Peter C. B. Phillips

CFDPs

CFDP 1311 Andrew Jeffrey, Oliver B. Linton, Thong Nguyen, Peter C. B. Phillips, "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," (July 2001) [47pp, Abstract] (See: 1143)
CFDP 1310 Peter C. B. Phillips, "Regression with Slowly Varying Regressors," (July 2001) [45pp, Abstract]
CFDP 1309 Jun Yu, Peter C. B. Phillips, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," (July 2001) [22pp, Abstract] (See: 1347)
CFDP 1308 Offer Lieberman, Peter C. B. Phillips, "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter," (July 2001) [14pp, Abstract]
CFDP 1283 Carmela E. Quintos, Zhenhong Fan, Peter C. B. Phillips, "Structural Change in Tail Behavior and the Asian Financial Crisis," (November 2000) [38pp, Abstract] (See: 1030)
CFDP 1278 Aaron F. Schiff, Peter C. B. Phillips, "Forecasting New Zealand's Real GDP," (October 2000) [32pp, Abstract] (See: 1020)
CFDP 1274 Hyungsik Roger Moon, Peter C. B. Phillips, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," (August 2000) [54pp, Abstract]
CFDP 1267 Katsumi Shimotsu, Peter C. B. Phillips, "Pooled Log Periodogram Regression," (July 2000) [46pp, Abstract] (See: 1041)
CFDP 1266 Katsumi Shimotsu, Peter C. B. Phillips, "Local Whittle Estimation in Nonstationary and Unit Root Cases," (July 2000, revised June 2003) [33pp, Abstract] (See: 1098)
CFDP 1265 Katsumi Shimotsu, Peter C. B. Phillips, "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case," (July 2000) [54pp, Abstract]

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

CFPs

CFP 1087 Peter C. B. Phillips, Joon Y. Park, Yoosoon Chang, "Nonlinear Instrumental Variable Estimation of an Autoregression," 219-246 (Journal of Econometrics (January-February 2004) 118(1-2)) (See CFDP 1331)
CFP 1085 Hyungsik Roger Moon, Peter C. B. Phillips, "GMM Estimation of Autoregressive Roots Near Units with Panel Data," 467-522 (Econometrica (March 2004) 72(2)) (See CFDP 1274)
CFP 1081 Peter C. B. Phillips, "Laws and Limits of Econometrics," The Economic Journal, (March 2003), 113(486): C26-C52 (See CFDP 1397)
CFP 1077 Yixiao Sun, Peter C. B. Phillips, "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Journal of Econometrics, (August 2003), 115(2): 355-389 (See CFDP 1366)
CFP 1071 Zhijie Xiao, Peter C. B. Phillips, "Efficient Detrending in Cointegrating Regression," Econometric Theory, (August 1999), 15(4): 519-548
CFP 1068 Peter C. B. Phillips, James W. McFarland, "Forward Exchange Market Unbiasedness: the Case of the Australian Dollar Since 1984," Journal of International Money and Finance, (December 1997), 16(6): 885-907 (See CFDP 1055)
CFP 1062 Werner Ploberger, Peter C. B. Phillips, "Empirical Limits for Time Series Econometric Models," Econometrica, (March 2003), 71(2): 627-673 (See CFDP 1220)
CFP 1059 Peter C. B. Phillips, "New Unit Root Asymptotics in the Presence of Deterministic Trends," Journal of Econometrics, (December 2002), 111(2): 323-353 (See CFDP 1196)
CFP 1054 Peter C. B. Phillips, "Vision and Influence in Econometrics: John Denis Sargan," Econometric Theory, (June 2003), 19(3): 495-511 (See CFDP 1393)
CFP 1050 Federico M. Bandi, Peter C. B. Phillips, "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, (January 2003), 71(1): 241-283 (See CFDP 1332)