Peter C. B. Phillips

CFDPs

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]
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]

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

CFPs

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
CFP 1136 Peter C. B. Phillips, Donggyu Sul, "Dynamic Panel Estimation and Homogeneity Testing under Cross Section Dependence," Econometrics Journal, (June 2003), 6(1): 217-259 (See CFDP 1362)
CFP 1132 Peter C. B. Phillips, Sainan Jin, "The KPSS Test with Seasonal Dummies," Economics Letters, (October 2002), 77(2): 239-243 (See CFDP 1373)
CFP 1124 Jun Yu, Peter C. B. Phillips, "A Gaussian Approach for Continuous Time Models of the Short-term Interest Rate," Econometrics Journal, (December 2001), 4(2): 210-224 (Also see “Corrigendum,” Econometrics Journal, February 2011, 14(4), 126-129)
CFP 1119 Peter C. B. Phillips, Jun Yu, "Jackknifing Bond Option Prices," Review of Financial Studies, 18(2): 707-742 (See CFDP 1392)
CFP 1117 Yixiao Sun, Peter C. B. Phillips, "Understanding the Fisher Equation," Journal of Applied Econometrics, 19(7): 869-866
CFP 1115 Victoria Zinde-Walsh, Peter C. B. Phillips, "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process," 285-292 (in K. Athreya, M. Majumdar, M. Puri, and E. Waymire, eds., Probability, Statistics and Their Applications: Papers in Honor of Rabi Bhattacharya, Vol. 41, Institute of Mathematical Statistics, 2003) (See CFDP 1391)