Peter Phillips | Academic Influence

Peter Phillips 's AcademicInfluence.com Rankings

Peter Phillips

Economics

#527

World Rank

#648

Historical Rank

Econometrics

#11

World Rank

#12

Historical Rank

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Economics

Peter Phillips 's Degrees

PhD Economics University of Essex
Masters Economics University of Essex

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Why Is Peter Phillips Influential?

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According to Wikipedia, Peter Charles Bonest Phillips is an econometrician. Since 1979 he has been Professor of Economics and Statistics at Yale University. He also holds positions at the University of Auckland, Singapore Management University and the University of Southampton. He is currently the co-director of Center for Financial Econometrics of Sim Kee Boon Institute for Financial Economics at Singapore Management University and is an adjunct professor of econometrics at the University of Southampton.

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Peter Phillips 's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Testing for a Unit Root in Time Series Regression (1988) (17517)
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? (1992) (10950)
Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990) (3889)
Time series regression with a unit root (1987) (2888)
Asymptotic Properties of Residual Based Tests for Cointegration (1990) (1981)
Understanding spurious regressions in econometrics (1986) (1733)
Linear Regression Limit Theory for Nonstationary Panel Data (1999) (1401)
Transition Modeling and Econometric Convergence Tests (2007) (1027)
Optimal Inference in Cointegrated Systems (1991) (1011)
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence (2002) (978)
Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values? (2007) (908)
Vector Autoregressions and Causality (1993) (888)
Asymptotics for Linear Processes (1992) (861)
LM Tests for a Unit Root in the Presence of Deterministic Trends (1992) (829)
Estimating Long Run Economic Equilibria (1991) (827)
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (2013) (789)
Towards a Unified Asymptotic Theory for Autoregression (1987) (777)
Multiple Time Series Regression with Integrated Processes (1986) (777)
Statistical Inference in Regressions with Integrated Processes: Part 1 (1988) (643)
Exact Local Whittle Estimation of Fractional Integration (2002) (579)
Economic Transition and Growth (2005) (562)
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994) (560)
Fully Modified Least Squares and Vector Autoregression (1993) (548)
Dating the Timeline of Financial Bubbles During the Subprime Crisis (2010) (511)
A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS (2007) (450)
Statistical Inference in Regressions with Integrated Processes: Part 2 (1989) (425)
Nonlinear Regressions with Integrated Time Series (2001) (423)
Nonstationary panel data analysis: an overview of some recent developments (2000) (397)
Limit Theory for Moderate Deviations from a Unit Root (2004) (374)
Fully Nonparametric Estimation of Scalar Diffusion Models (2001) (364)
Vector autoregression and causality (1991) (351)
Vector autoregression and causality: a theoretical overview and simulation study (1994) (346)
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES (1999) (339)
Impulse response and forecast error variance asymptotics in nonstationary VARs (1998) (329)
Partially Identified Econometric Models (1988) (312)
A Primer on Unit Root Testing (1998) (299)
Regression Theory for Near-Integrated Time Series (1988) (294)
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends (1991) (287)
Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors (2013) (279)
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence (2003) (269)
Exact Small Sample Theory in the Simultaneous Equations Model (1983) (253)
Prewhitening Bias in Hac Estimation (2003) (247)
Local Whittle estimation in nonstationary and unit root cases (2004) (240)
TRENDS VERSUS RANDOM WALKS IN TIME SERIES ANALYSIS (1988) (231)
Statistical Inference in Instrumental Variables (1989) (215)
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing (2005) (213)
Time Series Regression With a Unit Root and Infinite-Variance Errors (1990) (212)
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION (2006) (212)
Structural Nonparametric Cointegrating Regression (2008) (202)
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly (2001) (199)
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY (2007) (199)
Identifying Latent Structures in Panel Data (2014) (197)
Econometric Model Determination (1996) (196)
Spectral Regression for Cointegrated Time Series (1988) (196)
ON THE FORMULATION OF WALD TESTS OF NONLINEAR RESTRICTIONS (1986) (186)
Testing for cointegration using principal components methods (1988) (185)
Estimation and Inference in Models of Cointegration: A Simulation Study (1988) (180)
New Tools for Understanding Spurious Regressions (1998) (174)
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation (1977) (169)
Testing for Multiple Bubbles (2011) (166)
GMM with Many Moment Conditions (2005) (165)
Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour (2012) (157)
An Asymptotic Theory of Bayesian Inference for Time Series (1996) (148)
ERROR CORRECTION AND LONG-RUN EQUILIBRIUM IN CONTINUOUS TIME (1989) (147)
Posterior Odds Testing for a Unit Root with Data-Based Model Selection (1994) (145)
THE PROBLEM OF IDENTIFICATION IN FINITE PARAMETER CONTINUOUS TIME MODELS (1973) (144)
Jackknifing Bond Option Prices (2003) (144)
Indirect Inference for Dynamic Panel Models (2006) (143)
Structural Change Tests in Tail Behaviour and the Asian Crisis (1999) (141)
Unit root log periodogram regression (2007) (139)
RECESSION HEADLINE NEWS, CONSUMER SENTIMENT, THE STATE OF THE ECONOMY AND PRESIDENTIAL POPULARITY: A TIME SERIES ANALYSIS 1989–1993 (1995) (138)
Local Whittle estimation of fractional integration and some of its variants (2006) (135)
The Structural Estimation of a Stochastic Differential Equation System (1972) (134)
Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients (1994) (132)
Does Gnp Have a Unit Root? a Reevaluation (1986) (132)
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007) (132)
Unit‐Root Tests (2006) (131)
Nonlinear econometric models with cointegrated and deterministically trending regressors (2001) (125)
Incidental Trends and the Power of Panel Unit Root Tests (2005) (125)
Nonstationary Binary Choice (2000) (122)
Nonstationary Density Estimation and Kernel Autoregression (1998) (120)
Discrete Fourier Transforms of Fractional Processes (1999) (120)
HAC ESTIMATION BY AUTOMATED REGRESSION (2004) (116)
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure (1999) (116)
Testing for a Unit Root in the Presence of a Maintained Trend (1989) (115)
Reflections on econometric methodology (1988) (111)
Band Spectral Regression with Trending Data (2002) (109)
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006) (109)
Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations (1992) (108)
Uniform Limit Theory for Stationary Autoregression (2004) (105)
Parameter constancy in cointegrating regressions (1993) (103)
Edgeworth and saddlepoint approximations in the first-order noncircular autoregression (1978) (102)
Change Detection and the Causal Impact of the Yield Curve (2016) (102)
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship (2016) (97)
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION (2017) (97)
On Confidence Intervals for Autoregressive Roots and Predictive Regression (2012) (95)
A CUSUM Test for Cointegration Using Regression Residuals (2001) (94)
Predictive regression under various degrees of persistence and robust long-horizon regression (2013) (94)
Understanding the Fisher equation (2004) (93)
Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach (2002) (92)
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables (1980) (91)
Econometric Analysis of Fisher's Equation (2005) (90)
A Shortcut to LAD Estimator Asymptotics (1991) (90)
Some Empirics on Economic Growth under Heterogeneous Technology (2007) (89)
Inference in Autoregression under Heteroskedasticity (2006) (89)
The spurious effect of unit roots on vector autoregressions: An analytical study (1993) (89)
UNDERSTANDING SPURIOUS REGRESSIONS (1986) (88)
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA (1999) (86)
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS (2009) (84)
The sampling distribution of forecasts from a first-order autoregression (1979) (82)
Trending time series and macroeconomic activity: Some present and future challenges (2000) (81)
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes (2002) (81)
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators (1977) (81)
Econometric Inference in the Vicinity of Unity. 1 (2009) (81)
Laws and Limits of Econometrics (2003) (81)
The Estimation of Some Continuous Time Models (1974) (80)
A specification test for nonlinear nonstationary models (2012) (77)
The Exact Distribution of LIML: II (1984) (77)
ASYMPTOTIC PROPERTIES OF RESIDUAL BASED TESTS (1990) (75)
Asymptotic equivalence of ordinary least squares and generalized least squares in regressions with integrated regressors (1988) (75)
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (2004) (75)
Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres (2015) (75)
Robust tests of forward exchange market efficiency with empirical evidence from the 1920s (1996) (73)
Disentangling greenhouse warming and aerosol cooling to reveal Earth[rsquor]s climate sensitivity (2016) (70)
On the behavior of inconsistent instrumental variable estimators (1982) (69)
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION (2013) (68)
Log Periodogram Regression: The Nonstationary Case (2006) (67)
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations (1988) (67)
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST (2008) (67)
Business Cycles, Trend Elimination, and the HP Filter (2015) (66)
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (2005) (64)
Simulation-Based Estimation of Contingent-Claims Prices (2007) (64)
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2005) (63)
Challenges of Trending Time Series Econometrics (2004) (63)
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments (1997) (61)
Robust Nonstationary Regression (1995) (61)
Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation (2006) (60)
REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS (2007) (60)
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY (2001) (58)
Folklore Theorems, Implicit Maps, and Indirect Inference (2012) (56)
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior (1998) (55)
The Elusive Empirical Shadow of Growth Convergence (2003) (54)
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume (1980) (53)
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS (2010) (53)
Efficiency Gains from Quasi-Differencing under Nonstationarity (1996) (52)
Real Time Monitoring of Asset Markets: Bubbles and Crises (2018) (52)
Pooled Log Periodogram Regression (2000) (51)
GMM Estimation of Autoregressive Roots Near Unity with Panel Data (2003) (51)
EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS (2003) (51)
Asymptotic Expansions in Nonstationary Vector Autoregressions (1987) (51)
ERA'S: A NEW APPROACH TO SMALL SAMPLE THEORY (1983) (50)
Bayesian model selection and prediction with empirical applications (1995) (50)
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS (2012) (50)
Threshold Regression with Endogeneity (2014) (49)
A Gaussian approach for continuous time models of the short-term interest rate (2001) (48)
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2009) (48)
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (2009) (48)
New methodology for constructing real estate price indices applied to the Singapore residential market (2015) (48)
An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the US Economy (1998) (47)
Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns (1990) (47)
Model Selection in the Presence of Incidental Parameters (2013) (47)
Information Loss in Volatility Measurement with Flat Price Trading (2007) (47)
Forward exchange market unbiasedness: the case of the Australian dollar since 1984 (1997) (46)
Nonparametric Predictive Regression (2012) (46)
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (2006) (45)
Nonstationary Discrete Choice (2002) (45)
The Exact Distribution of the Wald Statistic (1986) (45)
Models, methods, and applications of econometrics : essays in honor of A.R. Bergstrom (1994) (44)
Refined Inference on Long Memory in Realized Volatility (2006) (44)
Estimating Smooth Structural Change in Cointegration Models (2013) (43)
A two-stage realized volatility approach to estimation of diffusion processes with discrete data (2009) (42)
Testing for Common Trends in Semi�?Parametric Panel Data Models with Fixed Effects (2011) (42)
Descriptive econometrics for non‐stationary time series with empirical illustrations (2001) (42)
Institutional Knowledge at Singapore Management University Disentangling greenhouse warming and aerosol cooling to reveal Earth's climate sensitivity (2016) (42)
Automated Forecasts of Asia-Pacific Economic Activity (1995) (41)
Multiple Regression with Integrated Time Series (1987) (41)
Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† (2015) (40)
Semiparametric Cointegrating Rank Selection (2008) (40)
Detecting Financial Collapse and Ballooning Sovereign Risk (2017) (40)
THE EXACT DISTRIBUTION OF THE SUR ESTIMATOR (1985) (39)
Nonlinear Instrumental Variable Estimation of an Autoregression (2001) (39)
Advances in econometrics and quantitative economics : essays in honor of professor C.R. Rao (1995) (39)
Homogeneity Pursuit in Panel Data Models: Theory and Applications (2016) (39)
Weak convergence to the matrix stochastic integral : B dB 2 (1988) (38)
Bayes Models and Forecasts of Australian Macroeconomic Time Series (1992) (38)
Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Trunca (2007) (38)
Boosting: Why you Can Use the HP Filter (2019) (37)
Limit Theory for Moderate Deviations from Unity (2007) (37)
Maximum Likelihood Estimation in Panels with Incidental Trends (1999) (37)
Nonstationary Continuous-Time Processes ⁄ (2010) (37)
Lag length selection in panel autoregression (2017) (36)
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION (2005) (36)
Exercises in Econometrics (1978) (36)
Semiparametric estimation in triangular system equations with nonstationarity (2013) (36)
Asset pricing with financial bubble risk (2016) (35)
The true characteristic function of the F distribution (1982) (35)
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System (1979) (35)
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY (2014) (35)
Robust econometric inference with mixed integrated and mildly explosive regressors (2016) (35)
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (2012) (34)
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT (2006) (34)
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS (2007) (34)
AUTOMATED DISCOVERY IN ECONOMETRICS (2004) (34)
Dynamic Misspecification in Nonparametric Cointegrating Regression (2009) (33)
A Bayesian Analysis of Trend Determination in Economic Time Series (1994) (33)
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION (2008) (32)
Testing Linearity Using Power Transforms of Regressors (2013) (31)
First difference maximum likelihood and dynamic panel estimation (2013) (31)
Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form (2001) (31)
Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation (2003) (31)
Smoothing Local-to-Moderate Unit Root Theory (2008) (31)
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION (2010) (31)
The exact distribution of the Stein-rule estimator (1984) (30)
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator (1977) (30)
Bias in Estimating Multivariate and Univariate Diffusions (2010) (29)
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION (2010) (29)
The heterogeneous effects of the minimum wage on employment across states (2019) (29)
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach (2001) (29)
Small Sample Distribution Theory in Econometric Models of Simultaneous Equations (1982) (29)
Weak σ- Convergence: Theory and Applications (2017) (28)
Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case (1981) (28)
The Durbin-Watson ratio under infinite-variance errors (1991) (28)
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION (1999) (28)
Optimal Bandwidth Choice for Interval Estimation in GMM Regression (2008) (28)
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION (2019) (27)
THE ITERATED MINIMUM DISTANCE ESTIMATOR AND THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR (1976) (27)
NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS (2013) (27)
Cointegrating Rank Selection in Models with Time-Varying Variance (2008) (27)
Higher-order approximations for frequency domain time series regression (1998) (26)
A semiparametric stochastic volatility model (2012) (25)
New unit root asymptotics in the presence of deterministic trends (2002) (25)
The KPSS Test with Seasonal Dummies (2002) (25)
Pitfalls and Possibilities in Predictive Regression (2015) (24)
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER (2006) (24)
A reexamination of the consumption function using frequency domain regressions (1994) (24)
Time Series Regression with Mixtures of Integrated Processes (1995) (24)
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS (2010) (23)
Nonstationary Discrete Choice: A Corrigendum and Addendum (2005) (23)
A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing (2014) (23)
Fractional Matrix Calculus and the Distribution of Multivariate Tests (1987) (22)
Lethargic Response to Aerosol Emissions in Current Climate Models (2018) (22)
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra (2002) (22)
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS (2010) (21)
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER (2001) (21)
Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors (2016) (21)
Indirect Inference in Spatial Autoregression (2017) (21)
Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions (1987) (20)
The ET Interview: Professor James Durbin (1988) (20)
On the Consistency of Nonlinear FIML (1982) (20)
Two New Zealand pioneer econometricians (2010) (20)
Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors (1986) (20)
Testing for a unit root by frequency domain regression (1993) (19)
Incidental Parameters and Dynamic Panel Modeling (2015) (19)
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market (2014) (19)
Bimodal t-ratios (1987) (19)
Explosive Behavior and the Nasdaq Bubble in the 1990s: When Did Irrational Exuberance Escalate Asset Values? (2006) (19)
The Mysteries of Trend (2010) (18)
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case (2000) (18)
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS (2014) (18)
A Model of Output, Employment, Capital Formation and Inflation (1987) (18)
Hyper-Consistent Estimation of a Unit Root in Time Series Regression (1992) (17)
Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy (1992) (17)
Econometric estimates of Earth’s transient climate sensitivity (2020) (16)
Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration (2013) (16)
Inference in continuous systems with mildly explosive regressors (2017) (16)
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION (2013) (16)
The ET interview: professor Clive Granger (2001) (15)
Testing for Stationarity in the Components Representation of a Time Series (1991) (15)
Bimodal T-Ratios: The Impact of Thick Tails on Inference (2010) (15)
Conditional and unconditional statistical independence (1988) (15)
Efficient IV Estimation in Nonstationary Regression (1995) (15)
Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables (2002) (15)
Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 (1988) (15)
Professor J. D. Sargan (1985) (15)
Hybrid Stochastic Local Unit Roots (2017) (15)
Structural Change in Tail Behavior and the Asian Financial Crisis (2000) (15)
Bootstrapping Spurious Regression (2001) (14)
Unit Root Model Selection (2008) (14)
Nonstationary time series and cointegration (1995) (14)
Realized Variance and Market Microstructure Noise - Comment (2006) (14)
First Difference MLE and Dynamic Panel Estimation (2010) (14)
Comment: A Selective Overview of Nonparametric Methods in Financial Eco (2005) (13)
The exact distribution of exogenous variable coefficient estimators (1984) (13)
Spherical matrix distributions and cauchy quotients (1989) (13)
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate (2001) (13)
Forecasting New Zealand's real GDP (2000) (13)
Testing Mean Stability of Heteroskedastic Time Series (2015) (13)
A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process (2006) (13)
The distribution of matrix quotients (1985) (12)
Efficient Estimation of Second Moment Parameters in Arch Models (2001) (12)
Optimal Estimation Under Nonstandard Conditions (2010) (12)
Advances in Econometrics: Best uniform and modified Padé approximants to probability densities in econometrics (1983) (12)
Specification Testing for Nonlinear Cointegrating Regression (2011) (12)
A New Approach to Robust Inference in Cointegration (2005) (12)
Point�?Optimal Panel Unit Root Tests with Serially Correlated Errors (2014) (11)
Semiparametric Estimation in Multivariate Nonstationary Time Series Models (2011) (11)
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY (2015) (11)
Distribution of F-Ratio (1986) (11)
Financial Bubble Implosion (2014) (11)
Non�?Parametric Regression Under Location Shifts (2011) (11)
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde (2005) (11)
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (2018) (11)
Inference in Near Singular Regression (2015) (11)
Matrix Algebra. Econometric Excercises Vol. 1 (2005) (11)
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS (2017) (11)
Improved Har Inference Using Power Kernels Without Truncation (2005) (11)
Functional Coefficient Nonstationary Regression (2013) (11)
Warning Signs of Future Asset Bubbles (2011) (10)
Nonstationary panel models with latent group structures and cross-section dependence (2020) (10)
Unidentified Components in Reduced Rank Regression Estimation of ECM's (1991) (10)
Higher order approximations for Wald statistics in time series regressions with integrated processes (2002) (10)
On the Consistency of Non-Linear FIML (1980) (10)
The Distribution of FIML in the Leading Case (1986) (10)
Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations (1991) (10)
Limit Theory for VARs with Mixed Roots Near Unity (2015) (10)
The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study (1991) (10)
Proffessor T.W. Anderson (1986) (10)
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity (2009) (10)
Rissanen's Theorem and Econometric Time Series (1998) (10)
Limit Theory in Cointegrated Vector Autoregressions (1993) (9)
Testing the Martingale Hypothesis (2013) (9)
Supplement to two papers on multiple bubbles [Online supplementary materials] (2015) (9)
Infinite Density at the Median and the Typical Shape of Stock Return Distributions (2011) (9)
Diagnosing Housing Fever with an Econometric Thermometer (2020) (9)
Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications (2009) (9)
Pythagorean generalization of testing the equality of two symmetric positive definite matrices (2018) (9)
Boundary Limit Theory for Functional Local to Unity Regression (2017) (9)
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN (2003) (9)
Long Run Variance Estimation Using Steep Origin Kernels Without Truncation (2003) (9)
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations (2005) (9)
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES (2007) (8)
Point Optimal Testing with Roots That Are Functionally Local to Unity (2017) (8)
Boosting the Hodrick-Prescott Filter (2019) (8)
Regression with Slowly Varying Regressors (2001) (8)
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS 1 (2004) (8)
The Et Interview: Professor Albert Rex Bergstrom (1988) (8)
A. W. H. Phillips: Collected Works in Contemporary Perspective: The Bill Phillips legacy of continuous time modelling and econometric model design (2000) (8)
The Characteristic Function of the Dirichlet and Multivariate F Distributions (1988) (8)
Model Determination and Macroeconomic Activity (1994) (8)
Long Memory and Long Run Variation (2008) (8)
Spurious Regression Unmasked (1996) (8)
A simple proof of the latent root sensitivity formula (1982) (8)
Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics (1992) (8)
Bootstrapping I(1) Data (2009) (8)
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs (2020) (7)
High-dimensional VARs with common factors (2022) (7)
The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence (1991) (7)
Tilted Nonparametric Estimation of Volatility Functions (2010) (7)
Asymptotic theory for near integrated processes driven by tempered linear processes (2020) (7)
Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression (2017) (7)
FINITE SAMPLE ECONOMETRICS USING ERA'S (1983) (7)
Nonlinearity Induced Weak Instrumentation (2012) (7)
Inference and Specification Testing in Threshold Regression with Endogeneity (2019) (7)
Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter (2004) (7)
Restricted Likelihood Ratio Tests in Predictive Regression (2014) (7)
Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor (2009) (7)
Early Develoment of Econometric Software at the University of Auckland (2004) (7)
Folklore Theorems, Implicit Maps and New Unit Root Limit Theory (2010) (7)
Edmond Malinvaud: A Tribute to His Contributions in Econometrics (2015) (7)
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process (2003) (7)
An everywhere convergent series representation of the distribution of Hotelling's generalized T 0 2 (1987) (7)
Institutional Knowledge at Singapore Management University Limit theory for moderate deviations from a unit root under weak dependence (2019) (6)
Modeling speculative bubbles with diverse investor expectations (2016) (6)
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS (2022) (6)
2010 – Exploring the mysteries of trends and bubbles (2012) (6)
Operational Algebra and Regression t-Tests (1990) (6)
Meritocracy Voting: Measuring the Unmeasurable (2011) (5)
Reduced forms and weak instrumentation (2017) (5)
Common Bubble Detection in Large Dimensional Financial Systems (2019) (5)
Simulation-based Estimation of Contingent-claims Prices 1 (2006) (5)
Simulation-based Estimation of Contingent-claims Prices 1 (2006) (5)
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION (2013) (5)
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY (2019) (5)
Simultaneous Equations Bias in Level VAR Estimation (1992) (5)
House prices and affordability (2021) (5)
Structural Inference from Reduced Forms with Many Instruments (2016) (5)
The concentration ellipsoid of a random vector (1979) (5)
Spurious Regression and Generalized Least Squares (1994) (5)
Corrigendum to ‘A Gaussian approach for continuous time models of short-term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210-24): Corrigendum to Yu and Phillips (2011) (5)
The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models (1991) (5)
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY (2007) (5)
Bayesian prediction a response (1995) (5)
Bayesian estimation based on summary statistics: Double asymptotics and practice (2017) (5)
Comment on university education in ecnometrics (1983) (5)
Uniform Inference in Panel Autoregression (2017) (5)
True Limit Distributions of the Anderson-Hsiao Iv Estimators in Panel Autoregression (2014) (5)
Reflections on the Day (1994) (4)
The ET Interview: Professor Edmond Malinvaud (1987) (4)
Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future (1994) (4)
UNIT ROOT LOG PERIODOGRAM REGRESSION BY PETER C. B. PHILLIPS COWLES FOUNDATION PAPER NO. 1197 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS (2006) (4)
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS (2019) (4)
A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family (1985) (4)
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles (2011) (4)
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (2021) (4)
A large deviation limit theorem for multivariate distributions (1977) (4)
A New Approach to Small Sample Theory (1981) (4)
Fully Modified Least Squares in I(2) Regression (1994) (4)
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea (2016) (4)
Econometric Measurement of Earth's Transient Climate Sensitivity (2017) (4)
Discrete Fourier Transforms of Fractional Processes August (1999) (4)
Comment on “modeling asset returns with alternative stable distributions” (1993) (4)
Functional Coefficient Panel Modeling with Communal Smoothing Covariates (2019) (3)
Semiparametric Estimation in Time Series of Simultaneous Equations (2010) (3)
Partitioned Regression with Rank-Deficient Regressions (1992) (3)
Higher Order Approximations for Wald Statistics in Cointegrating Regressions (1998) (3)
Sinusoidal modeling applied to spatially variant tropospheric ozone air pollution (2006) (3)
Dynamic Panel Modeling of Climate Change (2018) (3)
A frequentist approach to Bayesian asymptotics (2018) (3)
A simplified proof of a theorem on the difference of the moore–penrose inverses of two positive semi–difinte matrices (1986) (3)
Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion (2018) (3)
A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression (1978) (3)
THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994–1996 (1998) (3)
An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional (2003) (3)
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression (2021) (3)
Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications (2012) (3)
Fully modified least squares cointegrating parameter estimation in multicointegrated systems (2021) (3)
MEMORIAL TO EDMOND MALINVAUD (2015) (3)
02.3.1. Regression with an Evaporating Logarithmic Trend— Solution (2003) (3)
A quarterly forecasting model of the New Zealand economy (1975) (3)
X-Differencing and Dynamic Panel Model Estimation ∗ Chirok Han Korea (2011) (3)
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION (2020) (2)
HAR Testing for Spurious Regression in Trend (2018) (2)
Accelerated Asymptotics for Diffusion Model Estimation (2000) (2)
Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains (1989) (2)
ECONOMETRIC THEORY AND PRACTICE (2009) (2)
Improved HAR Inference (2005) (2)
Structural Estimation Under Partial Identification (1988) (2)
Geometry of the Equivalence of OLS and GLS in the Linear Model (1992) (2)
Consistent Misspecification Testing in Spatial Autoregressive Models (2020) (2)
Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process (2018) (2)
Dynamic panel GMM using R (2019) (2)
Diagnostic tests for volatility models (2008) (2)
IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models (2016) (2)
ON MULTICOINTEGRATION (2018) (2)
UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY (2013) (2)
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY (2023) (2)
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan (2005) (2)
LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES (2009) (2)
The Boosted HP Filter Is More General Than You Might Think (2022) (2)
Bayes Methods and Unit Roots (1994) (2)
A Nonlinear Regression Model with Integrated Time Series (2007) (2)
Efficient Regression in Time Series Partial Linear Models (2002) (2)
CFEnetwork: The annals of computational and financial econometrics, 3rd issue (2014) (2)
AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary (2005) (2)
Regressions for Partially Identified, Cointegrated Simultaneous Equations (1997) (2)
Comments on Ã¢â‚¬Å“A selective overview of nonparametric methods in financial econometricsÃ¢â‚¬Â (2005) (2)
EMPIRICAL LIMITS FOR TIME SERIES (2003) (2)
Spurious Regression in Forecast-Encompassing Tests (1994) (2)
Optimal Structural Estimation of Triangular Systems: I. The Stationary Case (1990) (2)
PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES (2021) (1)
A Nonnormal Limiting Distribution (1985) (1)
INCIDENTAL PARAMETERS AND DYNAMIC PANEL MODELING by Hyungsik (2015) (1)
Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US (2020) (1)
Edmond Malinvaud - an Economist's Econometrician (2017) (1)
Testing Weak σ-Convergence using HAR Inference ∗ (2019) (1)
BOOSTING THE HP FILTER FOR TRENDING TIME SERIES WITH LONG RANGE DEPENDENCE (2022) (1)
Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's (1984) (1)
Efficiency of Maximum Likelihood (1992) (1)
John Denis Sargan at the London School of Economics (2017) (1)
Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand (2000) (1)
Econometric Analysis of Asset Price Bubbles * (2022) (1)
The Geometry of the Equivalence of OLS and GLS in the Linear Model (1990) (1)
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION (2022) (1)
Asymptotic Properties of OLS and GLS (1988) (1)
We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors" (2015) (1)
Best Uniform Approximation to Probability Densities in Econometrics (1980) (1)
Automated Inference and the Future of Econometrics (2005) (1)
Structural Nonparametric Cointegrating Regression ∗ Qiying Wang School of Mathematics and Statistics The University of Sydney (2008) (1)
Online Supplement to ‘Weak σ− Convergence: Theory and Applications’ (2019) (1)
FUNCTIONAL COE FF I CIENT PANEL MODELING WITH COMMUNAL SMOOTHING COVARIATES By (2019) (1)
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION (2017) (1)
Unit Root Testing with Intermittent Data (1994) (1)
Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices (2018) (1)
Testing Convergence Using HAR Inference (2020) (1)
VARs with Mixed Roots Near Unity (2012) (1)
OBITUARY: G.S. Maddala, 1933–1999 (1999) (1)
Econometric Analysis of Nonstationary Data (1998) (1)
Mildly Explosive Processes and Economic Bubbles (2006) (1)
The Exact Distribution of Zellner's SUR (1983) (1)
Supplemental Material for “ Automated Estimation of Vector Error Correction Models ” (2013) (1)
John Denis Sargan (1924–1996) (2019) (1)
Pitfalls in Bootstrapping Spurious Regression (2021) (1)
NONLINEAR INSTRUMENTAL VARIABLE ESTIMATION OF AN AUTOREGRESSION 1 (2002) (1)
DISCRETE FOURIER TRANSFORMS OF FRACTIONAL PROCESSES WITH ECONOMETRIC APPLICATIONS (2018) (1)
A Frequency Approach to Bayesian Asymptotics (2016) (1)
Semiparametric Estimation in Simultaneous Equations of Time Series Models (2010) (1)
Simultaneous Equations Bias in Level VAR Estimation (1992) (1)
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION (2009) (1)
A. W. H. Phillips: Collected Works in Contemporary Perspective: The published papers (2000) (1)
A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression (2009) (1)
Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves (2019) (1)
Testing Equality of Covariance Matrices via Pythagorean Means (2014) (1)
An Empirical Bayesian Approach to Cointegrating Rank Selection and Test of the Present Value Model for Stock Prices (1996) (1)
Kernel-based inference in time-varying coefficient models with multiple integrated regressors (2017) (1)
Fully Modified Least Squares for Multicointegrated Systems (2019) (1)
Minimum Distance Testing and Top Income Shares in Korea (2015) (1)
DEPARTMENT OF ECONOMICS (2007) (0)
The A.R. Bergstrom Prize in Econometrics, 1996 (1997) (0)
Unit Roots in Life and Research (2017) (0)
An Econometrician amongst Statisticians: T. W. Anderson (2022) (0)
The Caribbean Basin Initiative (2019) (0)
THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE (2003) (0)
The 2002 Econometric Theory Awards (2002) (0)
Additional References (1982) (0)
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2003 (2003) (0)
Out of the Shadow: Alternative U.S. Policies Toward the Caribbean (2019) (0)
Structural Estimation under Partial Identification (1989) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Testing linearity using power transforms of regressors Testing linearity using power transforms of regressors (2020) (0)
The Distribution of LIML in the Leading Case – Solution (1987) (0)
A Little Magic with the Cauchy Distribution (1989) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Limit Theory for Explosively Cointegrated Systems Limit Theory for Explosively Cointegrated Systems (2020) (0)
Optimal Structural Estimation of Triangular Systems: I. The Stationary Case (1990) (0)
The Tjalling C. Koopmans Econometric Theory Prize (1990) (0)
Institutional Knowledge at Singapore Management University Econometric Reviews honors Esfandiar Maasoumi (2019) (0)
Using Financial Econometrics to Measure Risk (2010) (0)
A Tribute to his Contributions in Econometrics (2015) (0)
Series Estimation of Stochastic Processes (2014) (0)
A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES (2022) (0)
Chuan Goh Efficient Semiparametric Detection of Changes in Trend (2009) (0)
The Econometric Theory Awards (1997) (0)
On a Lemma of Amemiya (1980) (0)
An Integral Over a Matrix Space (1986) (0)
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005 (2005) (0)
A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY (1979) (0)
A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends: Foreword by Peter C. B. Phillips (2007) (0)
MDY volume 20 issue 7 Cover and Back matter (2016) (0)
Accelerated Asymptotics for Di ff usion Model Estimation (1999) (0)
THE ECONOMETRIC THEORY AWARDS 2020 (2020) (0)
THE 2003–2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE (2006) (0)
Impact of the Crisis on Poor Women and Their Households (2019) (0)
The testcorr Package (2021) (0)
Structural Adjustment and the Quest for Participation (2019) (0)
The Economic Crisis (2019) (0)
REFINED INFERENCE ON LONG MEMORY IN REALIZED (2006) (0)
Optimal Structural Estimation of Triangular Systems: II. The Non-stationary Case (1990) (0)
Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure (1993) (0)
Testing for Stationarity in the Components Representation of a Time Series (1991) (0)
Exercises in Econometrics (Vols. I and II). (1982) (0)
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics (2010) (0)
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2015–2017 (2018) (0)
Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models (2017) (0)
A Panel Clustering Approach to Analyzing Bubble Behavior (2022) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models Indirect Inference for Dynamic Panel Models (2020) (0)
Phoebus J. Dhrymes (1932–2016) (2017) (0)
Institutional Knowledge at Singapore Management University Albert Rex Bergstrom: 1925-2005 (2019) (0)
THE 2009–2011 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE (2012) (0)
The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate (1989) (0)
Matrix Algebra: Preface to the Series (2005) (0)
Some Exponential Martingales (1994) (0)
IN MEMORY OF JOHN DENIS SARGAN (2003) (0)
Gm M Est Imat Ion of a Ut or Egr Essive R Oot S N Ear U Nit Y Wit H Panel D at A (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Econometric Theory and Practice Econometric Theory and Practice (2020) (0)
The Econometric Theory Awards 2006 (2006) (0)
Spurious Regression in Forecast-Encompassing Tests (1994) (0)
THE ECONOMETRIC THEORY AWARDS 2023 (2023) (0)
Foreword to A.R Bergstrom and B.N Nowman (2007) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Econometric Theory and Practice Econometric Theory and Practice (2020) (0)
TRIBUTE TO T.W. ANDERSON (2016) (0)
The Historical Legacy: U.S.-Caribbean Relations (2019) (0)
Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) (1982) (0)
Comment on Ã¢â‚¬Å“Realized Variance and Market Microstructure NoiseÃ¢â‚¬Â by Peter R. Hansen and Asger Lunde (2005) (0)
Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure (1993) (0)
Beyond Structural Adjustment: Alternative Development Strategies (2019) (0)
On the Exact Distribution of LIML (revised and extended, see CFDP 658) (1982) (0)
The Review of Economic Studies , Ltd . Multiple Time Series Regression with Integrated Processes (2014) (0)
Econometric Reviews honors Esfandiar Maasoumi (2017) (0)
Online Supplement to ¡°Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices¡± (2016) (0)
EDITOR'S TRIBUTE (1998) (0)
Warning System for Property Bubbles (2011) (0)
Supplemental Material to WHEN BIAS CONTRIBUTES TO VARIANCE: TRUE LIMIT THEORY IN FUNCTIONAL COEFFICIENTCOINTEGRATING REGRESSION (2020) (0)
San Diego Recent Work Title Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation Permalink (2003) (0)
Estimation and Testing in Linear Models with Singular Covariance Matrices (1989) (0)
MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG) (2000) (0)
THE ECONOMETRIC THEORY AWARDS 2022 (2022) (0)
Trending Multiple Time Series: Editor's Introduction (1995) (0)
Efficiency of Maximum Likelihood (1993) (0)
Characteristic Functions and the Tail Behavior of Probability Distributions (1980) (0)
The Exact Distribution of the Wald Statistic: The Non-Central Case (1984) (0)
Efficient Estimation of Stock Volatility (2002) (0)
Robust inference with stochastic local unit root regressors in predictive regressions (2022) (0)
Recent advances in nonstationary time series: A festschrift in honor of (2012) (0)
Institutional Knowledge at Singapore Management University Indirect inference in spatial autoregression (2019) (0)
A Conversation with Eric Ghysels (2010) (0)
THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS (2011) (0)
The University of Auckland Year Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence (2006) (0)
LIKELIHOOD ESTIMATORS OF COINTEGRATING COEFFICIENTS IN ERROR CORRECTION MODELS (1994) (0)
How to Estimate Autoregressive Roots Near Unity - eScholarship (1999) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Jackknifing Bond Option Prices Jackknifing Bond Option Prices (2020) (0)
Cumulative Index, Volume 8, 1992 (1992) (0)
STRUCTURAL INFERENCE FROM REDUCED FORMS WITH MANY (2016) (0)
Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics (1990) (0)
INDIRECT INFERENCE FOR DYNAMIC PANEL MODELS By Christian Gouriéroux, Peter C. B. Phillips and Jun Yu January 2006 COWLES FOUNDATION DISCUSSION PAPER NO. 1550 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS (2006) (0)
The Impact of Upzoning on Housing Construction in Auckland ∗ (2022) (0)
honors Esfandiar Maasoumi (2017) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Simulation-Based Estimation of Contingent-Claims Prices Simulation-Based Estimation of Contingent-Claims Prices (2020) (0)
ECT volume 30 issue 3 Cover and Front matter (2014) (0)
Crowd Wisdom and Key Indicators in Economic Forecasting (2014) (0)
Title Linear Nonstationary Models : A Review of the Work of Professor (2017) (0)
Some Useful Integral Asymptotic Expansions The following lemmas (2012) (0)
RESEARCH ARTICLE Two New Zealand pioneer econometricians (2010) (0)
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007 (2008) (0)
NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES (2004) (0)
Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models (2004) (0)
TESTING LINEARITY USING POWER TRANSFORMS OF REGRESSORS by Yae In (2015) (0)
The Econometric Theory Awards 2004 (2004) (0)
Supplementary Material for “ Homogeneity Pursuit in Panel Data Model : Theory and Application ” ( Not for publication ) (2018) (0)
The Econometric Theory Awards 2005 (2005) (0)
Comment (2006) (0)
Limit Theory for Continuous Time Systems with Mildly Explosive Regressors (2015) (0)
Online Supplement to “ Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regressions ” (2017) (0)
Measuring Change in Tail Behavior (1999) (0)
NONPARAMETRIC NEURAL ESTIMATION OF LYAPUNOV EXPONENTS AND A DIRECT TEST FOR CHAOS (2003) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Unit Root Log Periodogram Regression Unit Root Log Periodogram Regression (2020) (0)
The Econometric Theory Awards 2007 (2007) (0)
Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency * (2022) (0)
On University Education in Econometrics: Remarks on an Article by Eric R. Sowey (1983) (0)
Testing Causality in an Autoregression with Cointegrated Regressors (1990) (0)
Lectures on advanced econometric theory, Denis Sargan (edited by Meghnad Desai). basil Blackwell, Oxford, 1988. Price (cloth): £25, pp. xi + 176 (1989) (0)
Convergence of a Nonlinear Time Series Model (1994) (0)
Measurement and High Finance (2010) (0)
Homage to Halbert White (2014) (0)
TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 2018 – 2020 (2021) (0)
Reduced Rank Regression Asymptotics in Multivariate Regression – Solution (1995) (0)
THE ECONOMETRIC THEORY AWARDS 2021 (2021) (0)
Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Nonparametric Predictive Regression Nonparametric Predictive Regression (2020) (0)
Weak Identification of Long Memory with Implications for Inference (2022) (0)
ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS (2001) (0)
Generalized Inverses of Partitioned Matrices (1992) (0)
Institutional Knowledge at Singapore Management University Reduced forms and weak instrumentation (2019) (0)
Dynamic Panel GMM with Near Unity (2014) (0)
Efficient Semiparametric Detection of Changes in Trend Chuan Goh (2009) (0)
A New Proof of Knight's Theorem on the Cauchy Distribution (1989) (0)
Reduced Rank Regression Asymptotics in Multivariate Regression (1993) (0)
VISION AND INFLUENCE (2003) (0)

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