Peter C. B. Phillips

CFDPs

CFDP 1748 Werner Ploberger, Peter C. B. Phillips, "Optimal Estimation under Nonstandard Conditions," (January 2010) [19pp, Abstract] (See: 1364)
CFDP 1747 Chirok Han, Peter C. B. Phillips, Donggyu Sul, "X-Differencing and Dynamic Panel Model Estimation," (January 2010) [61pp, Abstract] (See: 1406)
CFDP 1746 Chirok Han, Peter C. B. Phillips, Donggyu Sul, "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," (January 2010) [31pp, Abstract] (See: 1339)
CFDP 1704 Peter C. B. Phillips, Liangjun Su, "A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression," (June 2009) [31pp, Abstract]
CFDP 1703 Jin Seo Cho, Chirok Han, Peter C. B. Phillips, "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," (June 2009) [10pp, Abstract]
CFDP 1702 Peter C. B. Phillips, Liangjun Su, "Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor," (June 2009) [42pp, Abstract] (See: 1346)
CFDP 1701 Chirok Han, Jin Seo Cho, Peter C. B. Phillips, "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," (June 2009) [32pp, Abstract] (See: 1338)
CFDP 1700 Ioannis Kasparis, Peter C. B. Phillips, "Dynamic Misspecification in Nonparametric Cointegrating Regression," (June 2009) [32pp, Abstract] (See: 1374)
CFDP 1699 Peter C. B. Phillips, Yangru Wu, Jun Yu, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," (June 2009) [36pp, Abstract]
CFDP 1690 Liudas Giraitis, Peter C. B. Phillips, "Mean and Autocovariance Function Estimation Near the Boundary of Stationarity," (January 2009) [34pp, Abstract] (See: 1363)

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

CFPs

CFP 1355 Xiaoxia Shi, Peter C. B. Phillips, "Nonlinear Cointegrating Regression under Weak Identification," Econometric Theory, (June 2012), 28(3): 509-547 (See CFDP 1768)
CFP 1351 Peter C. B. Phillips, Jun Yu, "The ET Interview: A Conversation with Eric Ghysels," Econometric Theory, (February 2012), 28(1): 207-217
CFP 1350 Peter C. B. Phillips, "Folklore Theorems, Implicit Maps, and Indirect Inference," Econometrica, (January 2012), 80(1): 425-454 (includes Supplemental Material) (See CFDP 1781)
CFP 1349 Peter C. B. Phillips, Yangru Wu, Jun Yu, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," International Economic Review, (February 2011), 52(1): 201–226 (See CFDP 1699)
CFP 1348 Peter C. B. Phillips, Jun Yu, "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Quantitative Economics, (November 2010), 1(2): 455-491 (See CFDP 1770)
CFP 1347 Jun Yu, Peter C. B. Phillips, ""Corrigendum” to “A Gaussian Approach for Continuous Time Models of Short-term Interest Rates [CFP 1124]"," Econometrics Journal, (February 2011), 14(4): 126-129 (See CFDP 1309)
CFP 1346 Peter C. B. Phillips, Liangjun Su, "Non-parametric Regression under Location Shifts," Econometrics Journal, (October 2011), 14(3): 457-486 (See CFDP 1702)
CFP 1343 Xiaohu Wang, Peter C. B. Phillips, Jun Yu, "Bias in Estimating Multivariate and Univariate Diffusions," Journal of Econometrics, (April 2011), 161(2): 228-245 (See CFDP 1778)
CFP 1340 Yixiao Sun, Peter C. B. Phillips, Sainan Jin, "Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels," Econometric Theory, (December 2011), 27(6): 1320-1368 (See CFDP 1749)
CFP 1339 Chirok Han, Peter C. B. Phillips, Donggyu Sul, "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," Econometric Theory, (December 2011), 27(6): 1117-1151 (See CFDP 1746)