Peter C. B. Phillips

CFDPs

CFDP 1970 Jin Seo Cho, Peter C. B. Phillips, "Testing Equality of Covariance Matrices via Pythagorean Means," (December 2014) [48pp, Abstract]
CFDP 1969 Liang Jiang, Peter C. B. Phillips, Jun Yu, "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," (December 2014) [22pp, Abstract] (See: 1503)
CFDP 1968 Peter C. B. Phillips, Ye Chen, "Restricted Likelihood Ratio Tests in Predictive Regression," (December 2014) [65pp, Abstract]
CFDP 1967 Peter C. B. Phillips, Shu-Ping Shi, "Financial Bubble Implosion," (December 2014) [46pp, Abstract]
CFDP 1966 Ping Yu, Peter C. B. Phillips, "Threshold Regression with Endogeneity," (December 2014) [84pp, Abstract] (See: CFP1612)
CFDP 1965 Liangjun Su, Zhentao Shi, Peter C. B. Phillips, "Identifying Latent Structures in Panel Data," (December 2014) [76pp, Abstract] (See: 1536)
CFDP 1964 Offer Lieberman, Peter C. B. Phillips, "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing," (December 2014) [56pp, Abstract]
CFDP 1963 Peter C. B. Phillips, Chirok Han, "True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression," (December 2014) [9pp, Abstract] (See: 1455)
CFDP 1962 Peter C. B. Phillips, "Dynamic Panel GMM with Near Unity," (December 2014) [36pp, Abstract]
CFDP 1929 Degui Li, Peter C. B. Phillips, Jiti Gao, "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," (December 2013) [24pp, Abstract]

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

CFPs

CFP 1498 Peter C. B. Phillips, Shu-Ping Shi, Jun Yu, "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," International Economic Review, (November 2015), 56(4): 1043-1078 (See CFDP 1914)
CFP 1494 Yoonseok Lee, Peter C. B. Phillips, "Model Selection in the Presence of Incidental Parameters," Journal of Econometrics, (October 2015), 188(2): 474-489 (See CFDP 1919)
CFP 1492 Peter C. B. Phillips, "Edmond Malinvaud: A Tribute to His Contributions in Econometrics," Econometrics Journal, (June 2015), 18(2): A1-A13 (See CFDP 2002)
CFP 1491 Peter C. B. Phillips, "Pitfalls and Possibilities in Predictive Regression (Halbert White Jr. Memorial JFEC Lecture)," Journal of Financial Econometrics, 13(3): 521-555 (See CFDP 2003)
CFP 1487 Hyungsik Roger Moon, Benoit Perron, Peter C. B. Phillips, "Incidental Parameters and Dynamic Panel Modeling," 111-148 (in Badi H. Baltagi ed. Handbook of Panel Data, Oxford University Press, 2015, Ch. 4)
CFP 1483 Yae In Baek, Jin Seo Cho, Peter C. B. Phillips, "Testing Linearity Using Power Transforms of Regressors," Journal of Econometrics, (July 2015), 187(1): 376-384 (See CFDP 1917)
CFP 1477 Peter C. B. Phillips, "Memorial to Edmond Malinvaud," Econometric Theory, (June 2015), 31(3): 423-425
CFP 1476 Zhipeng Liao, Peter C. B. Phillips, "Automated Estimation of Vector Error Correction Models," Econometric Theory, (June 2015), 31(3): 581-646 (See CFDP 1873)
CFP 1473 Peter C. B. Phillips, Ji Hyung Lee, "Limit Theory for VARs with Mixed Roots Near Unity," Econometric Reviews, (May 2015), 34(6-10): 1034-1055 (See CFDP 1845)
CFP 1461 Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips, "Nonparametric Predictive Regression," Journal of Econometrics, (April 2015), 185(2): 468-494 (See CFDP 1878)