Peter C. B. Phillips

CFDPs

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)
CFDP 1373 Sainan Jin, Peter C. B. Phillips, "The KPSS Test with Seasonal Dummies," (May 2002) [6pp, Abstract] (See: 1132)
CFDP 1367 Katsumi Shimotsu, Peter C. B. Phillips, "Local Whittle Estimation of Fractional Integration," (May 2002, updated July 2004) [36pp, Abstract] (See: 1156)
CFDP 1366 Yixiao Sun, Peter C. B. Phillips, "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," (May 2002) [40pp, Abstract] (See: 1077)
CFDP 1365 Ling Hu, Peter C. B. Phillips, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," (May 2002) [35pp, Abstract] (See: 1112)

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

CFPs

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)
CFP 1112 Ling Hu, Peter C. B. Phillips, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Journal of Applied Econometrics, 19(7): 851-867 (See CFDP 1365)
CFP 1109 Werner Ploberger, Peter C. B. Phillips, "An Introduction to Best Empirical Models When the Parameter Space is Infinite Dimensional," Oxford Bulletin of Economics and Statistics, (December 2003), 65: 877-878