Peter C. B. Phillips

CFDPs

CFDP 1472 Peter C. B. Phillips, "Challenges of Trending Time Series Econometrics," (July 2004) [20pp, Abstract] (See: 1151)
CFDP 1471 Peter C. B. Phillips, Tassos Magdalinos, "Limit Theory for Moderate Deviations from a Unit Root," (July 2004) [27pp, Abstract]
CFDP 1470 Peter C. B. Phillips, "HAC Estimation by Automated Regression," (July 2004) [24pp, Abstract] (See: 1158)
CFDP 1469 Peter C. B. Phillips, "Automated Discovery in Econometrics," (July 2004) [21pp, Abstract] (See: 1149)
CFDP 1438 Peter C. B. Phillips, Donggyu Sul, "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," (September 2003, revised June 2004) [35pp, Abstract] (See: 1204)
CFDP 1437 Peter C. B. Phillips, Yixiao Sun, Sainan Jin, "Long Run Variance Estimation Using Steep Origin Kernels without Truncation," (September 2003) [47pp, Abstract] (See: 1178)
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]

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

CFPs

CFP 1165 Chirok Han, Peter C. B. Phillips, "GMM with Many Moment Conditions," Econometrica, (January 2006), 74(1): 147-192 (See CFDP 1515)
CFP 1161 Donggyu Sul, Peter C. B. Phillips, Chi-Young Choi, "Prewhitening Bias in HAC Estimation," Oxford Bulletin of Economics and Statistics, (August 2005), 67(4): 517-546 (See CFDP 1436)
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)