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Citations of
Peter C. B. Phillips

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Working papers

  1. Peter C.B. Phillips & Tassos Magdalinos, 2007. "Limit Theory for Explosively Cointegrated Systems," Cowles Foundation Discussion Papers 1614, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Peter C.B. Phillips & Tassos Magdalinos, 2008. "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past," Cowles Foundation Discussion Papers 1655, Cowles Foundation, Yale University. [Downloadable!]

  2. Peter C.B. Phillips & Chang Sik Kim, 2007. "Long Run Covariance Matrices for Fractionally Integrated Processes," Cowles Foundation Discussion Papers 1611, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Peter C.B. Phillips, 2008. "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers 1656, Cowles Foundation, Yale University. [Downloadable!]

  3. Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Kazuhiko Hayakawa, 2007. "Dynamic Panel Data Models with Cross Section Dependence and Heteroscedasticity," Hi-Stat Discussion Paper Series d07-212, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    2. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]
    3. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]

  4. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Panos Fousekis, 2008. "Price Convergence in the EU Poultry and Eggs Markets," Economics Bulletin, Economics Bulletin, vol. 3(18), pages 1-11. [Downloadable!]

  5. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics. [Downloadable!]
      Other versions:
    2. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Papers 1061, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    3. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    4. Ling Hu & Peter C.B. Phillips, 2002. "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers 1365, Cowles Foundation, Yale University. [Downloadable!]
    5. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics. [Downloadable!]
      Other versions:
    6. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation, Yale University, revised Sep 2003. [Downloadable!]
    7. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," Center for European, Governance and Economic Development Research (cege) Discussion Papers 76, Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]

  6. Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation, Yale University. [Downloadable!]

  7. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Gunnar Bårdsen & Niels Haldrup, 2006. "A Gaussian IV estimator of cointegrating relations," Economics Working Papers 2006-03, School of Economics and Management, University of Aarhus. [Downloadable!]

  8. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]

  9. Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation, Yale University. [Downloadable!]

  10. Peter C. B. Phillips & Chirok Han, 2006. "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers 1546, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Kazuhiko Hayakawa, 2007. "Dynamic Panel Data Models with Cross Section Dependence and Heteroscedasticity," Hi-Stat Discussion Paper Series d07-212, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    2. Kazuhiko Hayakawa, 2006. "A Note on Bias in First-Differenced AR(1) Models," Economics Bulletin, Economics Bulletin, vol. 3(27), pages 1-10. [Downloadable!]

  11. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

  12. Peter C.B. Phillips & Donggyu Sul, 2005. "Economic Transition and Growth," Cowles Foundation Discussion Papers 1514, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Hyeok Jeong & Yong Kim, 2006. "S-shaped Transition and Catapult Effects," IEPR Working Papers 06.53, Institute of Economic Policy Research (IEPR). [Downloadable!]
      Other versions:

  13. Federico M. Bandi & Peter C.B. Phillips, 2005. "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers 1522, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    2. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research. [Downloadable!]
    3. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation, Yale University. [Downloadable!]
    4. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus. [Downloadable!]

  14. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation, Yale University. [Downloadable!]
    2. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics. [Downloadable!]

  15. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    2. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    3. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    4. Arnaud Gloter, 2007. "Efficient estimation of drift parameters in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(4), pages 495-519, October. [Downloadable!] (restricted)

  16. Offer Lieberman & Peter C.B. Phillips, 2004. "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter," Cowles Foundation Discussion Papers 1474, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Offer Lieberman & Peter C.B. Phillips, 2006. "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process," Cowles Foundation Discussion Papers 1586, Cowles Foundation, Yale University. [Downloadable!]

  17. Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Bent Nielsen & Carlos Caceres, 2007. "Convergence to Stochastic Integrals with Non-linear integrands," Economics Papers 2007-W02, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    2. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]

  18. Liudas Giraitis & Peter C.B. Phillips, 2004. "Uniform Limit Theory for Stationary Autoregression," Cowles Foundation Discussion Papers 1475, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation, Yale University. [Downloadable!]
    2. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    3. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation, Yale University. [Downloadable!]
    4. Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis, 2008. "Smoothing Local-to-Moderate Unit Root Theory," Cowles Foundation Discussion Papers 1659, Cowles Foundation, Yale University. [Downloadable!]
    5. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    6. Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  19. Peter C.B. Phillips, 2004. "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers 1470, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation, Yale University. [Downloadable!]

  20. Peter Phillips & Yixiao Sun & Sainan Jin, 2004. "Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation," University of California at San Diego, Economics Working Paper Series 2004-15, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

    Cited by:

    1. M. Hashem Pesaran & Allan Timmermann, 2006. "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    2. Douglas Steigerwald & Jack Erb, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series 09-07, Department of Economics, UC Santa Barbara. [Downloadable!]

  21. Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers 1545, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation, Yale University. [Downloadable!]
    3. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    4. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation, Yale University. [Downloadable!]
    5. Peter C. B. Phillips & Chirok Han, 2006. "Gaussian Inference in AR(1) Time Series with or without a Unit Root," Cowles Foundation Discussion Papers 1546, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    6. Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis, 2008. "Smoothing Local-to-Moderate Unit Root Theory," Cowles Foundation Discussion Papers 1659, Cowles Foundation, Yale University. [Downloadable!]
    7. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    8. Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    9. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation, Yale University. [Downloadable!]

  22. Peter C. B. Phillips & Chirok Han, 2004. "GMM with Many Moment Conditions," Econometric Society 2004 Far Eastern Meetings 525, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Giovanni Forchini, 2006. "The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation," Monash Econometrics and Business Statistics Working Papers 1/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    2. Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    3. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, EconWPA. [Downloadable!]
      Other versions:
    4. Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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    5. Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation, Yale University. [Downloadable!]
    6. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    7. Fabel, Oliver & Pascalau, Razvan, 2007. "Recruitment of Seemingly Overeducated Personnel: Insider-Outsider Effects on Fair Employee Selection Practices," MPRA Paper 7218, University Library of Munich, Germany. [Downloadable!]

  23. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Peter C.B. Phillips & Donggyu Sul, 2005. "Economic Transition and Growth," Cowles Foundation Discussion Papers 1514, Cowles Foundation, Yale University. [Downloadable!]
    2. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation, Yale University. [Downloadable!]
    3. Peter C.B. Phillips, 2004. "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers 1470, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    4. Guillaume Chevillon, 2004. "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers 210, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:

  24. Peter C.B. Phillips & Donggyu Sul, 2003. "The Elusive Empirical Shadow of Growth Convergence," Cowles Foundation Discussion Papers 1398, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:

    Cited by:

    1. Peter C.B. Phillips & Donggyu Sul, 2005. "Economic Transition and Growth," Cowles Foundation Discussion Papers 1514, Cowles Foundation, Yale University. [Downloadable!]
    2. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    3. Cristina Brasili & Luciano Gutierrez, 2004. "Regional convergence across European Union," Development and Comp Systems 0402002, EconWPA. [Downloadable!]
    4. Tong, Jian, . "The Long Wave of Conditional Convergence," Discussion Paper Series In Economics And Econometrics 0614, Economics Division, School of Social Sciences, University of Southampton.
    5. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Convergence Hypotheses are Ill-Posed:Non-stationarity of Cross-Country Income Distribution D," Econometric Society 2004 Far Eastern Meetings 576, Econometric Society. [Downloadable!]
    6. Roberto Duncan & J. Rodrigo Fuentes, 2005. "Convergencia Regional en Chile: Nuevos Tests, Viejos Resultados," Working Papers Central Bank of Chile 313, Central Bank of Chile. [Downloadable!]
    7. Mauro Costantini & Claudio Lupi, 2005. "Stochastic convergence among European economies," Economics Bulletin, Economics Bulletin, vol. 3(38), pages 1-17. [Downloadable!]

  25. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation, Yale University. [Downloadable!]
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    Published as:

    Cited by:

    1. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation, Yale University. [Downloadable!]
    2. Kim, Don H. & Orphanides, Athanasios, 2005. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," CEPR Discussion Papers 5341, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    3. Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008. [Downloadable!]
    4. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation, Yale University. [Downloadable!]
    6. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series /2007/520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    7. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation, Yale University. [Downloadable!]
    8. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics. [Downloadable!]

  26. Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation, Yale University, revised Jun 2004. [Downloadable!]
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    Published as:

    Cited by:

    1. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Kazuhiko Hayakawa, 2007. "Dynamic Panel Data Models with Cross Section Dependence and Heteroscedasticity," Hi-Stat Discussion Paper Series d07-212, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    3. He, Changli & Sandberg, Rickard, 2005. "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," Working Paper Series in Economics and Finance 582, Stockholm School of Economics. [Downloadable!]
    4. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]
    5. Herbert Brücker & Boriss Siliverstovs, 2005. "On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?," IZA Discussion Papers 1710, Institute for the Study of Labor (IZA). [Downloadable!]
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    6. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    7. Kazuhiko Hayakawa, 2006. "A Note on Bias in First-Differenced AR(1) Models," Economics Bulletin, Economics Bulletin, vol. 3(27), pages 1-10. [Downloadable!]
    8. Jinyong Hahn & Hyungsik Roger Moon, 2004. "Reducing Bias of MLE in a Dynamic Panel Model," IEPR Working Papers 04.5, Institute of Economic Policy Research (IEPR). [Downloadable!]
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    9. Giannetti, C., 2008. "Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel," Discussion Paper 2008-44, Tilburg University, Center for Economic Research. [Downloadable!]

  27. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003. "Long Run Variance Estimation Using Steep Origin Kernels without Truncation," Cowles Foundation Discussion Papers 1437, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:

    Cited by:

    1. Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Series Working Papers 264, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    2. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation, Yale University. [Downloadable!]

  28. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation, Yale University. [Downloadable!]
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    Cited by:

    1. John Hunter & Christos Ioannidis, 2004. "Identifying and Solving Multivariate Rational Expectations Models," Economics and Finance Discussion Papers 04-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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    2. Joshua D. Angrist, 2003. "Treatment Effect Heterogeneity in Theory and Practice," NBER Working Papers 9708, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  29. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Cowles Foundation Discussion Papers 1407, Cowles Foundation, Yale University. [Downloadable!]
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    Cited by:

    1. Richard Smith, 2004. "Automatic positive semi-definite HAC covariance matrix and GMM estimation," CeMMAP working papers CWP17/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    2. Yixiao Sun, 2003. "Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series," University of California at San Diego, Economics Working Paper Series 2003-06, Department of Economics, UC San Diego. [Downloadable!]
    3. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation, Yale University. [Downloadable!]
    4. Baddeley, M. & Fingleton, B., 2008. "Globalisation and Wage Differentials: A Spatial Analysis," Cambridge Working Papers in Economics 0845, Faculty of Economics, University of Cambridge. [Downloadable!]
    5. Jen-Je Su, 2005. "On the size and power of testing for no autocorrelation under weak assumptions," Applied Financial Economics, Taylor and Francis Journals, vol. 15(4), pages 247-257, February. [Downloadable!] (restricted)
    6. Ai Deng, 2005. "Understanding Spurious Regression in Financial Economics," Boston University - Department of Economics - Working Papers Series WP2005-048, Boston University - Department of Economics. [Downloadable!]

  30. Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003. "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers 1435, Cowles Foundation, Yale University. [Downloadable!]
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    Cited by:

    1. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    2. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    3. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]
    4. Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation, Yale University. [Downloadable!]
    5. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400. [Downloadable!]
    6. Erik Hjalmarsson, 2005. "Estimation of average local-to-unity roots in heterogenous panels," International Finance Discussion Papers 852, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  31. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]
    2. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    3. Simón Sosvilla-Rivero & Javier Alonso Meseguer, . "Estimación de una función de producción MRW para la Economía Española, 1910-1995," Studies on the Spanish Economy 197, FEDEA. [Downloadable!]
      Other versions:
    4. Razzak, Weshah, 2003. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," MPRA Paper 1970, University Library of Munich, Germany, revised 2007. [Downloadable!]
      Other versions:
    5. Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth centre Working Paper Series 0507, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    6. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    7. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics. [Downloadable!]
    8. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24. [Downloadable!]
    9. Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation, Yale University. [Downloadable!]

  32. Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003. "Prewhitening Bias in HAC Estimation," Cowles Foundation Discussion Papers 1436, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Price level convergence, purchasing power parity and multiple structural breaks: An application to US cities," Working Papers XREAP2008-8, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008. [Downloadable!]
    4. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September. [Downloadable!] (restricted)
    5. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
      Other versions:
    6. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    7. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008. [Downloadable!]
    8. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation, Yale University. [Downloadable!]
    9. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, Göteborg University, Department of Economics. [Downloadable!]
    10. Peter C.B. Phillips, 2004. "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers 1470, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    11. Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics. [Downloadable!]
    12. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA. [Downloadable!]
    13. Kazuhiko Hayakawa, 2006. "A Note on Bias in First-Differenced AR(1) Models," Economics Bulletin, Economics Bulletin, vol. 3(27), pages 1-10. [Downloadable!]
    14. Westerlund, Joakim, 2003. "Feasible Estimation in Cointegrated Panels," Working Papers 2003:12, Lund University, Department of Economics, revised 10 Nov 2003.
    15. Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation, Yale University. [Downloadable!]
    16. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008. [Downloadable!]
    17. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]
    18. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
      Other versions:
    19. Jönsson , Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics. [Downloadable!]
    20. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    21. Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute. [Downloadable!]
      Other versions:

  33. Ling Hu & Peter C.B. Phillips, 2002. "Nonstationary Discrete Choice," Cowles Foundation Discussion Papers 1364, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Emmanuel Guerre & Hyungsik Roger Moon, 2005. "A Study of a Semiparametric Binary Choice Model with Integrated Covariates," IEPR Working Papers 05.37, Institute of Economic Policy Research (IEPR). [Downloadable!]
    2. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research. [Downloadable!]
    3. Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005. "Nonstationary Discrete Choice: A Corrigendum and Addendum," Cowles Foundation Discussion Papers 1516, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    4. Ling Hu & Peter C.B. Phillips, 2002. "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers 1365, Cowles Foundation, Yale University. [Downloadable!]
    5. Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority. [Downloadable!]
      Other versions:
    6. Ling Hu & Peter C.B. Phillips, 2002. "Nonstationary Discrete Choice," Cowles Foundation Discussion Papers 1364, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  34. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    2. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Josu Arteche, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 200502, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
      Other versions:
    4. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Claudio Morana, 2004. "The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?," ICER Working Papers 29-2004, ICER - International Centre for Economic Research. [Downloadable!]
    6. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research. [Downloadable!]
    8. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, EconWPA. [Downloadable!]
      Other versions:
    9. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]

  35. Sainan Jin & Peter C.B. Phillips, 2002. "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers 1373, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester. [Downloadable!]
    2. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June. [Downloadable!] (restricted)

  36. Peter C.B.Phillips & Donggyu Sul, 2002. "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers 1362, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Valentina Meliciani & Franco Peracchi, 2004. "Convergence in Per-capita GDP Across European Regions: A Reappraisal," CEIS Research Paper 58, Tor Vergata University, CEIS. [Downloadable!]
      Other versions:
    2. M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    3. Florian Pelgrin & Sebastian Schich, 2004. "National Saving-Investment Dynamics and International Capital Mobility," Working Papers 04-14, Bank of Canada. [Downloadable!]
    4. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    5. Moon, H.R. & Perron, B., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    6. Cheng Hsiao & M. Hashem Pesaran, 2004. "Random Coefficient Panel Data Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
      Other versions:
    7. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Binder, M. & Hsaio, C. & Pesaran, M.H., 2000. "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Cambridge Working Papers in Economics 0003, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    9. Nelson C. Mark & Donggyu Sul, 2002. "Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand," NBER Technical Working Papers 0287, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Yongcheol Shin & Andy Snell, 2004. "Mean Group Tests for Stationarity in Heterogenous Panels," ESE Discussion Papers 107, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
      Other versions:
    11. Luciano Gutierrez, 2003. "Common and idiosyncratic shocks to labor productivity across sectors and countries: Is climate relevant?," Macroeconomics 0311008, EconWPA. [Downloadable!]
    12. Laura Serlenga & Yongcheol Shin, 2004. "Gravity Models of the Intra-EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Common Time-specific Factors," ESE Discussion Papers 105, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    13. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
      Other versions:
    14. Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation, Yale University, revised Jun 2004. [Downloadable!]
      Other versions:
    15. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    16. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research. [Downloadable!]
    17. George Kapetanios, 2007. "Dynamic factor extraction of cross-sectional dependence in panel unit root tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 313-338. [Downloadable!]
    18. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    19. Yoosoon Chang & Wonho Song, 2002. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-2, International Conferences on Panel Data. [Downloadable!]

  37. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers 1367, Cowles Foundation, Yale University, revised Jul 2004. [Downloadable!]
    Other versions:

    Cited by:

    1. Krüger, Niclas A, 2008. "Climate Variability and Health: Sweden 1751-2004," Working Papers 2008:4, Örebro University, Swedish Business School. [Downloadable!]
    2. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]
    3. Jin Lee, 2004. "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society. [Downloadable!]
    4. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    5. Aaron Smallwood; Alex Maynard; Mark Wohar, 2005. "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005 384, Society for Computational Economics. [Downloadable!]
    6. Katsumi Shimotsu, 2003. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Economics Discussion Papers 570, University of Essex, Department of Economics. [Downloadable!]
    7. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
    8. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques," Economics and Finance Discussion Papers 05-10, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    9. Patrik Guggenberger & Yixiao Sun, 2004. "Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation," University of California at San Diego, Economics Working Paper Series 2004-14, Department of Economics, UC San Diego. [Downloadable!]
    10. Krüger, Niclas A & Svensson, Mikael, 2008. "Good Times Are Drinking Times: Empirical Evidence on Business Cycles an Alcohol Sales in Sweden 1861-2000," Working Papers 2008:2, Örebro University, Swedish Business School. [Downloadable!]
    11. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    12. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
    13. Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September. [Downloadable!]
    14. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    15. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]
    16. Katsumi Shimotsu, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 543, University of Essex, Department of Economics. [Downloadable!]
      Other versions:
    17. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    18. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    19. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 9-12, January. [Downloadable!] (restricted)
    20. David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    21. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation, Yale University, revised Sep 2003. [Downloadable!]
    22. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, School of Economics and Management, University of Aarhus. [Downloadable!]
    23. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]
    24. Katsumi Shimotsu, 2003. "Gaussian semiparametric estimation of multivariate fractionally integrated processes," Economics Discussion Papers 571, University of Essex, Department of Economics. [Downloadable!]
      Other versions:

  38. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]

  39. Zhijie Xiao & Peter C.B. Phillips, 2001. "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers 1329, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Roberto Basile & Sergio Destefanis & Mauro Costantini, 2005. "Unit root and cointegration tests for cross-sectionally correlated panels - Estimating regional production functions," ERSA conference papers ersa05p171, European Regional Science Association. [Downloadable!]
      Other versions:
    2. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation, Yale University. [Downloadable!]

  40. Peter C.B. Phillips, 2001. "Regression with Slowly Varying Regressors," Cowles Foundation Discussion Papers 1310, Cowles Foundation, Yale University. [Downloadable!]

    Cited by:

    1. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York. [Downloadable!]

  41. Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001. "Nonlinear Instrumental Variable Estimation of an Autoregression," Cowles Foundation Discussion Papers 1331, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics. [Downloadable!]
    2. Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    3. Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute. [Downloadable!]
      Other versions:
      • Rodrigues, Paulo M.M