Peter C. B. Phillips : Citation Profile


Are you Peter C. B. Phillips?

Yale University (25% share)
University of Auckland (25% share)
University of Southampton (25% share)
Singapore Management University (25% share)

58

H index

188

i10 index

23052

Citations

RESEARCH PRODUCTION:

282

Articles

428

Papers

3

Chapters

RESEARCH ACTIVITY:

   54 years (1968 - 2022). See details.
   Cites by year: 426
   Journals where Peter C. B. Phillips has often published
   Relations with other researchers
   Recent citing documents: 1506.    Total self citations: 366 (1.56 %)

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   Permalink: http://citec.repec.org/pph8
   Updated: 2023-01-28    RAS profile: 2022-10-11    
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Relations with other researchers


Works with:

Shi, Shuping (9)

Yu, Jun (7)

Su, Liangjun (6)

GAO, Jiti (6)

Cho, Jin Seo (5)

Shi, Zhentao (4)

Tao, Yubo (4)

Rossi, Francesca (4)

Li, Degui (4)

Kyriacou, Maria (3)

Sul, Donggyu (3)

Greenaway-McGrevy, Ryan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter C. B. Phillips.

Is cited by:

GAO, Jiti (232)

Gil-Alana, Luis (217)

Shahbaz, Muhammad (192)

GUPTA, RANGAN (190)

Westerlund, Joakim (183)

Taylor, Robert (149)

Yu, Jun (144)

Pesaran, M (138)

Balcilar, Mehmet (129)

LINTON, OLIVER (129)

Caporale, Guglielmo Maria (118)

Cites to:

Park, Joon (156)

Yu, Jun (78)

Andrews, Donald (64)

Stock, James (56)

Campbell, John (55)

Ploberger, Werner (52)

Hansen, Bruce (48)

Sims, Christopher (48)

Ait-Sahalia, Yacine (42)

Shiller, Robert (41)

Newey, Whitney (40)

Main data


Where Peter C. B. Phillips has published?


Journals with more than one article published# docs
Journal of Econometrics73
Econometric Theory56
Econometrica38
Econometric Reviews9
Econometrics Journal8
Journal of Time Series Analysis7
Economics Letters7
Journal of Applied Econometrics6
Review of Economic Studies5
International Economic Review5
International Economic Review5
New Zealand Economic Papers5
Oxford Bulletin of Economics and Statistics5
Econometrics Journal5
Journal of Business & Economic Statistics4
Journal of Business & Economic Statistics4
Journal of Multivariate Analysis4
Econometrics3
Empirical Economics3
Journal of Applied Econometrics3
Journal of Economic Surveys2
The Journal of Financial Econometrics2
Review of Financial Studies2
Econometrica2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University322
Working Papers / Singapore Management University, School of Economics17
Working Papers / Department of Economics, The University of Auckland10
Working papers / Yonsei University, Yonsei Economics Research Institute8
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics7
Yale School of Management Working Papers / Yale School of Management6
Finance Working Papers / East Asian Bureau of Economic Research4
Economics and Statistics Working Papers / Singapore Management University, School of Economics4
Papers / arXiv.org4
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics3
University of California at Santa Barbara, Economics Working Paper Series / Department of Economics, UC Santa Barbara3
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3
Discussion Paper Series / Institute of Economic Research, Korea University2
Working Papers / Hong Kong Institute for Monetary Research2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
Development Economics Working Papers / East Asian Bureau of Economic Research2
NCER Working Paper Series / National Centre for Econometric Research2

Recent works citing Peter C. B. Phillips (2022 and 2021)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2021Financial Integration and Growth Outcomes in Africa: Experience of the Trade Blocs. (2021). Odusanya, Ibrahim A ; Onanuga, Abayomi T ; Adekunle, Ibrahim A. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/052.

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2021Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/059.

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2021Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing. (2021). Paesani, Paolo ; Cifarelli, Giulio. In: The Energy Journal. RePEc:aen:journl:ej42-5-cifarelli.

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2021Trend, Cycles and Chance. (2021). DIEBOLT, Claude. In: Working Papers. RePEc:afc:wpaper:05-21.

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2021On the Determinant of Financial Development in Africa: Geography, Institutions and Macroeconomic Policy Relevance. (2021). Folami, Rahmon A ; Williams, Tolulope O ; Yinusa, Olumuyiwa G ; Adekunle, Ibrahim A. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/054.

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2021Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/059.

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2022Long-term price and income elasticity of residential natural gas demand in Turkey. (2022). Tatlı, Halim. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(630):y:2022:i:1(630):p:101-122.

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2021Unravelling complex market relationships. A study on the price volatility of Brazilian pork using a DCC-MGARCH approach. (2021). Brummer, Bernhard ; Jaghdani, Tinoush Jamali ; Rosero, Gabriel . In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311090.

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2022.

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2021Growth Effects of Foreign Direct Investments in Zimbabwe: Do Sources Matter?. (2021). Regret, Sunge ; Kudakwashe, Chinyanganya. In: African Journal of Economic Review. RePEc:ags:afjecr:315818.

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2021Fiscal Policy and Crime Rate in Nigeria. (2021). Ajide, Folorunsho. In: African Journal of Economic Review. RePEc:ags:afjecr:315827.

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2021GROWTH AND FORECASTING OF BADC AND NATIONAL BORO SEED PRODUCTION IN BANGLADESH: AN EMPIRICAL STUDY. (2021). Monayem, M A ; Kabir, Humayun ; Uddin, Md Taj ; Tajuddin, MD ; Mia, Md Shahin. In: Bangladesh Journal of Agricultural Economics. RePEc:ags:bdbjaf:320372.

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2021On the Water-Energy-Food Nexus: Is there Multivariate Convergence?. (2021). Bollino, Carlo Andrea ; Galeotti, Marzio. In: FEEM Working Papers. RePEc:ags:feemwp:309919.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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2021.

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2022Nexus of Agricultural Credit and Sustainable Food Production in Nigeria: Application of A Modified Regression Model. (2022). Abu, Orefi ; Umeh, Joseph Chinedu ; Shaibu, Ufedo Monday. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:324829.

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2021Female Labour Force Participation in Saudi Arabia and its Determinants. (2021). Agboola, Mary Oluwatoyin. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:310288.

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2021Cov?d-19 Krizinin Petrol Fiyatlar? Üzerine Etkisi. (2021). Kulolu, Ayhan. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:3:p:710-727.

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2022Borsa ?stanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier K?r?lmal? ve Do?rusal Olmayan Birim Kök Testlerinden Kan?tlar. (2022). Umut, Alican ; Pazarci, Evket ; Kili, Emre ; Altunta, Mehmet. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:1:p:169-185.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2021Nexus of Corruption Control and Economic Development in African Least Corrupt Countries. (2021). Riti, Joshua Sunday ; Gubak, Happy Daniel. In: Contemporary Research in Education and English Language Teaching. RePEc:ajp:jocrss:2021:p:1-10.

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2022Political instability and economic growth in Nigeria. (2022). Zubair, Taofeek Bidemi ; Arowolo, Omobola Hannah ; Akinlo, Taiwo. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202209.

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2021Government Size and Openness: Insights Based on Country Classifications. (2021). Sarı, Erkam ; HOTUNLUOGLU, Hakan . In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:1:p:1-16.

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2021Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:35-46.

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2022DATING COMMON COMMODITY PRICE AND INFLATION SHOCKS WITH ALTERNATIVE APPROACHES. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:469.

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2022WHO MOVES FIRST? COMMODITY PRICE INTERDEPENDENCE THROUGH TIME-VARYING GRANGER CAUSALITY. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:471.

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2022Full Modified Ordinary Least Square Analysis of the Relationship between New Technologies of Information, Financial Development and Growth in WAEMU Zone. (2022). Guy, Drama Bdi. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2022:p:39-49.

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2021Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2021Coverage Error Optimal Confidence Intervals for Local Polynomial Regression. (2019). Cattaneo, Matias ; Farrell, Max H ; Calonico, Sebastian. In: Papers. RePEc:arx:papers:1808.01398.

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2021On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2021The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2021Bias and Consistency in Three-way Gravity Models. (2019). Zylkin, Thomas ; Weidner, Martin. In: Papers. RePEc:arx:papers:1909.01327.

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2021Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823.

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2021Subspace Clustering for Panel Data with Interactive Effects. (2019). Tony, Hon Keung ; Qu, Hao ; Gao, Wei ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:1909.09928.

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2021A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2021Synthetic Controls with Imperfect Pre-Treatment Fit. (2019). Pinto, Cristine ; Ferman, Bruno. In: Papers. RePEc:arx:papers:1911.08521.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2022Backward CUSUM for Testing and Monitoring Structural Change. (2020). Breitung, Jörg ; Otto, Sven. In: Papers. RePEc:arx:papers:2003.02682.

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2022Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data. (2020). Parker, Thomas ; Lamarche, Carlos. In: Papers. RePEc:arx:papers:2004.05127.

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2021Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770.

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2021Detecting Latent Communities in Network Formation Models. (2020). Su, Liangjun ; Zhang, Yichong ; Ma, Shujie. In: Papers. RePEc:arx:papers:2005.03226.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2021Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

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2021Cointegrating Polynomial Regressions with Power Law Trends: A New Angle on the Environmental Kuznets Curve. (2020). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:2009.02262.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2022Modeling Long Cycles. (2020). Marmer, Vadim ; Kang, Natasha. In: Papers. RePEc:arx:papers:2010.13877.

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2022Conditional quantile estimators: A small sample theory. (2020). Gafarov, Bulat ; Franguridi, Grigory ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:2011.03073.

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2022Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2021Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937.

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2021A Pairwise Strategic Network Formation Model with Group Heterogeneity: With an Application to International Travel. (2020). Hoshino, Tadao. In: Papers. RePEc:arx:papers:2012.14886.

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2021Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562.

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2022Consistent specification testing under spatial dependence. (2021). Gupta, Abhimanyu ; Qu, XI. In: Papers. RePEc:arx:papers:2101.10255.

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2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2021Adaptive Random Bandwidth for Inference in CAViaR Models. (2021). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:2102.01636.

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2021Interdependencies between Mining Costs, Mining Rewards and Blockchain Security. (2021). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:2102.08107.

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2021Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2021Approximate Bayes factors for unit root testing. (2021). Alexandros, Iosifidis ; Martin, Magris. In: Papers. RePEc:arx:papers:2102.10048.

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2021Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem. (2021). Zoia, Maria Grazia ; Faliva, Mario. In: Papers. RePEc:arx:papers:2102.10626.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021Herd Behavior in Crypto Asset Market and Effect of Financial Information on Herd Behavior. (2021). Aydin, Omer ; Augan, Bucsra. In: Papers. RePEc:arx:papers:2104.00763.

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2022Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Changepoint detection in random coefficient autoregressive models. (2021). Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2104.13440.

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2022Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054.

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2021Robust Inference on Income Inequality: \textit{t-}Statistic Based Approaches. (2021). Ibragimov, Rustam ; Skrobotov, Anton ; Kattuman, Paul. In: Papers. RePEc:arx:papers:2105.05335.

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2021Identification robust inference for moments based analysis of linear dynamic panel data models. (2021). Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08346.

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2021The relationship between economic growth and environment. Testing the EKC hypothesis for Latin American countries. (2021). de Juan, A ; Seri, C. In: Papers. RePEc:arx:papers:2105.11405.

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2021A Note on the Topology of the First Stage of 2SLS with Many Instruments. (2021). Tchuente, Guy. In: Papers. RePEc:arx:papers:2106.15003.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2021House Price Determinants and Market Segmentation in Boulder, Colorado: A Hedonic Price Approach. (2021). Yazdani, Mahdieh. In: Papers. RePEc:arx:papers:2108.02442.

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2022Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2021). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2022On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500.

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2021Machine Learning, Deep Learning, and Hedonic Methods for Real Estate Price Prediction. (2021). Yazdani, Mahdieh. In: Papers. RePEc:arx:papers:2110.07151.

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2022Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2022Pivotal Test Statistic for Nonparametric Cointegrating Regression Functions. (2021). Kaiser, Mark S ; Mosaferi, Sepideh. In: Papers. RePEc:arx:papers:2111.00972.

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2021Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021Interactive Effects Panel Data Models with General Factors and Regressors. (2021). Peng, Bin ; Yang, Yanrong ; Westerlund, Joakim ; Su, Liangjun. In: Papers. RePEc:arx:papers:2111.11506.

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2021The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2111.14590.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022The DONUT Approach to EnsembleCombination Forecasting. (2022). Krange, Kjartan ; Ankile, Lars Lien. In: Papers. RePEc:arx:papers:2201.00426.

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2022Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2022A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2022Regression Adjustments under Covariate-Adaptive Randomizations with Imperfect Compliance. (2022). Tang, Haihan ; Linton, Oliver B ; Jiang, Liang ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2201.13004.

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2022Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2202.00141.

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2023Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes. (2022). Vella, Francis ; Fernandez-Val, Ivan ; Liao, Yuan ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2202.04154.

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Works by Peter C. B. Phillips:


YearTitleTypeCited
2010Semiparametric Estimation in Simultaneous Equations of Time Series Models In: School of Economics Working Papers.
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2017Edmond Malinvaud - an Economists Econometrician In: Annals of Economics and Statistics.
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2000THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS In: CATRN Papers.
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2020Boosting: Why You Can Use the HP Filter In: Papers.
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paper14
2019Boosting: Why you Can Use the HP Filter.(2019) In: Cowles Foundation Discussion Papers.
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2021BOOSTING: WHY YOU CAN USE THE HP FILTER.(2021) In: International Economic Review.
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2021Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs In: Papers.
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paper3
2020Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2020) In: Cowles Foundation Discussion Papers.
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2022Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations In: Papers.
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paper1
2021Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations.(2021) In: Cowles Foundation Discussion Papers.
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2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems In: Papers.
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paper2
1992Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers.
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paper156
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets.(1994) In: Journal of Empirical Finance.
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article
2003Prewhitening Bias in HAC Estimation In: Working Papers.
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paper149
2005Prewhitening Bias in HAC Estimation.(2005) In: Oxford Bulletin of Economics and Statistics.
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2003Prewhitening Bias in HAC Estimation.(2003) In: Cowles Foundation Discussion Papers.
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2004Prewhitening Bias in HAC Estimation.(2004) In: Yale School of Management Working Papers.
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1999Discrete Fourier Transforms of Fractional Processes August In: Working Papers.
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paper17
2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
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2003Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence In: Working Papers.
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paper141
2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Cowles Foundation Discussion Papers.
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2007Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence.(2007) In: Journal of Econometrics.
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2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 141
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2000Forecasting New Zealands Real GDP In: Working Papers.
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paper3
2000Forecasting New Zealands Real GDP.(2000) In: Cowles Foundation Discussion Papers.
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2000Forecasting New Zealands real GDP.(2000) In: New Zealand Economic Papers.
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2002Jacknifing Bond Option Prices In: Working Papers.
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paper54
2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
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2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2005Jackknifing Bond Option Prices.(2005) In: Review of Financial Studies.
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2002Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence In: Working Papers.
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paper31
2002Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence.(2002) In: Cowles Foundation Discussion Papers.
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1998New Unit Root Asymptotics in the Presence of Deterministic Trends In: Working Papers.
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1998New Unit Root Asymptotics in the Presence of Deterministic Trends.(1998) In: Cowles Foundation Discussion Papers.
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2002New unit root asymptotics in the presence of deterministic trends.(2002) In: Journal of Econometrics.
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article
2003The Elusive Empirical Shadow of Growth Convergence In: Working Papers.
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paper30
2003The Elusive Empirical Shadow of Growth Convergence.(2003) In: Cowles Foundation Discussion Papers.
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2004The Elusive Empirical Shadow of Growth Convergence.(2004) In: Yale School of Management Working Papers.
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2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres In: Working Papers.
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paper38
2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres.(2015) In: Cowles Foundation Discussion Papers.
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2016Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres.(2016) In: New Zealand Economic Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2010Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity In: Journal of Business & Economic Statistics.
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article29
2005Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity.(2005) In: Cowles Foundation Discussion Papers.
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2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions In: Journal of Business & Economic Statistics.
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article3
2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Cowles Foundation Discussion Papers.
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2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Discussion Paper Series.
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2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2011) In: Journal of Business & Economic Statistics.
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2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications In: Journal of Business & Economic Statistics.
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2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications.(2011) In: Journal of Business & Economic Statistics.
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article
2005Econometric Analysis of Fishers Equation In: American Journal of Economics and Sociology.
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article22
1998Econometric Analysis of Fishers Equation.(1998) In: Cowles Foundation Discussion Papers.
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2016Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
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1988Reflections on Econometric Methodology In: The Economic Record.
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article37
1988Reflections on Econometric Methodology.(1988) In: Cowles Foundation Discussion Papers.
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1998A Primer on Unit Root Testing In: Journal of Economic Surveys.
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article108
1998A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers.
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1994 Reflections on the Day. In: Journal of Economic Surveys.
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article1
2002Pooled Log Periodogram Regression In: Journal of Time Series Analysis.
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article29
2000Pooled Log Periodogram Regression.(2000) In: Cowles Foundation Discussion Papers.
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2004Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra In: Journal of Time Series Analysis.
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article2
2002Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra.(2002) In: Cowles Foundation Discussion Papers.
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2006Uniform Limit Theory for Stationary Autoregression In: Journal of Time Series Analysis.
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article44
2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
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Uniform limit theory for stationary autoregression.() In: Discussion Papers.
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2006Inference in Autoregression under Heteroskedasticity In: Journal of Time Series Analysis.
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article32
2014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS In: Journal of Time Series Analysis.
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article7
2013Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions.(2013) In: Cowles Foundation Discussion Papers.
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2018Boundary Limit Theory for Functional Local to Unity Regression In: Journal of Time Series Analysis.
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article3
2017Boundary Limit Theory for Functional Local to Unity Regression.(2017) In: Cowles Foundation Discussion Papers.
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2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
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article58
2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
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2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
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1992LM Tests for a Unit Root in the Presence of Deterministic Trends. In: Oxford Bulletin of Economics and Statistics.
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article397
2003An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* In: Oxford Bulletin of Economics and Statistics.
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article1
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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article71
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
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2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
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2019Detecting Financial Collapse and Ballooning Sovereign Risk In: Oxford Bulletin of Economics and Statistics.
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article16
2017Detecting Financial Collapse and Ballooning Sovereign Risk.(2017) In: Cowles Foundation Discussion Papers.
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2017Labeling Demands, Coexistence and the Challenges for Trade In: Journal of Agricultural & Food Industrial Organization.
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article1
1999Maximum Likelihood Estimation in Panels with Incidental Trends In: University of California at Santa Barbara, Economics Working Paper Series.
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1999Maximum Likelihood Estimation in Panels with Incidental Trends.(1999) In: Cowles Foundation Discussion Papers.
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1999Estimation of Autoregressive Roots near Unity using Panel Data In: University of California at Santa Barbara, Economics Working Paper Series.
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paper41
2000ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA.(2000) In: Econometric Theory.
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1999Estimation of Autoregressive Roots Near Unity Using Panel Data.(1999) In: Cowles Foundation Discussion Papers.
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1999How to Estimate Autoregressive Roots Near Unity In: University of California at Santa Barbara, Economics Working Paper Series.
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2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY.(2001) In: Econometric Theory.
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1998How to Estimate Autoregressive Roots Near Unity.(1998) In: Cowles Foundation Discussion Papers.
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2005Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing? In: University of California at San Diego, Economics Working Paper Series.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation In: University of California at San Diego, Economics Working Paper Series.
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2003Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2003) In: Cowles Foundation Discussion Papers.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Yale School of Management Working Papers.
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2004Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation In: University of California at San Diego, Economics Working Paper Series.
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2006SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION.(2006) In: International Economic Review.
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1985A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family. In: Canadian Journal of Economics.
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2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
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2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
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2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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2013Nonparametric Predictive Regression In: CEPR Discussion Papers.
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2012Nonparametric Predictive Regression.(2012) In: Cowles Foundation Discussion Papers.
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2015Nonparametric predictive regression.(2015) In: Journal of Econometrics.
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2012Nonparametric Predictive Regression.(2012) In: University of Cyprus Working Papers in Economics.
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1994Bayes Methods and Unit Roots In: Econometric Theory.
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1994Posterior Odds Testing for a Unit Root with Data-Based Model Selection In: Econometric Theory.
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article49
1992Posterior Odds Testing for a Unit Root with Data-Based Model Selection.(1992) In: Cowles Foundation Discussion Papers.
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1995Time Series Regression with Mixtures of Integrated Processes In: Econometric Theory.
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1995Efficient IV Estimation in Nonstationary Regression In: Econometric Theory.
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1995Trending Multiple Time Series: Editors Introduction In: Econometric Theory.
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1995Robust Nonstationary Regression In: Econometric Theory.
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article26
1993Robust Nonstationary Regression.(1993) In: Cowles Foundation Discussion Papers.
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1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES In: Econometric Theory.
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article147
1998Asymptotics for Nonlinear Transformations of Integrated Time Series.(1998) In: Cowles Foundation Discussion Papers.
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1999EFFICIENT DETRENDING IN COINTEGRATING REGRESSION In: Econometric Theory.
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2003IN MEMORY OF JOHN DENIS SARGAN In: Econometric Theory.
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2003VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN In: Econometric Theory.
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2003Vision and Influence in Econometrics: John Denis Sargan.(2003) In: Cowles Foundation Discussion Papers.
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200302.3.1. Regression with an Evaporating Logarithmic Trend— Solution In: Econometric Theory.
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2003THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE In: Econometric Theory.
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2004EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER In: Econometric Theory.
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2005HAC ESTIMATION BY AUTOMATED REGRESSION In: Econometric Theory.
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2004HAC Estimation by Automated Regression.(2004) In: Cowles Foundation Discussion Papers.
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2005AUTOMATED DISCOVERY IN ECONOMETRICS In: Econometric Theory.
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2004Automated Discovery in Econometrics.(2004) In: Cowles Foundation Discussion Papers.
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2006A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION In: Econometric Theory.
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2005A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation.(2005) In: Cowles Foundation Discussion Papers.
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2006ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER In: Econometric Theory.
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2007REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS In: Econometric Theory.
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2007LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES In: Econometric Theory.
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2007Long Run Covariance Matrices for Fractionally Integrated Processes.(2007) In: Cowles Foundation Discussion Papers.
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2008GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT In: Econometric Theory.
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2006Gaussian Inference in AR(1) Time Series with or without a Unit Root.(2006) In: Cowles Foundation Discussion Papers.
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2008LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS In: Econometric Theory.
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2007Limit Theory for Explosively Cointegrated Systems.(2007) In: Cowles Foundation Discussion Papers.
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2008REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS In: Econometric Theory.
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article20
2004Regression Asymptotics Using Martingale Convergence Methods.(2004) In: Cowles Foundation Discussion Papers.
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2008Regression asymptotics using martingale convergence methods..(2008) In: Scholarly Articles.
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2009LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS In: Econometric Theory.
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article24
2009ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION In: Econometric Theory.
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article57
2006Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression.(2006) In: Cowles Foundation Discussion Papers.
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2009EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY In: Econometric Theory.
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2007Exact Distribution Theory in Structural Estimation with an Identity.(2007) In: Cowles Foundation Discussion Papers.
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2009LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION In: Econometric Theory.
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article9
2008Local Limit Theory and Spurious Nonparametric Regression.(2008) In: Cowles Foundation Discussion Papers.
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2009UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST In: Econometric Theory.
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2008Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past.(2008) In: Cowles Foundation Discussion Papers.
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2010GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY In: Econometric Theory.
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2007GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity.(2007) In: Cowles Foundation Discussion Papers.
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2010LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES In: Econometric Theory.
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2009LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities.(2009) In: Cowles Foundation Discussion Papers.
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2009LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities.(2009) In: Discussion Paper Series.
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2011ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS In: Econometric Theory.
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2011UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION In: Econometric Theory.
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2010Uniform Asymptotic Normality in Stationary and Unit Root Autoregression.(2010) In: Cowles Foundation Discussion Papers.
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2011POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS In: Econometric Theory.
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2010Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels.(2010) In: Cowles Foundation Discussion Papers.
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2012NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION In: Econometric Theory.
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article7
2010Nonlinear Cointegrating Regression under Weak Identification.(2010) In: Cowles Foundation Discussion Papers.
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2013INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS In: Econometric Theory.
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2011Inconsistent VAR Regression with Common Explosive Roots.(2011) In: Cowles Foundation Discussion Papers.
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2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
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2014X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION In: Econometric Theory.
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article24
2010X-Differencing and Dynamic Panel Model Estimation.(2010) In: Cowles Foundation Discussion Papers.
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2014UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY In: Econometric Theory.
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2013Unit Roots in Life -- A Graduate Student Story.(2013) In: Cowles Foundation Discussion Papers.
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2015AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS In: Econometric Theory.
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article28
2012Automated Estimation of Vector Error Correction Models.(2012) In: Cowles Foundation Discussion Papers.
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2016NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY In: Econometric Theory.
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2016UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION In: Econometric Theory.
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article3
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression.(2013) In: Cowles Foundation Discussion Papers.
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