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Phillips, Peter Charles Bonest

Author ID: phillips.peter-c-b Recent zbMATH articles by "Phillips, Peter Charles Bonest"
Published as: Phillips, Peter C. B.; Phillips, P. C. B.; Philips, Peter C. B.; Phillips, Peter C. B.
Homepage: http://korora.econ.yale.edu/phillips/
External Links: MGP · Wikidata · Google Scholar · dblp · GND · IdRef
Documents Indexed: 253 Publications since 1972, including 1 Book
2 Contributions as Editor · 1 Further Contribution
Biographic References: 6 Publications
Co-Authors: 94 Co-Authors with 177 Joint Publications
1,572 Co-Co-Authors
all top 5

Co-Authors

76 single-authored
14 Yu, Jun
11 Han, Chirok
10 Lieberman, Offer
10 Wang, Qiying
8 Moon, Hyungsik Roger
7 Jin, Sainan
7 Magdalinos, Tassos
7 Park, Joon Y.
7 Sul, Donggyu
6 Su, Liangjun
6 Xiao, Zhijie
5 Cho, Jin Seo
5 Gao, Jiti
5 Shi, Shuping
4 Chao, John C.
4 Giraitis, Liudas
4 Kasparis, Ioannis
4 Shimotsu, Katsumi
4 Sun, Yixiao
3 Lee, Ji Hyung
3 Li, Degui
3 Ouliaris, Sam
3 Perron, Benoit
3 Ploberger, Werner Ulrich
3 Toda, Hiro Y.
3 Wang, Ying
2 Andrews, Donald Wilfrid Kao
2 Bandi, Federico M.
2 Bykhovskaya, Anna
2 Chang, Yoosoon
2 Cheng, Xu
2 Durlauf, Steven N.
2 Hu, Ling
2 Kheifets, Igor L.
2 Kyriacou, Maria
2 Loretan, Mico
2 Quintos, Carmela E.
2 Shi, Zhentao
2 Tao, Yubo
2 Taylor, A. M. Robert
2 Xu, Keli
2 Yu, Ping
1 Alexander, Sidney S.
1 Andreou, Elena
1 Arrow, Kenneth Joseph
1 Baek, Yae In
1 Bjerkholt, Olav
1 Cavaliere, Giuseppe
1 Chambers, Marcus J.
1 Chen, Ye
1 Cheng, Tingting
1 Corbae, Dean
1 Dalla, Violetta
1 Fan, Zhenhong
1 Fiorio, Carlo V.
1 Gao, Wayne Yuan
1 Gourieroux, Christian
1 Haavelmo, Trygve
1 Hajivassiliou, Vassilis Argyrou
1 Hansen, Bruce E.
1 Holly, Alberto
1 Hong, Seung Hyun
1 Hu, Zhishui
1 Huang, Wenxin
1 Hurn, Stan
1 Ibragimov, Rustam
1 Jiang, Liang
1 Kim, Chang Sik
1 Kitamura, Yuichi
1 Kong, Jianning
1 Kwiatkowski, Denis
1 Lee, Yoonseok
1 Leirvik, Thomas
1 Liang, Hanying
1 Liao, Zhipeng
1 Liu, Yanbo
1 Lui, Yiu Lim
1 Maasoumi, Esfandiar
1 Miao, Ke
1 Perron, Pierre
1 Sabzikar, Farzad
1 Schmidt, Peter
1 Seo, Juwon
1 Shi, Xiaoxia
1 Shin, Yongcheol
1 Smeekes, Stephan
1 Solo, Victor
1 Spanos, Aris
1 Storelvmo, Trude
1 Ullah, Aman
1 Wang, Hanchao
1 Wang, Wuyi
1 Wang, Xiaohu
1 Wickens, Michael R.
1 Zhang, Yichong
1 Zhang, Yonghui
1 Zinde-Walsh, Victoria
1 Zivot, Eric

Publications by Year

Citations contained in zbMATH Open

227 Publications have been cited 6,665 times in 3,184 Documents Cited by Year
Testing for a unit root in time series regression. Zbl 0644.62094
Phillips, Peter C. B.; Perron, Pierre
439
1988
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? Zbl 0871.62100
Kwiatkowski, Denis; Phillips, Peter C. B.; Schmidt, Peter; Shin, Yongcheol
436
1992
Time series regression with a unit root. Zbl 0613.62109
Phillips, P. C. B.
398
1987
Asymptotics for linear processes. Zbl 0759.60021
Phillips, Peter C. B.; Solo, Victor
301
1992
Towards a unified asymptotic theory for autoregression. Zbl 0654.62073
Phillips, P. C. B.
233
1987
Statistical inference in instrumental variables regression with \(I(1)\) processes. Zbl 0703.62098
Phillips, Peter C. B.; Hansen, Bruce E.
185
1990
Multiple time series regression with integrated processes. Zbl 0599.62103
Phillips, P. C. B.; Durlauf, S. N.
176
1986
Linear regression limit theory for nonstationary panel data. Zbl 1056.62532
Phillips, Peter C. B.; Moon, Hyungsik R.
158
1999
Optimal inference in cointegrated systems. Zbl 0729.62104
Phillips, P. C. B.
158
1991
Understanding spurious regressions in econometrics. Zbl 0602.62098
Phillips, P. C. B.
154
1986
Asymptotic properties of residual based tests for cointegration. Zbl 0733.62100
Phillips, P. C. B.; Ouliaris, S.
152
1990
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
124
2007
Nonlinear regressions with integrated time series. Zbl 0999.62050
Park, Joon Y.; Phillips, Peter C. B.
120
2001
Fully nonparametric estimation of scalar diffusion models. Zbl 1136.62365
Bandi, Federico M.; Phillips, Peter C. B.
120
2003
Exact local Whittle estimation of fractional integration. Zbl 1081.62069
Shimotsu, Katsumi; Phillips, Peter C. B.
90
2005
Dynamic panel estimation and homogeneity testing under cross section dependence. Zbl 1032.62111
Phillips, Peter C. B.; Sul, Donggyu
88
2003
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
86
2009
Asymptotics for nonlinear transformations of integrated time series. Zbl 0964.62092
Park, Joon Y.; Phillips, Peter C. B.
81
1999
Structural nonparametric cointegrating regression. Zbl 1182.62088
Wang, Qiying; Phillips, Peter C. B.
81
2009
Fully modified least squares and vector autoregression. Zbl 0878.62104
Phillips, Peter C. B.
74
1995
Regression theory for near-integrated time series. Zbl 0744.62128
Phillips, P. C. B.
69
1988
Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing. Zbl 1132.62073
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan
67
2008
Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. Zbl 1404.62111
Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
61
2015
Identifying latent structures in panel data. Zbl 1410.62110
Su, Liangjun; Shi, Zhentao; Phillips, Peter C. B.
54
2016
Econometric model determination. Zbl 0899.62144
Phillips, Peter C. B.
53
1996
GMM with many moment conditions. Zbl 1112.62136
Han, Chirok; Phillips, Peter C. B.
53
2006
Estimating long-run economic equilibria. Zbl 0734.62107
Phillips, Peter C. B.; Loretan, Mico
50
1991
Error correction and long-run equilibrium in continuous time. Zbl 0725.62101
Phillips, P. C. B.
50
1991
Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Zbl 0349.62070
Phillips, P. C. B.
50
1977
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
47
2006
Dating the timeline of financial bubbles during the subprime crisis. Zbl 1235.91143
Phillips, Peter C. B.; Yu, Jun
46
2011
Local Whittle estimation in nonstationary and unit root cases. Zbl 1091.62084
Phillips, Peter C. B.; Shimotsu, Katsumi
44
2004
Vector autoregressions and causality. Zbl 0796.62104
Toda, Hiro Y.; Phillips, Peter C. B.
44
1993
A specification test for nonlinear nonstationary models. Zbl 1273.62228
Wang, Qiying; Phillips, Peter C. B.
39
2012
An asymptotic theory of Bayesian inference for time series. Zbl 0862.62030
Phillips, Peter C. B.; Ploberger, Werner
38
1996
New tools for understanding spurious regressions. Zbl 1056.62531
Phillips, Peter C. B.
37
1998
Nonstationary binary choice. Zbl 1056.62530
Park, Joon Y.; Phillips, Peter C. B.
37
2000
Spectral regression for cointegrated time series. Zbl 0754.62077
Phillips, P. C. B.
37
1991
Adaptive estimation of autoregressive models with time-varying variances. Zbl 1418.62359
Xu, Ke-Li; Phillips, Peter C. B.
37
2008
Testing for cointegration using principal components methods. Zbl 0647.62103
Phillips, P. C. B.; Ouliaris, S.
36
1988
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence. Zbl 1360.62546
Phillips, Peter C. B.; Sul, Donggyu
36
2007
Edgeworth and saddlepoint approximations in the first-order noncircular autoregression. Zbl 0371.62047
Phillips, P. C. B.
36
1978
Trends versus random walks in time series analysis. Zbl 0653.62068
Durlauf, Steven N.; Phillips, Peter C. B.
35
1988
Incidental trends and the power of panel unit root tests. Zbl 1418.62293
Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B.
34
2007
Nonlinear econometric models with cointegrated and deterministically trending regressors. Zbl 1007.62100
Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B.
31
2001
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
31
2006
Predictive regression under various degrees of persistence and robust long-horizon regression. Zbl 1288.62131
Phillips, Peter C. B.; Lee, Ji Hyung
31
2013
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure. Zbl 1041.62516
Chao, John C.; Phillips, Peter C. B.
30
1999
On the formulation of Wald tests of nonlinear restrictions. Zbl 0646.62102
Phillips, P. C. B.; Park, Joon Y.
30
1988
The problem of identification in finite parameter continuous time models. Zbl 0282.93053
Phillips, P. C. B.
30
1973
Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors. Zbl 0648.62094
Phillips, P. C. B.; Park, Joon Y.
29
1988
HAC estimation by automated regression. Zbl 1072.62078
Phillips, Peter C. B.
29
2005
The exact distribution of instrumental variable estimators in an equation containing n+1 endogenous variables. Zbl 0477.62089
Phillips, P. C. B.
28
1980
Testing for multiple bubbles: limit theory of real-time detectors. Zbl 1404.62112
Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
28
2015
Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors. Zbl 1279.62188
Magdalinos, Tassos; Phillips, Peter C. B.
28
2009
Indirect inference for dynamic panel models. Zbl 1431.62616
Gouriéroux, Christian; Phillips, Peter C. B.; Yu, Jun
28
2010
The sampling distribution of forecasts from a first-order autoregression. Zbl 0402.62066
Phillips, Peter C. B.
27
1979
Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models. Zbl 0789.62099
Phillips, Peter C. B.
27
1994
Structural change tests in tail behaviour and the Asian crisis. Zbl 0980.62044
Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B.
26
2001
Estimation of autoregressive roots near unity using panel data. Zbl 1179.62126
Moon, Hyungsik R.; Phillips, Peter C. B.
26
2000
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations. Zbl 0771.62012
Choi, In; Phillips, Peter C. B.
26
1992
Automated estimation of vector error correction models. Zbl 1441.62793
Liao, Zhipeng; Phillips, Peter C. B.
26
2015
A general theorem in the theory of asymptotic expansions as approximations to the finite sample distributions of econometric estimators. Zbl 0373.62065
Phillips, P. C. B.
25
1977
Regression asymptotics using martingale convergence methods. Zbl 1284.60053
Ibragimov, Rustam; Phillips, Peter C. B.
23
2008
Asymptotic theory for zero energy functionals with nonparametric regression applications. Zbl 1210.62126
Wang, Qiying; Phillips, Peter C. B.
23
2011
On confidence intervals for autoregressive roots and predictive regression. Zbl 1410.62068
Phillips, Peter C. B.
23
2014
Impulse response and forecast error variance asymptotics in nonstationary VARs. Zbl 0919.62131
Phillips, Peter C. B.
22
1998
Nonlinear log-periodogram regression for perturbed fractional processes. Zbl 1027.62067
Sun, Yixiao; Phillips, Peter C. B.
22
2003
On the behavior of inconsistent instrumental variable estimators. Zbl 0503.62095
Maasoumi, Esfandiar; Phillips, Peter C. B.
22
1982
GMM estimation for dynamic panels with fixed effects and strong instruments at unity. Zbl 1181.62193
Han, Chirok; Phillips, Peter C. B.
21
2010
Local Whittle estimation of fractional integration and some of its variants. Zbl 1337.62064
Shimotsu, Katsumi; Phillips, Peter C. B.
21
2006
Exact small sample theory in the simultaneous equations model. Zbl 0549.62075
Phillips, P. C. B.
21
1983
Transition modeling and econometric convergence tests. Zbl 1133.91530
Phillips, Peter C. B.; Sul, Donggyu
21
2007
Folklore theorems, implicit maps, and indirect inference. Zbl 1274.62936
Phillips, Peter C. B.
21
2012
Regression with slowly varying regressors and nonlinear trends. Zbl 1237.62085
Phillips, Peter C. B.
20
2007
The structural estimation of a stochastic differential equation system. Zbl 0261.90013
Phillips, P. C. B.
19
1972
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
Phillips, Peter C. B.; Moon, Hyungsik R.
18
2000
The exact distribution of LIML. I. Zbl 0659.62059
Phillips, Peter C. B.
18
1984
A CUSUM test for cointegration using regression residuals. Zbl 1020.62082
Xiao, Zhijie; Phillips, Peter C. B.
18
2002
Nonparametric cointegrating regression with endogeneity and long memory. Zbl 1442.62758
Wang, Qiying; Phillips, Peter C. B.
18
2016
Semiparametric estimation in triangular system equations with nonstationarity. Zbl 1284.62551
Gao, Jiti; Phillips, Peter C. B.
18
2013
Unit root and cointegrating limit theory when initialization is in the infinite past. Zbl 1179.62128
Phillips, Peter C. B.; Magdalinos, Tassos
18
2009
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
18
2018
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
Toda, Hiro Y.; Philips, Peter C. B.
17
1994
Trending time series and macroeconomic activity: Some present and future challenges. Zbl 0961.62112
Phillips, Peter C. B.
17
2001
Unit root log periodogram regression. Zbl 1418.62346
Phillips, Peter C. B.
17
2007
Maximum likelihood and Gaussian estimation of continuous time models in finance. Zbl 1178.91230
Phillips, Peter C. B.; Yu, Jun
17
2009
A Gaussian approach for continuous time models of the short-term interest rate. Zbl 1051.91516
Yu, Jun; Phillips, Peter C. B.
16
2001
The exact distribution of LIML. II. Zbl 0659.62060
Phillips, Peter C. B.
16
1985
Empirical limits for time series econometric models. Zbl 1142.91719
Ploberger, Werner; Phillips, Peter C. B.
16
2003
Band spectral regression with trending data. Zbl 1121.62556
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B.
16
2002
Local limit theory and spurious nonparametric regression. Zbl 1180.62060
Phillips, Peter C. B.
16
2009
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments. Zbl 1043.62530
Kitamura, Yuichi; Philips, Peter C. B.
15
1997
Nonlinear instrumental variable estimation of an autoregression. Zbl 1033.62085
Phillips, Peter C. B.; Park, Joon Y.; Chang, Yoosoon
15
2004
X-differencing and dynamic panel model estimation. Zbl 1329.62379
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu
15
2014
The estimation of some continuous time models. Zbl 0291.62145
Phillips, P. C. B.
15
1974
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior. Zbl 1054.62618
Chao, J. C.; Phillips, P. C. B.
14
1998
Estimating smooth structural change in cointegration models. Zbl 1443.62284
Phillips, Peter C. B.; Li, Degui; Gao, Jiti
14
2017
Robust econometric inference with mixed integrated and mildly explosive regressors. Zbl 1420.62394
Phillips, Peter C. B.; Lee, Ji Hyung
14
2016
GMM estimation of autoregressive roots near unity with panel data. Zbl 1131.62319
Moon, Hyungsik Roger; Phillips, Peter C. B.
14
2004
Fully modified least squares cointegrating parameter estimation in multicointegrated systems. Zbl 07648715
Kheifets, Igor L.; Phillips, Peter C. B.
1
2023
Continuously updated indirect inference in heteroskedastic spatial models. Zbl 07659824
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca
1
2023
Estimation and inference with near unit roots. Zbl 07682010
Phillips, Peter C. B.
1
2023
Robust tests for white noise and cross-correlation. Zbl 07622633
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B.
3
2022
Understanding temporal aggregation effects on kurtosis in financial indices. Zbl 07491147
Lieberman, Offer; Phillips, Peter C. B.
1
2022
Boosting: why you can use the HP filter. Zbl 1471.91316
Phillips, Peter C. B.; Shi, Zhentao
6
2021
Business cycles, trend elimination, and the HP filter. Zbl 1470.91166
Phillips, Peter C. B.; Jin, Sainan
3
2021
Nonstationary panel models with latent group structures and cross-section dependence. Zbl 1464.62506
Huang, Wenxin; Jin, Sainan; Phillips, Peter C. B.; Su, Liangjun
2
2021
Latent variable nonparametric cointegrating regression. Zbl 1462.62249
Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis
1
2021
Nonlinear cointegrating power function regression with endogeneity. Zbl 1493.62607
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying
1
2021
Real time monitoring of asset markets: bubbles and crises. Zbl 1443.62368
Phillips, Peter C. B.; Shi, Shuping
4
2020
Hybrid stochastic local unit roots. Zbl 1456.62206
Lieberman, Offer; Phillips, Peter C. B.
3
2020
Point optimal testing with roots that are functionally local to unity. Zbl 1464.62375
Bykhovskaya, Anna; Phillips, Peter C. B.
2
2020
Asymptotic theory for near integrated processes driven by tempered linear processes. Zbl 1456.62215
Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B.
1
2020
Random coefficient continuous systems: testing for extreme sample path behavior. Zbl 1452.62682
Tao, Yubo; Phillips, Peter C. B.; Yu, Jun
6
2019
The heterogeneous effects of the minimum wage on employment across states. Zbl 1422.91442
Wang, Wuyi; Phillips, Peter C. B.; Su, Liangjun
2
2019
Financial bubble implosion and reverse regression. Zbl 1393.62129
Phillips, Peter C. B.; Shi, Shu-Ping
18
2018
Threshold regression with endogeneity. Zbl 1386.62077
Yu, Ping; Phillips, Peter C. B.
13
2018
IV and GMM inference in endogenous stochastic unit root models. Zbl 1400.62328
Lieberman, Offer; Phillips, Peter C. B.
8
2018
Boundary limit theory for functional local to unity regression. Zbl 1391.60057
Bykhovskaya, Anna; Phillips, Peter C. B.
5
2018
Pythagorean generalization of testing the equality of two symmetric positive definite matrices. Zbl 1378.62019
Cho, Jin Seo; Phillips, Peter C. B.
4
2018
Dynamic panel Anderson-Hsiao estimation with roots near unity. Zbl 1441.62840
Phillips, Peter C. B.
3
2018
Change detection and the causal impact of the yield curve. Zbl 1402.91589
Shi, Shuping; Phillips, Peter C. B.; Hurn, Stan
3
2018
A frequentist approach to Bayesian asymptotics. Zbl 1452.62217
Cheng, Tingting; Gao, Jiti; Phillips, Peter C. B.
2
2018
Estimating smooth structural change in cointegration models. Zbl 1443.62284
Phillips, Peter C. B.; Li, Degui; Gao, Jiti
14
2017
A multivariate stochastic unit root model with an application to derivative pricing. Zbl 1443.62362
Lieberman, Offer; Phillips, Peter C. B.
10
2017
Indirect inference in spatial autoregression. Zbl 07565914
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca
3
2017
Inference in continuous systems with mildly explosive regressors. Zbl 1377.62177
Chen, Ye; Phillips, Peter C. B.; Yu, Jun
3
2017
Lag length selection in panel autoregression. Zbl 1524.62431
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu
2
2017
Structural inference from reduced forms with many instruments. Zbl 1388.62026
Phillips, Peter C. B.; Gao, Wayne Yuan
2
2017
Reduced forms and weak instrumentation. Zbl 1524.62588
Phillips, Peter C. B.
2
2017
Identifying latent structures in panel data. Zbl 1410.62110
Su, Liangjun; Shi, Zhentao; Phillips, Peter C. B.
54
2016
Nonparametric cointegrating regression with endogeneity and long memory. Zbl 1442.62758
Wang, Qiying; Phillips, Peter C. B.
18
2016
Robust econometric inference with mixed integrated and mildly explosive regressors. Zbl 1420.62394
Phillips, Peter C. B.; Lee, Ji Hyung
14
2016
Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression. Zbl 1441.62794
Li, Degui; Phillips, Peter C. B.; Gao, Jiti
7
2016
Weak convergence to stochastic integrals for econometric applications. Zbl 1385.60046
Liang, Hanying; Phillips, Peter C. B.; Wang, Hanchao; Wang, Qiying
6
2016
Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. Zbl 1404.62111
Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
61
2015
Testing for multiple bubbles: limit theory of real-time detectors. Zbl 1404.62112
Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
28
2015
Automated estimation of vector error correction models. Zbl 1441.62793
Liao, Zhipeng; Phillips, Peter C. B.
26
2015
Nonparametric predictive regression. Zbl 1332.62329
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B.
12
2015
Model selection in the presence of incidental parameters. Zbl 1337.62270
Lee, Yoonseok; Phillips, Peter C. B.
11
2015
Testing linearity using power transforms of regressors. Zbl 1337.62149
Baek, Yae In; Cho, Jin Seo; Phillips, Peter C. B.
8
2015
Limit theory for VARs with mixed roots near unity. Zbl 1491.62125
Phillips, Peter C. B.; Lee, Ji Hyung
5
2015
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression. Zbl 1321.62146
Phillips, Peter C. B.; Han, Chirok
3
2015
Edmond Malinvaud: a tribute to his contributions in econometrics. Zbl 1521.01036
Phillips, Peter C. B.
1
2015
Lag length selection for unit root tests in the presence of nonstationary volatility. Zbl 1491.62089
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan; Taylor, A. M. Robert
1
2015
Obituary: Edmond Malinvaud. Zbl 1315.01046
Phillips, Peter C. B.
1
2015
On confidence intervals for autoregressive roots and predictive regression. Zbl 1410.62068
Phillips, Peter C. B.
23
2014
X-differencing and dynamic panel model estimation. Zbl 1329.62379
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu
15
2014
Norming rates and limit theory for some time-varying coefficient autoregressions. Zbl 1311.62148
Lieberman, Offer; Phillips, Peter C. B.
12
2014
Optimal estimation of cointegrated systems with irrelevant instruments. Zbl 1293.62200
Phillips, Peter C. B.
10
2014
Nonlinearity induced weak instrumentation. Zbl 1491.62106
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos
3
2014
Special issue of econometric theory on SETA 2010: editors’ introduction. Zbl 1290.00033
Phillips, Peter C. B.; Yu, Jun
1
2014
Predictive regression under various degrees of persistence and robust long-horizon regression. Zbl 1288.62131
Phillips, Peter C. B.; Lee, Ji Hyung
31
2013
Semiparametric estimation in triangular system equations with nonstationarity. Zbl 1284.62551
Gao, Jiti; Phillips, Peter C. B.
18
2013
First difference maximum likelihood and dynamic panel estimation. Zbl 1283.62183
Han, Chirok; Phillips, Peter C. B.
8
2013
Inconsistent VaR regression with common explosive roots. Zbl 1283.62187
Phillips, Peter C. B.; Magdalinos, Tassos
4
2013
A specification test for nonlinear nonstationary models. Zbl 1273.62228
Wang, Qiying; Phillips, Peter C. B.
39
2012
Folklore theorems, implicit maps, and indirect inference. Zbl 1274.62936
Phillips, Peter C. B.
21
2012
Dynamic misspecification in nonparametric cointegrating regression. Zbl 1443.62270
Kasparis, Ioannis; Phillips, Peter C. B.
12
2012
Cointegrating rank selection in models with time-varying variance. Zbl 1443.62246
Cheng, Xu; Phillips, Peter C. B.
11
2012
Nonlinear cointegrating regression under weak identification. Zbl 1239.62110
Shi, Xiaoxia; Phillips, Peter C. B.
9
2012
Testing for common trends in semi-parametric panel data models with fixed effects. Zbl 1242.91167
Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B.
9
2012
Mean and autocovariance function estimation near the boundary of stationarity. Zbl 1443.62260
Giraitis, Liudas; Phillips, Peter C. B.
3
2012
Optimal estimation under nonstandard conditions. Zbl 1443.62285
Ploberger, Werner; Phillips, Peter C. B.
1
2012
Dating the timeline of financial bubbles during the subprime crisis. Zbl 1235.91143
Phillips, Peter C. B.; Yu, Jun
46
2011
Asymptotic theory for zero energy functionals with nonparametric regression applications. Zbl 1210.62126
Wang, Qiying; Phillips, Peter C. B.
23
2011
Uniform asymptotic normality in stationary and unit root autoregression. Zbl 1442.62200
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu
9
2011
Bias in estimating multivariate and univariate diffusions. Zbl 1441.62900
Wang, Xiaohu; Phillips, Peter C. B.; Yu, Jun
7
2011
Non-parametric regression under location shifts. Zbl 1284.62265
Phillips, Peter C. B.; Su, Liangjun
6
2011
Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels. Zbl 1442.62205
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan
4
2011
Infinite density at the median and the typical shape of stock return distributions. Zbl 1209.91180
Han, Chirok; Cho, Jin Seo; Phillips, Peter C. B.
3
2011
Corrigendum to ‘A Gaussian approach for continuous time models of short-term interest rates’. Zbl 1217.91192
Phillips, Peter C. B.; Yu, Jun
2
2011
Indirect inference for dynamic panel models. Zbl 1431.62616
Gouriéroux, Christian; Phillips, Peter C. B.; Yu, Jun
28
2010
GMM estimation for dynamic panels with fixed effects and strong instruments at unity. Zbl 1181.62193
Han, Chirok; Phillips, Peter C. B.
21
2010
Testing linearity in cointegrating relations with an application to purchasing power parity. Zbl 1198.62095
Hong, Seung Hyun; Phillips, Peter C. B.
11
2010
Smoothing local-to-moderate unit root theory. Zbl 1431.62413
Phillips, Peter C. B.; Magdalinos, Tassos; Giraitis, Liudas
10
2010
Bimodal \(t\)-ratios: the impact of thick tails on inference. Zbl 1230.62039
Fiorio, Carlo V.; Hajivassiliou, Vassilis A.; Phillips, Peter C. B.
6
2010
Bootstrapping I(1) data. Zbl 1431.62412
Phillips, Peter C. B.
3
2010
LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities. Zbl 1191.62146
Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B.
1
2010
Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Zbl 1253.62023
Wang, Qiying; Phillips, Peter C. B.
86
2009
Structural nonparametric cointegrating regression. Zbl 1182.62088
Wang, Qiying; Phillips, Peter C. B.
81
2009
Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors. Zbl 1279.62188
Magdalinos, Tassos; Phillips, Peter C. B.
28
2009
Unit root and cointegrating limit theory when initialization is in the infinite past. Zbl 1179.62128
Phillips, Peter C. B.; Magdalinos, Tassos
18
2009
Maximum likelihood and Gaussian estimation of continuous time models in finance. Zbl 1178.91230
Phillips, Peter C. B.; Yu, Jun
17
2009
Local limit theory and spurious nonparametric regression. Zbl 1180.62060
Phillips, Peter C. B.
16
2009
Semiparametric cointegrating rank selection. Zbl 1182.62080
Cheng, Xu; Phillips, Peter C. B.
14
2009
A two-stage realized volatility approach to estimation of diffusion processes with discrete data. Zbl 1429.62369
Phillips, Peter C. B.; Yu, Jun
10
2009
Long memory and long run variation. Zbl 1431.62411
Phillips, Peter C. B.
2
2009
Econometric theory and practice. Zbl 1253.62096
Phillips, Peter C. B.
2
2009
Exact distribution theory in structural estimation with an identity. Zbl 1278.62026
Phillips, Peter C. B.
2
2009
Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing. Zbl 1132.62073
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan
67
2008
Adaptive estimation of autoregressive models with time-varying variances. Zbl 1418.62359
Xu, Ke-Li; Phillips, Peter C. B.
37
2008
Regression asymptotics using martingale convergence methods. Zbl 1284.60053
Ibragimov, Rustam; Phillips, Peter C. B.
23
2008
Refined inference on long memory in realized volatility. Zbl 1359.91033
Lieberman, Offer; Phillips, Peter C. B.
12
2008
Gaussian inference in AR(1) time series with or without a unit root. Zbl 1284.62569
Phillips, Peter C. B.; Han, Chirok
5
2008
A complete asymptotic series for the autocovariance function of a long memory process. Zbl 1429.62403
Lieberman, Offer; Phillips, Peter C. B.
5
2008
Limit theory for explosively cointegrated systems. Zbl 1284.62358
Phillips, Peter C. B.; Magdalinos, Tassos
4
2008
Limit theory for moderate deviations from a unit root. Zbl 1418.62348
Phillips, Peter C. B.; Magdalinos, Tassos
124
2007
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence. Zbl 1360.62546
Phillips, Peter C. B.; Sul, Donggyu
36
2007
...and 127 more Documents
all top 5

Cited by 3,050 Authors

148 Phillips, Peter Charles Bonest
55 Taylor, A. M. Robert
41 Shin, Dongwan
33 Gao, Jiti
31 Robinson, Peter Michael
30 Linton, Oliver Bruce
29 Cavaliere, Giuseppe
29 Park, Joon Y.
26 Leybourne, Stephen J.
25 Hassler, Uwe
25 Yu, Jun
23 Perron, Pierre
23 Westerlund, Joakim
22 Chambers, Marcus J.
22 Su, Liangjun
22 Sun, Yixiao
22 Wang, Qiying
21 Nielsen, Morten Ørregaard
20 Pesaran, M. Hashem
20 Xiao, Zhijie
19 Li, Degui
18 Demetrescu, Matei
18 Giraitis, Liudas
18 Kurozumi, Eiji
18 Lieberman, Offer
17 Harvey, David I.
17 Horváth, Lajos
17 Kapetanios, George
16 Gil-Alana, Luis Alberiko
16 McAleer, Michael
16 Rodrigues, Paulo M. M.
16 Wagner, Martin Franz-Xaver
15 Cai, Zongwu
15 de Jong, Robert M.
15 Schmidt, Peter
15 Vogelsang, Timothy J.
14 Breitung, Jorg
14 Hendry, David F.
14 Hsiao, Cheng
14 Moon, Hyungsik Roger
14 Politis, Dimitris Nicolas
14 Tu, Yundong
13 Chan, Ngai Hang
13 Haldrup, Niels
13 Hualde, Javier
13 Kao, Chihwa
13 Lee, Junsoo
13 Lee, Sangyeol
13 Zhang, Rongmao
12 Chang, Yoosoon
12 Okui, Ryo
12 Peng, Liang
12 Shao, Xiaofeng
12 Shin, Yongcheol
11 Dufour, Jean-Marie
11 Hall, Alastair R.
11 Han, Chirok
11 Lee, Ji Hyung
11 Lin, Zhengyan
11 Magdalinos, Tassos
11 Pang, Tianxiao
11 Tjøstheim, Dag B.
11 Wu, Wei Biao
10 Ahn, Sung Ki
10 Andrews, Donald Wilfrid Kao
10 Bao, Yong
10 Georgiev, Iliyan
10 Hanck, Christoph
10 Kristensen, Dennis
10 Lee, Lung-Fei
10 Paulauskas, Vygantas Ionovič
10 Perron, Benoit
10 Smeekes, Stephan
10 Trapani, Lorenzo
9 Caporale, Guglielmo Maria
9 Chen, Jia
9 Cho, Jin Seo
9 Dong, Chaohua
9 Forchini, Giovanni
9 Hong, Yongmiao
9 Jin, Sainan
9 Li, Qi
9 Ling, Shiqing
9 Marmol, Francesc
9 Ng, Serena
9 Rahbek, Anders
9 Renault, Eric
9 Saikkonen, Pentti
9 Sun, Yiguo
9 Taqqu, Murad S.
9 Velasco, Carlos
8 Baltagi, Badi H.
8 Bandi, Federico M.
8 Boswijk, H. Peter
8 del Barrio Castro, Tomas
8 Franses, Philip Hans
8 Hansen, Bruce E.
8 Hayakawa, Kazuhiko
8 Johansen, Søren Glud
8 Kasparis, Ioannis
...and 2,950 more Authors
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Cited in 223 Serials

773 Journal of Econometrics
392 Econometric Theory
232 Economics Letters
198 Econometric Reviews
155 Journal of Time Series Analysis
78 Communications in Statistics. Theory and Methods
72 Journal of Statistical Planning and Inference
72 Statistics & Probability Letters
63 Computational Statistics and Data Analysis
49 Journal of Applied Statistics
46 The Econometrics Journal
44 Journal of Economic Dynamics & Control
43 Statistical Papers
41 The Annals of Statistics
40 Communications in Statistics. Simulation and Computation
37 Journal of Statistical Computation and Simulation
36 Journal of Multivariate Analysis
29 Quantitative Finance
27 Studies in Nonlinear Dynamics and Econometrics
22 Open Economies Review
21 Mathematics and Computers in Simulation
20 Journal of Time Series Econometrics
19 Statistics
19 Stochastic Processes and their Applications
17 Journal of the Korean Statistical Society
16 European Journal of Operational Research
15 Physica A
15 Annals of the Institute of Statistical Mathematics
15 Statistical Methods and Applications
14 Journal of Nonparametric Statistics
14 Electronic Journal of Statistics
13 Lithuanian Mathematical Journal
13 AStA. Advances in Statistical Analysis
12 Metrika
12 Annals of Operations Research
11 Bernoulli
10 Journal of the American Statistical Association
10 Journal of Computational and Applied Mathematics
10 Computational Statistics
10 Computational Economics
10 International Journal of Theoretical and Applied Finance
9 Computers & Mathematics with Applications
9 Statistica Neerlandica
9 Statistica Sinica
9 Statistical Inference for Stochastic Processes
8 Insurance Mathematics & Economics
7 The Canadian Journal of Statistics
7 Test
7 Applied Mathematics. Series B (English Edition)
7 Macroeconomic Dynamics
7 Communications in Nonlinear Science and Numerical Simulation
6 Methodology and Computing in Applied Probability
6 North American Actuarial Journal
6 Journal of Forecasting
6 Journal of Statistical Theory and Practice
6 Journal of Probability and Statistics
5 Chaos, Solitons and Fractals
5 International Economic Review
5 Stochastic Analysis and Applications
5 Statistical Science
5 Asia-Pacific Financial Markets
5 Journal of the Italian Statistical Society
5 Bulletin of Economic Research
4 International Journal of Control
4 Revista Colombiana de Estadística
4 Sequential Analysis
4 Machine Learning
4 The Annals of Applied Probability
4 Australian & New Zealand Journal of Statistics
4 Discrete Dynamics in Nature and Society
4 CEJOR. Central European Journal of Operations Research
4 Journal of Systems Science and Complexity
4 Decisions in Economics and Finance
4 European Journal of Pure and Applied Mathematics
4 Japanese Journal of Statistics and Data Science
3 Advances in Applied Probability
3 Scandinavian Journal of Statistics
3 Applied Mathematics and Computation
3 Automatica
3 American Journal of Mathematical and Management Sciences
3 Journal of Theoretical Probability
3 Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences
3 Journal of Economic Growth
3 Applied Stochastic Models in Business and Industry
3 AStA. Allgemeines Statistisches Archiv
3 ASTIN Bulletin
3 Review of Derivatives Research
3 Statistical Methodology
3 Science China. Mathematics
3 Quantitative Economics
3 Statistics and Computing
3 Journal of Econometric Methods
2 Biological Cybernetics
2 International Journal of Systems Science
2 Mathematical Biosciences
2 Psychometrika
2 Rocky Mountain Journal of Mathematics
2 The Annals of Probability
2 Biometrics
2 International Statistical Review
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