Peter C. B. Phillips

CFDPs

CFDP 1436 Donggyu Sul, Peter C. B. Phillips, Chi-Young Choi, "Prewhitening Bias in HAC Estimation," (September 2003) [28pp, Abstract] (See: 1161)
CFDP 1435 Hyungsik Roger Moon, Benoit Perron, Peter C. B. Phillips, "Incidental Trends and the Power of Panel Unit Root Tests," (September 2003) [43pp, Abstract] (See: 1215)
CFDP 1407 Peter C. B. Phillips, Yixiao Sun, Sainan Jin, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," (March 2003) [50pp, Abstract]
CFDP 1398 Peter C. B. Phillips, Donggyu Sul, "The Elusive Empirical Shadow of Growth Convergence," (February 2003) [36pp, Abstract]
CFDP 1397 Peter C. B. Phillips, "Laws and Limits of Econometrics," (February 2003) [32pp, Abstract] (See: 1081)
CFDP 1393 Peter C. B. Phillips, "Vision and Influence in Econometrics: John Denis Sargan," (January 2003) [18pp, Abstract] (See: 1054)
CFDP 1392 Peter C. B. Phillips, Jun Yu, "Jackknifing Bond Option Prices," (January 2003) [51pp, Abstract] (See: 1119)
CFDP 1391 Victoria Zinde-Walsh, Peter C. B. Phillips, "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," (January 2003) [10pp, Abstract]
CFDP 1390 Hyungsik Roger Moon, Peter C. B. Phillips, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," (January 2003) [62pp, Abstract]
CFDP 1374 Offer Lieberman, Peter C. B. Phillips, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra," (June 2002) [22pp, Abstract] (See: 1141)

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CFPs

CFP 1159 Peter C. B. Phillips, Ke-Li Xu, "Inference in Autoregression under Heteroskedasticity," Journal of Time Series Analysis, (March 2006), 27(2): 289-308
CFP 1158 Peter C. B. Phillips, "HAC Estimation by Automated Regression," Econometric Theory, (February 2005), 21(1): 116-142 (See CFDP 1470)
CFP 1157 Offer Lieberman, Peter C. B. Phillips, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," Econometrics Journal, (November 2005), 8(3): 367-379 (See CFDP 1474)
CFP 1156 Katsumi Shimotsu, Peter C. B. Phillips, "Exact Local Whittle Estimation of Fractional Integration," Annals of Statistics, (January 2005), 33(4): 1890-1933 (See CFDP 1367)
CFP 1152 Peter C. B. Phillips, Jun Yu, "Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics," Statistical Science, (January 2005), 20(4): 338-343
CFP 1151 Peter C. B. Phillips, "Challenges of Trending Time Series Econometrics," Mathematics and Computers in Simulation, (May 2005), 68(5-6): 401-416 (See CFDP 1472)
CFP 1149 Peter C. B. Phillips, "Automated Discovery in Econometrics," Econometric Theory, (February 2005), 21(1): 3-20 (See CFDP 1469)
CFP 1143 Andrew Jeffrey, Dennis Kristensen, Oliver B. Linton, Thong Nguyen, Peter C. B. Phillips, "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, (March 2004), 2(2): 251-289 (See CFDP 1311)
CFP 1141 Offer Lieberman, Peter C. B. Phillips, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra," Journal of Time Series Analysis, (September 2004), 25(5): 733-753 (See CFDP 1374)
CFP 1137 Peter C. B. Phillips, "In Memory of John Denis Sargan," Econometric Theory, (June 2003), 19(3): 417-422