Peter C. B. Phillips

CFDPs

CFDP 1161 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 U.S. Economy," (September 1997) [18pp, Abstract] [See 1105]
CFDP 1155 John C. Chao, Peter C. B. Phillips, "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," (July 1997) [ Abstract pp, Abstract]
CFDP 1137 John C. Chao, Peter C. B. Phillips, "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys’ Prior," (November 1996) [35pp, Abstract] [See 970]
CFDP 1135 Peter C. B. Phillips, "Spurious Regression Unmasked," (October 1996) [38pp, Abstract]
CFDP 1134 Peter C. B. Phillips, Chin Chin Lee, "Efficiency Gains from Quasi-Differencing under Nonstationarity," (September 1996) [14pp, Abstract]
CFDP 1104 Peter C. B. Phillips, "Unit Root Tests," (June 1995) [25pp, Abstract] [See 944]
CFDP 1103 Peter C. B. Phillips, "Automated Forecasts of Asia-Pacific Economic Activity," (June 1995) [15pp, Abstract]
CFDP 1102 Peter C. B. Phillips, "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," (June 1995) [38pp, Abstract] [See 953]
CFDP 1083 Peter C. B. Phillips, "Model Determination and Macroeconomic Activity," (September 1994) [89pp, Abstract] [See 926]
CFDP 1082 Yuichi Kitamura, Peter C. B. Phillips, "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-stationary Regressions and Instruments," (September 1994) [42pp, Abstract] [See 955]

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

CFPs

CFP 966 Peter C. B. Phillips, "New Tools for Understanding Spurious Regressions," Econometrica, (November 1998), 66(6): 1299-1325
CFP 955 Yuichi Kitamura, Peter C. B. Phillips, "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressors and Instruments," Journal of Econometrics, (September 1997), 80(1): 85-123 [See CFDP 1082]
CFP 953 Peter C. B. Phillips, "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs," Journal of Econometrics, (November 1998), 83(1-2): 21-56 [See CFDP 1102]
CFP 948 Deborah J. Blood, Peter C. B. Phillips, "Economic Headline News on the Agenda: New Approaches to Understanding Causes and Effects," 97-113 (in M. McCombs, D. L. Shaw, and D. Weaver, eds., Communication and Democracy, Lawrence Erlbaum Assoc., 1997)
CFP 944 Peter C. B. Phillips, "Unit-Root Tests," 531-542 (in Samuel Kotz, ed., Encyclopedia of Statistical Sciences, Update Vol. 1, 1997) [See CFDP 1104]
CFP 943 John C. Chao, Peter C. B. Phillips, "An Empirical Bayesian Approach to Cointegrating Rank Selection and Test of the Present Value Model for Stock Prices," 325-349 (in Jack C. Lee, Wesley O. Johnson, and Arnold Zellner, eds., Modelling and Prediction, Springer, New York, 1996)
CFP 936 Peter C. B. Phillips, Chin Chin Lee, "Efficiency Gains from Quasi-Differencing Under Nonstationarity," (in P. M. Robinson and M. Rosenblatt, eds., Athens Conference on Applied Probability and Time Series, Vol. II, Springer, 1996. pp. 300-314) [See CFDP 1134]
CFP 926 Peter C. B. Phillips, "Econometric Model Determination," Econometrica, (July 1996), 64(4): 763-812 [See CFDP 1083]
CFP 921 Peter C. B. Phillips, James W. McFarland, Patrick C. McMahon, "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, (January 1996), 11(1): 1-22 [See CFDP 1080]
CFP 919 Yoosoon Chang, Peter C. B. Phillips, "Time Series Regression with Mixtures of Integrated Processes," Econometric Theory, (September 1995), 11(5): 1033-1094