips, "Unit Root Model Selection," (May 2008) [14pp, Abstract] (See: 1231)
CFDP 1614 Peter C. B. Phillips, Tassos Magdalinos, "Limit Theory for Explosively Cointegrated Systems," (June 2007) [24pp, Abstract]
CFDP 1613 Peter C. B. Phillips, "Exact Distribution Theory in Structural Estimation with an Identity," (June 2007) [27pp, Abstract] (See: 1271)
CFDP 1612 Peter C. B. Phillips, Ke-Li Xu, "Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications," (June 2007, revised July 2010) [31pp, Abstract] (See: 1337)
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]
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]

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

CFPs

CFP 1280 David F. Hendry, Peter C. B. Phillips, "Obituary: Clive W. J. Granger," Econometric Theory, (October 2009), 25(5): 1139-1142
CFP 1279 Peter C. B. Phillips, Jun Yu, "Simulation-based Estimation of Contingent-claims Prices," Review of Financial Studies, (March 2009), 22(9): 3669-3705 (See CFDP 1596)
CFP 1272 Xu Cheng, Peter C. B. Phillips, "Semiparametric Cointegrating Rank Selection," Econometrics Journal, (January 2009), 12(s1): S83-S104 (See CFDP 1658)
CFP 1271 Peter C. B. Phillips, "Exact Distribution Theory in Structural Estimation with an Identity," Econometric Theory, (August 2009), 25:(4): 958-984 (See CFDP 1613)
CFP 1270 Qiying Wang, Peter C. B. Phillips, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Econometric Theory, (June 2009), 25(3): 710-738 (See CFDP 1594)
CFP 1269 Peter C. B. Phillips, "Econometric Theory and Practice," Econometric Theory, (June 2009), 25(3): 583-586
CFP 1267 Peter C. B. Phillips, "Long Memory and Long Run Variation," 150-158 (Journal of Econometrics (August 2009) 151(2)) (See CFDP 1656)
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)