Peter C. B. Phillips

CFDPs

CFDP 1916 Offer Lieberman, Peter C. B. Phillips, "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," (September 2013) [48pp, Abstract] (See: 1454)
CFDP 1915 Peter C. B. Phillips, Shuping Shi, Jun Yu, "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," (September 2013) [75pp, Abstract] (See: 1499)
CFDP 1914 Peter C. B. Phillips, Shuping Shi, Jun Yu, "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," (September 2013) [45pp, Abstract] (See: 1498)
CFDP 1913 Peter C. B. Phillips, "Unit Roots in Life — A Graduate Student Story," (September 2013) [22pp, Abstract] (See: 1429)
CFDP 1912 Peter C. B. Phillips, Sainan Jin, "Testing the Martingale Hypothesis," (September 2013) [46pp, Abstract] (See: 1443)
CFDP 1911 Jiti Gao, Peter C. B. Phillips, "Functional Coefficient Nonstationary Regression," (September 2013) [55pp, Abstract]
CFDP 1910 Jiti Gao, Degui Li, Peter C. B. Phillips, "Estimating Smooth Structural Change in Cointegration Models," (September 2013) [42pp, Abstract]
CFDP 1879 Peter C. B. Phillips, "On Confidence Intervals for Autoregressive Roots and Predictive Regression," (September 2012) [27pp, Abstract] (See: 1422)
CFDP 1878 Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips, "Nonparametric Predictive Regression," (September 2012) [49pp, Abstract] (See: 1461)
CFDP 1873 Zhipeng Liao, Peter C. B. Phillips, "Automated Estimation of Vector Error Correction Models," (September 2012) [91pp, Abstract] (See: 1476)

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

CFPs

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)
CFP 1460 Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor, "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Econometric Reviews, (April 2015), 34(4): 512-536 (See CFDP 1844)
CFP 1455 Peter C. B. Phillips, Chirok Han, "The True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression," Economics Letters, (February 2015), 127: 89-92 (See CFDP 1963)
CFP 1454 Offer Lieberman, Peter C. B. Phillips, "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, (November 2014), 35(6): 592-623 (See CFDP 1916)
CFP 1448 Hyungsik Roger Moon, Benoit Perron, Peter C. B. Phillips, "Point-optimal Panel Unit Root Tests with Serially Correlated Errors," Econometrics Journal, (October 2014), 17(3): 338-372
CFP 1443 Peter C. B. Phillips, Sainan Jin, "Testing the Martingale Hypothesis," Journal of Business and Economic Statistics, (January 2014), 32(4): 537-554 (See CFDP 1912)
CFP 1438 Peter C. B. Phillips, "Homage to Halbert White," Journal of Financial Econometrics, 12(4): 618-619
CFP 1429 Peter C. B. Phillips, "Unit Roots in Life — A Graduate Student Story," Econometric Theory, (August 2014), 30(4): 719-736 (See CFDP 1913)
CFP 1425 Peter C. B. Phillips, Shuping Shi, Jun Yu, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, (June 2014), 76(3): 315-333 (See CFDP 1842)