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m AuthorDisambiguator moved page Peter C. B. Phillips to Peter C. B. Phillips: Duplicate
 
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Latest revision as of 01:27, 10 December 2023

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zbMath Open phillips.peter-c-bDBLP80/5330WikidataQ2074245 ScholiaQ2074245MaRDI QIDQ274886

List of research outcomes

PublicationDate of PublicationType
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR2024-03-27Paper
Panel data models with time-varying latent group structures2024-03-21Paper
High-dimensional IV cointegration estimation and inference2024-02-13Paper
Robust testing for explosive behavior with strongly dependent errors2024-02-13Paper
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION2024-01-09Paper
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION2023-10-24Paper
Robust inference with stochastic local unit root regressors in predictive regressions2023-06-29Paper
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations2023-06-09Paper
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS2023-05-04Paper
THE ECONOMETRIC THEORY AWARDS 20232023-05-04Paper
High-dimensional VARs with common factors2023-03-03Paper
Fully modified least squares cointegrating parameter estimation in multicointegrated systems2023-02-01Paper
When bias contributes to variance: true limit theory in functional coefficient cointegrating regression2023-02-01Paper
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION2022-11-23Paper
Edmond Malinvaud: a tribute to his contributions in econometrics2022-07-27Paper
Point-optimal panel unit root tests with serially correlated errors2022-07-26Paper
Reduced forms and weak instrumentation2022-06-08Paper
Meritocracy Voting: Measuring the Unmeasurable2022-06-07Paper
Lag length selection in panel autoregression2022-06-07Paper
Limit Theory for VARs with Mixed Roots Near Unity2022-06-03Paper
Nonlinearity Induced Weak Instrumentation2022-05-31Paper
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility2022-05-31Paper
PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES2022-04-25Paper
Understanding temporal aggregation effects on kurtosis in financial indices2022-03-16Paper
Functional coefficient panel modeling with communal smoothing covariates2022-03-16Paper
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY2022-01-26Paper
BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER2021-09-17Paper
BOOSTING: WHY YOU CAN USE THE HP FILTER2021-09-17Paper
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems2021-08-07Paper
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION2021-04-16Paper
Point optimal testing with roots that are functionally local to unity2021-02-04Paper
Nonstationary panel models with latent group structures and cross-section dependence2021-02-04Paper
Dynamic panel GMM using R2020-08-18Paper
Real time monitoring of asset markets: Bubbles and crises2020-07-10Paper
Kernel-based inference in time-varying coefficient cointegrating regression2020-05-21Paper
Asymptotic theory for near integrated processes driven by tempered linear processes2020-03-20Paper
Hybrid stochastic local unit roots2020-02-17Paper
Econometric estimates of Earth's transient climate sensitivity2019-12-19Paper
The heterogeneous effects of the minimum wage on employment across states2019-10-10Paper
Weak \(\sigma\)-convergence: theory and applications2019-04-30Paper
Random coefficient continuous systems: testing for extreme sample path behavior2019-04-30Paper
Identifying Latent Structures in Panel Data2019-01-31Paper
On Confidence Intervals for Autoregressive Roots and Predictive Regression2019-01-29Paper
IN MEMORY OF JOHN DENIS SARGAN2018-12-14Paper
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN2018-12-14Paper
Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion2018-12-12Paper
Change Detection and the Causal Impact of the Yield Curve2018-11-16Paper
A frequentist approach to Bayesian asymptotics2018-10-12Paper
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS2018-09-06Paper
Boundary Limit Theory for Functional Local to Unity Regression2018-07-11Paper
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION2018-06-26Paper
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY2018-04-25Paper
Threshold regression with endogeneity2018-03-22Paper
Pythagorean generalization of testing the equality of two symmetric positive definite matrices2017-11-23Paper
Inference in continuous systems with mildly explosive regressors2017-11-07Paper
Phoebus J. Dhrymes (1932–2016)2017-09-15Paper
TRIBUTE TO T.W. ANDERSON2017-08-22Paper
Structural inference from reduced forms with many instruments2017-08-18Paper
Dynamic misspecification in nonparametric cointegrating regression2017-05-12Paper
Cointegrating rank selection in models with time-varying variance2017-05-12Paper
Mean and autocovariance function estimation near the boundary of stationarity2017-05-12Paper
Optimal estimation under nonstandard conditions2017-05-12Paper
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS2017-05-10Paper
A multivariate stochastic unit root model with an application to derivative pricing2016-11-17Paper
Estimating smooth structural change in cointegration models2016-11-17Paper
Bias in estimating multivariate and univariate diffusions2016-08-10Paper
Smoothing local-to-moderate unit root theory2016-08-04Paper
Bootstrapping I(1) data2016-08-04Paper
Indirect inference for dynamic panel models2016-08-01Paper
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION2016-07-29Paper
Long memory and long run variation2016-07-18Paper
A two-stage realized volatility approach to estimation of diffusion processes with discrete data2016-07-04Paper
A complete asymptotic series for the autocovariance function of a long memory process2016-06-22Paper
Adaptive estimation of autoregressive models with time-varying variances2016-06-03Paper
Incidental trends and the power of panel unit root tests2016-05-27Paper
Nonstationary discrete choice: a corrigendum and addendum2016-05-27Paper
Robust econometric inference with mixed integrated and mildly explosive regressors2016-05-10Paper
A simple approach to the parametric estimation of potentially nonstationary diffusions2016-05-04Paper
Unit root log periodogram regression2016-05-04Paper
Limit theory for moderate deviations from a unit root2016-05-02Paper
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence2016-05-02Paper
Local Whittle estimation of fractional integration and some of its variants2016-04-25Paper
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY2016-04-22Paper
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5002016-02-10Paper
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS2016-02-10Paper
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression2015-09-29Paper
Testing linearity using power transforms of regressors2015-09-01Paper
Model selection in the presence of incidental parameters2015-08-13Paper
MEMORIAL TO EDMOND MALINVAUD2015-06-22Paper
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS2015-06-22Paper
Nonparametric predictive regression2015-05-06Paper
NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS2015-03-04Paper
Optimal estimation of cointegrated systems with irrelevant instruments2014-08-06Paper
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION2014-06-20Paper
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION2014-06-20Paper
Predictive regression under various degrees of persistence and robust long-horizon regression2014-06-06Paper
Semiparametric estimation in triangular system equations with nonstationarity2014-04-04Paper
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS2014-03-25Paper
First difference maximum likelihood and dynamic panel estimation2014-03-18Paper
Nonstationary discrete choice2014-03-07Paper
Folklore Theorems, Implicit Maps, and Indirect Inference2013-11-06Paper
A simple proof of the latent root sensitivity formula2013-10-25Paper
Non‐parametric regression under location shifts2013-04-17Paper
A specification test for nonlinear nonstationary models2012-08-29Paper
Testing for common trends in semi‐parametric panel data models with fixed effects2012-07-13Paper
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION2012-06-11Paper
REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS2012-05-14Paper
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES2012-05-14Paper
Dating the timeline of financial bubbles during the subprime crisis2012-03-02Paper
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION2012-01-04Paper
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS2012-01-04Paper
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’2011-07-27Paper
Bimodal t-ratios: the impact of thick tails on inference2011-05-31Paper
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS2011-04-27Paper
Infinite Density at the Median and the Typical Shape of Stock Return Distributions2011-04-13Paper
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity2010-10-11Paper
LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES2010-07-23Paper
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY2010-02-26Paper
Semiparametric cointegrating rank selection2010-02-12Paper
Structural Nonparametric Cointegrating Regression2010-02-03Paper
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION2009-12-15Paper
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST2009-12-15Paper
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance2009-11-27Paper
ECONOMETRIC THEORY AND PRACTICE2009-09-30Paper
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION2009-09-30Paper
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION2009-09-30Paper
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY2009-09-30Paper
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT2009-06-11Paper
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS2009-06-11Paper
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS2009-06-11Paper
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS2009-06-11Paper
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS2009-04-01Paper
Refined Inference on Long Memory in Realized Volatility2008-11-19Paper
Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing2008-03-19Paper
Transition Modeling and Econometric Convergence Tests2008-02-21Paper
Comment: A selective overview of nonparametric methods in financial econometrics2007-09-18Paper
Uniform Limit Theory for Stationary Autoregression2007-05-29Paper
Inference in Autoregression under Heteroskedasticity2007-05-29Paper
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER2007-04-23Paper
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation2007-02-14Paper
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION2006-11-14Paper
GMM with Many Moment Conditions2006-10-24Paper
Fully Nonparametric Estimation of Scalar Diffusion Models2006-06-19Paper
Empirical Limits for Time Series Econometric Models2006-06-19Paper
GMM Estimation of Autoregressive Roots Near Unity with Panel Data2006-06-19Paper
Band Spectral Regression with Trending Data2006-06-16Paper
Expansions for approximate maximum likelihood estimators of the fractional difference parameter2006-01-24Paper
Exact local Whittle estimation of fractional integration2006-01-16Paper
AUTOMATED DISCOVERY IN ECONOMETRICS2005-10-18Paper
HAC ESTIMATION BY AUTOMATED REGRESSION2005-10-18Paper
Challenges of trending time series econometrics2005-08-05Paper
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra2005-05-20Paper
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER2005-03-07Paper
Local Whittle estimation in nonstationary and unit root cases.2004-09-15Paper
Dynamic panel estimation and homogeneity testing under cross section dependence2004-03-17Paper
https://portal.mardi4nfdi.de/entity/Q44533132004-03-07Paper
Nonlinear instrumental variable estimation of an autoregression.2004-01-26Paper
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy2003-08-07Paper
Nonlinear log-periodogram regression for perturbed fractional processes2003-08-07Paper
A CUSUM test for cointegration using regression residuals2003-04-02Paper
Higher order approximations for Wald statistics in time series regressions with integrated processes.2003-04-02Paper
Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.2003-04-02Paper
New unit root asymptotics in the presence of deterministic trends.2003-04-02Paper
Nonlinear econometric models with cointegrated and deterministically trending regressors2003-03-26Paper
The KPSS test with seasonal dummies2003-01-21Paper
Pooled Log Periodogram Regression2002-08-05Paper
New Tools for Understanding Spurious Regressions2002-05-28Paper
Linear Regression Limit Theory for Nonstationary Panel Data2002-05-28Paper
Nonstationary Binary Choice2002-05-28Paper
Nonlinear Regressions with Integrated Time Series2002-05-28Paper
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION2002-05-23Paper
Structural Change Tests in Tail Behaviour and the Asian Crisis2002-03-06Paper
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY2001-11-01Paper
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES2001-07-19Paper
Trending time series and macroeconomic activity: Some present and future challenges2001-06-05Paper
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA2001-05-16Paper
Higher-order approximations for frequency domain time series regression2001-03-11Paper
A Gaussian approach for continuous time models of the short-term interest rate2001-01-01Paper
Nonstationary panel data analysis: an overview of some recent developments2000-11-05Paper
Bayesian model selection and prediction with empirical applications1999-11-08Paper
Impulse response and forecast error variance asymptotics in nonstationary VARs1999-08-16Paper
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure1999-01-01Paper
https://portal.mardi4nfdi.de/entity/Q43690001998-09-20Paper
Fully Modified Least Squares and Vector Autoregression1998-01-05Paper
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior1998-01-01Paper
An Asymtotic Theory of Bayesian Inference for Time Series1997-05-29Paper
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?1997-03-10Paper
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.1997-01-01Paper
Econometric Model Determination1996-10-13Paper
A bayesian analysis of trend determination in economic time series1996-02-13Paper
Vector autoregression and causality: a theoretical overview and simulation study1996-01-24Paper
https://portal.mardi4nfdi.de/entity/Q48347911995-09-19Paper
Vector Autoregressions and Causality1994-10-16Paper
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models1994-03-24Paper
https://portal.mardi4nfdi.de/entity/Q40157411993-01-16Paper
The spurious effect of unit roots on vector autoregressions. An analytical study1993-01-01Paper
Asymptotics for linear processes1992-09-27Paper
Regression Theory for Near-Integrated Time Series1992-06-25Paper
Estimating Long-Run Economic Equilibria1991-05-01Paper
Error Correction and Long-Run Equilibrium in Continuous Time1991-01-01Paper
Optimal Inference in Cointegrated Systems1991-01-01Paper
Estimating Long-Run Economic Equilibria1991-01-01Paper
The Durbin-Watson ratio under infinite-variance errors1991-01-01Paper
Asymptotic Properties of Residual Based Tests for Cointegration1990-01-01Paper
Statistical Inference in Instrumental Variables Regression with I(1) Processes1990-01-01Paper
Spherical matrix distributions and Cauchy quotients1989-01-01Paper
Testing for a unit root in time series regression1988-01-01Paper
On the Formulation of Wald Tests of Nonlinear Restrictions1988-01-01Paper
Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors1988-01-01Paper
Trends versus Random Walks in Time Series Analysis1988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38259721988-01-01Paper
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)1988-01-01Paper
Testing for cointegration using principal components methods1988-01-01Paper
Conditional and unconditional statistical independence1988-01-01Paper
Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions1987-01-01Paper
Towards a unified asymptotic theory for autoregression1987-01-01Paper
Time Series Regression with a Unit Root1987-01-01Paper
An everywhere convergent series representation of the distribution of Hotelling's generalized \(T^ 2_ 0\)1987-01-01Paper
The Distribution of FIML in the Leading Case1986-01-01Paper
Multiple Time Series Regression with Integrated Processes1986-01-01Paper
The Exact Distribution of the Wald Statistic1986-01-01Paper
A simplified proof of a theorem on the difference of the moore–penrose inverses of two positive semi–difinte matrices1986-01-01Paper
Understanding spurious regressions in econometrics1986-01-01Paper
The Exact Distribution of the SUR Estimator1985-01-01Paper
The Exact Distribution of LIML: II1985-01-01Paper
The distribution of matrix quotients1985-01-01Paper
The Exact Distribution of LIML: I1984-01-01Paper
The exact distribution of exogenous variable coefficient estimators1984-01-01Paper
The exact distribution of the Stein-rule estimator1984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33417321983-01-01Paper
ERA's: A New Approach to Small Sample Theory1983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33213111982-01-01Paper
The true characteristic function of the F distribution1982-01-01Paper
On the Consistency of Nonlinear FIML1982-01-01Paper
On the behavior of inconsistent instrumental variable estimators1982-01-01Paper
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume1980-01-01Paper
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables1980-01-01Paper
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System1979-01-01Paper
The concentration ellipsoid of a random vector1979-01-01Paper
The sampling distribution of forecasts from a first-order autoregression1979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38702001978-01-01Paper
Edgeworth and saddlepoint approximations in the first-order noncircular autoregression1978-01-01Paper
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation1977-01-01Paper
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators1977-01-01Paper
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator1977-01-01Paper
A large deviation limit theorem for multivariate distributions1977-01-01Paper
The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator1976-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41302481976-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41308261976-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41308271976-01-01Paper
https://portal.mardi4nfdi.de/entity/Q41308291976-01-01Paper
The Estimation of Some Continuous Time Models1974-01-01Paper
The problem of identification in finite parameter continuous time models1973-01-01Paper
The Structural Estimation of a Stochastic Differential Equation System1972-01-01Paper

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