| Publication | Date of Publication | Type |
|---|
| Non-stationary regression with logistic transition | 2022-07-26 | Paper |
| Estimation of volatility functions in jump diffusions using truncated bipower increments | 2021-11-25 | Paper |
| Nonparametric estimation of jump diffusion models | 2021-05-04 | Paper |
| Testing for stationarity at high frequency | 2020-05-21 | Paper |
| Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate | 2019-12-19 | Paper |
| Estimation of longrun variance of continuous time stochastic process using discrete sample | 2019-07-01 | Paper |
| Evaluating factor pricing models using high-frequency panels | 2018-09-12 | Paper |
| Stationarity-based specification tests for diffusions when the process is nonstationary | 2017-05-12 | Paper |
| Random walk or chaos: a formal test on the Lyapunov exponent | 2017-05-12 | Paper |
| Asymptotics for recurrent diffusions with application to high frequency regression | 2016-11-17 | Paper |
| A new approach to model regime switching | 2016-11-17 | Paper |
| ARCH/GARCH with persistent covariate: asymptotic theory of MLE | 2016-08-15 | Paper |
| Functional regression of continuous state distributions | 2016-08-15 | Paper |
| A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving | 2016-08-01 | Paper |
| Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory | 2016-07-25 | Paper |
| Functional-coefficient models for nonstationary time series data | 2016-07-04 | Paper |
| Extracting a common stochastic trend: theory with some applications | 2016-07-04 | Paper |
| Time series properties of ARCH processes with persistent covariates | 2016-06-22 | Paper |
| Testing for a unit root against transitional autoregressive models | 2016-06-16 | Paper |
| Nonstationary nonlinear heteroskedasticity in regression | 2016-05-02 | Paper |
| A bootstrap theory for weakly integrated processes | 2016-04-25 | Paper |
| Bootstrapping cointegrating regressions | 2016-04-25 | Paper |
| Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models | 2016-03-01 | Paper |
| A reexamination of stock return predictability | 2016-03-01 | Paper |
| Nonstationarity in time series of state densities | 2016-03-01 | Paper |
| GARCH with omitted persistent covariate | 2015-01-12 | Paper |
| Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective | 2014-09-05 | Paper |
| An asymptotic analysis of likelihood-based diffusion model selection using high frequency data | 2014-08-07 | Paper |
| Endogeneity in nonlinear regressions with integrated time series | 2011-03-30 | Paper |
| Cointegrating regressions with time heterogeneity | 2010-08-05 | Paper |
| Bootstrap Unit Root Tests | 2006-06-19 | Paper |
| A Test of the Martingale Hypothesis | 2006-01-27 | Paper |
| ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS | 2004-09-22 | Paper |
| A Sieve Bootstrap For The Test Of A Unit Root | 2004-03-16 | Paper |
| Nonlinear instrumental variable estimation of an autoregression. | 2004-01-26 | Paper |
| AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES | 2003-05-18 | Paper |
| Index models with integrated time series | 2003-05-04 | Paper |
| A cointegration approach to estimating preference parameters | 2003-04-21 | Paper |
| Nonlinear econometric models with cointegrated and deterministically trending regressors | 2003-03-26 | Paper |
| Nonstationary nonlinear heteroskedasticity. | 2003-02-17 | Paper |
| Nonlinear Regressions with Integrated Time Series | 2002-05-28 | Paper |
| Nonstationary Binary Choice | 2002-05-28 | Paper |
| ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES | 2001-07-19 | Paper |
| COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS | 2001-07-08 | Paper |
| Canonical Cointegrating Regressions | 1992-09-26 | Paper |
| Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors | 1988-01-01 | Paper |
| On the Formulation of Wald Tests of Nonlinear Restrictions | 1988-01-01 | Paper |
