Peter C. B. Phillips

CFDPs

CFDP 1367 Katsumi Shimotsu, Peter C. B. Phillips, "Local Whittle Estimation of Fractional Integration," (May 2002updated 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)
CFDP 1364 Ling Hu, Peter C. B. Phillips, "Nonstationary Discrete Choice," (May 2002) [37pp, Abstract] (See: 1103)
CFDP 1363 Peter C. B. Phillips, Binbin Guo, Zhijie Xiao, "Efficient Regression in Time Series Partial Linear Models," (May 2002) [46pp, Abstract]
CFDP 1362 Peter C. B. Phillips, Donggyu Sul, "Dynamic Panel Estimation and Homogeneity Testing under Cross Section Dependence," (May 2002) [56pp, Abstract] (See: 1136)
CFDP 1332 Federico M. Bandi, Peter C. B. Phillips, "Fully Nonparametric Estimation of Scalar Diffusion Models," (September 2001) [47pp, Abstract] (See: 1050)
CFDP 1331 Peter C. B. Phillips, Joon Y. Park, Yoosoon Chang, "Nonlinear Instrumental Variable Estimation of Autoregression," (September 2001) [30pp, Abstract]
CFDP 1330 Peter C. B. Phillips, "Bootstrapping Spurious Regression," (September 2001) [43pp, Abstract]
CFDP 1329 Zhijie Xiao, Peter C. B. Phillips, "A CUSUM Test for Cointegration Using Regression Residuals," (September 2001) [21pp, Abstract] (See: 1046)

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

CFPs

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
CFP 1107 John C. Chao, Peter C. B. Phillips, "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Journal of Econometrics, (December 2002), 111(2): 251-283 (See CFDP 1198)
CFP 1105 Zhijie Xiao, Peter C. B. Phillips, "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the US Economy," Econometrics Journal, (December 1998), 1(2): 27-43 (See CFDP 1161)
CFP 1103 Ling Hu, Peter C. B. Phillips, "Nonstationary Discrete Choice," Journal of Econometrics, (May 2004), 120(1): 103-138 (See CFDP 1364)
CFP 1101 Peter C. B. Phillips, Viv B. Hall, "Early Development of Econometric Software at the University of Auckland," Journal of Economic and Social Measurement, (January 2004), 29(1-3): 127-133
CFP 1098 Peter C. B. Phillips, Katsumi Shimotsu, "Local Whittle Estimation in Nonstationary and Unit Root Cases," Annals of Statistics, (April 2004), 32(2): 656-692 (See CFDP 1266)
CFP 1094 Zhijie Xiao, Peter C. B. Phillips, "Higher Order Approximations for Wald Statistics in Time Series Regressions with Integrated Processes," Journal of Econometrics, (May 2002), 108(1): 157-198