Peter C. B. Phillips : Citation Profile

Singapore Management University (34% share)
Yale University (33% share)
University of Auckland (33% share)

65

H index

211

i10 index

27437

Citations

RESEARCH PRODUCTION:

318

Articles

463

Papers

6

Chapters

RESEARCH ACTIVITY:

   57 years (1968 - 2025). See details.
   Cites by year: 481
   Journals where Peter C. B. Phillips has often published
   Relations with other researchers
   Recent citing documents: 1303.    Total self citations: 405 (1.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pph8
   Updated: 2025-12-20    RAS profile: 2025-10-11    
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Relations with other researchers

Works with:

Shi, Shuping (13)

Yu, Jun (10)

Su, Liangjun (9)

Cho, Jin Seo (4)

Greenaway-McGrevy, Ryan (3)

Shi, Zhentao (3)

Jin, Sainan (3)

Tao, Yubo (2)

Sul, Donggyu (2)

Miao, Ke (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 (269)

Gil-Alana, Luis (261)

Shahbaz, Muhammad (205)

GUPTA, RANGAN (197)

Westerlund, Joakim (194)

Taylor, Robert (183)

LINTON, OLIVER (169)

Yu, Jun (169)

Pesaran, Mohammad (162)

Caporale, Guglielmo Maria (139)

Balcilar, Mehmet (135)

Cites to:

Park, Joon (167)

Yu, Jun (81)

Andrews, Donald (68)

Hansen, Bruce (62)

Stock, James (60)

Campbell, John (58)

Ploberger, Werner (55)

Su, Liangjun (48)

Sims, Christopher (48)

Shiller, Robert (46)

Newey, Whitney (45)

Main data

Where Peter C. B. Phillips has published?

Journals with more than one article published# docs
Journal of Econometrics87
Econometric Theory61
Econometrica38
Econometric Reviews10
Economics Letters8
Journal of Time Series Analysis8
Econometrics Journal8
International Economic Review6
Oxford Bulletin of Economics and Statistics6
Journal of Applied Econometrics6
The Review of Economic Studies5
International Economic Review5
New Zealand Economic Papers5
Journal of Applied Econometrics5
Econometrics Journal5
Journal of Economic Surveys4
Empirical Economics4
Journal of Business & Economic Statistics4
Journal of Multivariate Analysis4
Journal of Business & Economic Statistics4
Journal of Financial Econometrics3
Econometrics3
Econometrica2
The Review of Financial Studies2
Managerial Auditing Journal2
Journal of Empirical Finance2
The Economic Record2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University350
Working Papers / Singapore Management University, School of Economics17
Working papers / Yonsei University, Yonsei Economics Research Institute10
Working Papers / Department of Economics, The University of Auckland10
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics7
Papers / arXiv.org7
Yale School of Management Working Papers / Yale School of Management6
Economics and Statistics Working Papers / Singapore Management University, School of Economics6
Finance Working Papers / East Asian Bureau of Economic Research4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3
University of California at Santa Barbara, Economics Working Paper Series / Department of Economics, UC Santa Barbara3
University of Cyprus Working Papers in Economics / University of Cyprus Department of Economics3
Econometric Society 2004 North American Winter Meetings / Econometric Society2
NCER Working Paper Series / National Centre for Econometric Research2
Discussion Paper Series / Institute of Economic Research, Korea University2
Development Economics Working Papers / East Asian Bureau of Economic Research2
Working Papers / Hong Kong Institute for Monetary Research2

Recent works citing Peter C. B. Phillips (2025 and 2024)

YearTitle of citing document
2024Examining the Impacts of the Pandemic on the Housing Bubble in Hong Kong. (2024). , Edward. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:27-46.

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2025Exploring Tail Risk Transmission between Volatility Indices and Cryptocurrencies: Evidence from Quantile Connectedness. (2025). Imane, Ennadifi ; Ghizlane, Kadil. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:29:y:2025:i:3:p:119-157.

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2025Macroeconomic and Bank-Specific Factors Affecting Bank Liquidity in South Africa: An MSM-VAR Approach. (2025). Pamba, Dumisani. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:7:y:2025:i:1:p:56-68.

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2025Trend-Breaks and the Persistence of Closed-End Fund Discounts. (2025). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2025-02.

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2024The Relationship Between Inflation, Human Development Index and CO2 in Selected Country Groups. (2024). Engl, Aykut ; Akan, Canan Daidir ; Alkan, Ufuk ; Ate, Mehmet Hanifi. In: Journal of Finance Letters (Maliye ve Finans Yazıları). RePEc:acc:malfin:v:39:y:2024:i:122:p:79-109.

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2024Size of Government and Economic Growth: A Convergence Analysis of Former Soviet Union Countries from 1991 to 2018. (2024). de Pablo, Jaime ; Mil, Juan ; Pires, Jose Ramos ; Garcia, Juan David. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:26:y:2024:i:special18:p:1256.

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2024DO NATURAL RESOURCE RENTS AID RENEWABLE ENERGY TRANSITION IN RESOURCE-RICH AFRICAN COUNTRIES? THE ROLES OF INSTITUTIONAL QUALITY AND ITS THRESHOLD. (2024). Odhiambo, N M ; Olaniyi, C O. In: Working Papers. RePEc:afa:wpaper:wp032024.

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2024Causes of the Sharp Decline in Migration to Major Metropolitan Areas in the 1970s. (2024). Hoshina, Hiroki ; Ikeda, Shinsuke ; Hatta, Tatsuo. In: AGI Working Paper Series. RePEc:agi:wpaper:02000145.

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2024Institutional quality and sustainability: empirical study in 11 MENA countries. (2024). Sari Hassoun, Salaheddine ; Chekouri, Sidi Mohamed ; Chibi, Abderrahim ; Sari-Hassoun, Salaheddine. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:129-152.

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2024The effect of population ageing on savings: a time series analysis for Türkiye. (2024). Karagz, Kadir. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:153-164.

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2024Modelling the relationship between inflation and uncertainty with existence of structural break: evidence from Azerbaijan. (2024). Rahimov, Vugar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:85-96.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Hu, Zhepeng ; Lai, Tianyun. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343535.

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2024Rockets and Feathers in the Oil and Gasoline Markets: In-Depth Analysis of Three Asymmetries. (2024). Qiu, Feng ; Zhang, Wenbei. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:344062.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Lai, Tianyun ; Hu, Zhepeng. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343535.

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2024Rockets and Feathers in the Oil and Gasoline Markets: In-Depth Analysis of Three Asymmetries. (2024). Zhang, Wenbei ; Qiu, Feng. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:344062.

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2025Farmland Boom or Bubble?. (2025). Etienne, Xiaoli ; Irwin, Scott ; Franken, Jason. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360676.

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2025Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches. (2025). Pede, Valerien O ; Okou, Cyrille Guei ; Jeremy, Ronald ; Amar, Amine. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360696.

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2025USDAs Investment Grants for the Rural Development Business Programs: Pre- and post-COVID-19 Trends. (2025). Ogundari, Kolawole ; Iyer, Rupa. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:361131.

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2024Impact of the total expenditure shocks on food security: VAR model. (2024). Al-Mahish, Mohammed ; Elzaki, Raga M ; Alkunain, Batool. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:355971.

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2024Cointegration Analysis of the Worlds Black Pepper Export Market Among Major Producers. (2024). Allan, R ; Rosli, A ; Daud, A. In: ASEAN University for Sustainable Food System, Faculty of Economics, Kasetsart University, Bangkok, Thailand, April 18-19, 2024. RePEc:ags:asea24:344439.

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2024Measuring and benchmarking time-varying market efficiency. (2024). Mu, Yali. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344294.

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2024Trade policies and the transmission of international to domestic prices. (2024). von Cramon-Taubadel, Stephan ; Kastens, Lina ; Hoffmann, Clemens ; Vportugal-Perez, Alberto. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344313.

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2024Achieving environmental sustainability: the interplay of technological innovations, foreign direct investment and agricultural production on CO2 emissions in BRICS countries. (2024). Dhaka, Surjeet Singh ; Chaa, Samuel Kwabena ; Asare, Jeffery Kofi. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344316.

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2024Income taxation and labour response. Empirical evidence from a DID analysis of an income tax treatment in Italy. (2024). Maranzano, Paolo ; Bosco, Carlo Federico. In: FEEM Working Papers. RePEc:ags:feemwp:343514.

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2024Measuring and benchmarking time-varying market efficiency. (2024). Mu, Yali. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:iaae24:344294.

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2024Trade policies and the transmission of international to domestic prices. (2024). Hoffmann, Clemens ; Vportugal-Perez, Alberto ; Kastens, Lina ; von Cramon-Taubadel, Stephan. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:iaae24:344313.

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2024Achieving environmental sustainability: the interplay of technological innovations, foreign direct investment and agricultural production on CO2 emissions in BRICS countries. (2024). Dhaka, Surjeet Singh ; Asare, Jeffery Kofi ; Chaa, Samuel Kwabena. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:iaae24:344316.

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2024A Time Trend and Persistence Analysis of Sunflower Oil and Olive Oil Prices in the Context of the Russia-Ukraine War. (2024). Monge, Manuel. In: Research on World Agricultural Economy. RePEc:ags:reowae:348135.

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2025Spatial Unit Roots in Regressions: A Practitioners Guide and a Stata Package. (2025). Becker, Sascha ; Boll, David P ; Voth, Hans-Joachim. In: SoDa Laboratories Working Paper Series. RePEc:ajr:sodwps:2025-01.

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2024Uncertainty and Money Demand Function in Developing Countries. (2024). Asik, Bekir. In: World Journal of Applied Economics. RePEc:ana:journl:v:10:y:2024:i:2:p:111-136.

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2025Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498.

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2025Bias correction for quantile regression estimators. (2025). Wüthrich, Kaspar ; Gafarov, Bulat ; Wuthrich, Kaspar ; Franguridi, Grigory. In: Papers. RePEc:arx:papers:2011.03073.

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2024Testing for Nonlinear Cointegration under Heteroskedasticity. (2024). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2024). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

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2025Nonparametric Cointegrating Regression Functions with Endogeneity and Semi-Long Memory. (2025). Mosaferi, Sepideh ; Kaiser, Mark S. In: Papers. RePEc:arx:papers:2111.00972.

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2024The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2111.14590.

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2024Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2024). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2025A projection based approach for interactive fixed effects panel data models. (2025). Wang, Weining ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Soberon, Alexandra. In: Papers. RePEc:arx:papers:2201.11482.

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2025Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes. (2023). Vella, Francis ; Gao, Wayne ; Fernandez-Val, Ivan ; Liao, Yuan. In: Papers. RePEc:arx:papers:2202.04154.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Finitely Heterogeneous Treatment Effect in Event-study. (2024). Shin, Myungkou. In: Papers. RePEc:arx:papers:2204.02346.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024The Local to Unity Dynamic Tobit Model. (2024). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2024Unit Averaging for Heterogeneous Panels. (2024). Brownlees, Christian ; Morozov, Vladislav. In: Papers. RePEc:arx:papers:2210.14205.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2025Inference in Cluster Randomized Trials with Matched Pairs. (2024). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao ; Liu, Jizhou. In: Papers. RePEc:arx:papers:2211.14903.

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2024On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052.

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2024High-Dimensional Granger Causality for Climatic Attribution. (2024). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2025Adjustment with Many Regressors Under Covariate-Adaptive Randomizations. (2025). Zhang, Yichong ; Li, Liyao ; Jiang, Liang ; Miao, KE. In: Papers. RePEc:arx:papers:2304.08184.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2024Heterogeneous Autoregressions in Short T Panel Data Models. (2024). Pesaran, Mohammad ; Yang, Liying. In: Papers. RePEc:arx:papers:2306.05299.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity. (2024). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2025On the Efficiency of Finely Stratified Experiments. (2025). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao ; Liu, Jizhou. In: Papers. RePEc:arx:papers:2307.15181.

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2024Weak Identification with Many Instruments. (2024). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2024). Fanelli, Viviana ; Rotondi, Francesco ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2309.00875.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2024). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2024Fixed-b Asymptotics for Panel Models with Two-Way Clustering. (2024). Vogelsang, Timothy ; Chen, Kaicheng. In: Papers. RePEc:arx:papers:2309.08707.

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2025Least squares estimation in nonstationary nonlinear cohort panels with learning from experience. (2025). Massmann, Michael ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2309.08982.

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2025Specification testing with grouped fixed effects. (2023). Valentini, Francesco ; Pigini, Claudia ; Pionati, Alessandro. In: Papers. RePEc:arx:papers:2310.01950.

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2024Real-time Prediction of the Great Recession and the Covid-19 Recession. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2310.08536.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024An Identification and Dimensionality Robust Test for Instrumental Variables Models. (2024). Navjeevan, Manu. In: Papers. RePEc:arx:papers:2311.14892.

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2024Optimal Categorical Instrumental Variables. (2024). Wiemann, Thomas. In: Papers. RePEc:arx:papers:2311.17021.

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2025Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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2025Inference on many jumps in nonparametric panel regression models. (2025). Su, Liangjun ; Wang, Weining ; Chen, Likai ; Keilbar, Georg. In: Papers. RePEc:arx:papers:2312.01162.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Stochastic Equilibrium the Lucas Critique and Keynesian Economics. (2024). Staines, David. In: Papers. RePEc:arx:papers:2312.16214.

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2024Forecasting CPI inflation under economic policy and geopolitical uncertainties. (2024). Chakraborty, Tanujit ; Singh, Sunny Kumar ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2401.00249.

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2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2024EU-28s progress towards the 2020 renewable energy share. A club convergence analysis. (2024). Jos, Mar'Ia ; Landajo, Manuel. In: Papers. RePEc:arx:papers:2402.00788.

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2024The prices of renewable commodities: A robust stationarity analysis. (2024). Jos, Mar'Ia ; Landajo, Manuel. In: Papers. RePEc:arx:papers:2402.01005.

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2024GHG emissions in the EU-28. A multilevel club convergence study of the Emission Trading System and Effort Sharing Decision mechanisms. (2024). Gonz, Paula Fern'Andez ; Jos, Mar'Ia ; Landajo, Manuel. In: Papers. RePEc:arx:papers:2402.01784.

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2024Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso. (2024). Reinschlussel, Thilo ; Arnold, Martin C. In: Papers. RePEc:arx:papers:2402.16580.

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2024Imputation of Counterfactual Outcomes when the Errors are Predictable. (2024). Goncalves, Silvia ; Ng, Serena. In: Papers. RePEc:arx:papers:2403.08130.

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2025The modified conditional sum-of-squares estimator for fractionally integrated models. (2025). Kilincc, Mustafa R ; Massmann, Michael. In: Papers. RePEc:arx:papers:2404.12882.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2404.17885.

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2024Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide. (2024). Schmal, Wolfgang. In: Papers. RePEc:arx:papers:2404.18499.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2025A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2025). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2025Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2407.00813.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2025Regression Adjustment for Estimating Distributional Treatment Effects in Randomized Controlled Trials. (2025). Oka, Tatsushi ; Hayakawa, Yuta ; Byambadalai, Undral ; Yasui, Shota. In: Papers. RePEc:arx:papers:2407.14074.

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2024Estimating Distributional Treatment Effects in Randomized Experiments: Machine Learning for Variance Reduction. (2024). Oka, Tatsushi ; Byambadalai, Undral ; Yasui, Shota. In: Papers. RePEc:arx:papers:2407.16037.

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2024Heterogeneous Grouping Structures in Panel Data. (2024). Kapetanios, George ; Chrysikou, Katerina. In: Papers. RePEc:arx:papers:2407.19509.

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2024Simulation of Social Media-Driven Bubble Formation in Financial Markets using an Agent-Based Model with Hierarchical Influence Network. (2024). Cartlidge, John ; Bohorquez, Gonzalo. In: Papers. RePEc:arx:papers:2409.00742.

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2024Bootstrap Adaptive Lasso Solution Path Unit Root Tests. (2024). Reinschlussel, Thilo ; Arnold, Martin C. In: Papers. RePEc:arx:papers:2409.07859.

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2024Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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2024Tail Risk Analysis for Financial Time Series. (2024). Zhou, Chen ; Kiriliouk, Anna. In: Papers. RePEc:arx:papers:2409.18643.

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2025New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings. (2024). Margaritella, Luca ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2409.20415.

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2024Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330.

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2024Navigating Inflation in Ghana: How Can Machine Learning Enhance Economic Stability and Growth Strategies. (2024). Obeng, Ashley ; Baidoo, Theophilus G. In: Papers. RePEc:arx:papers:2410.05630.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2024Green bubbles: a four-stage paradigm for detection and propagation. (2024). Grossi, Luigi ; Vriz, Gian Luca. In: Papers. RePEc:arx:papers:2410.06564.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2025Note on Bubbles Attached to Real Assets. (2024). Toda, Alexis Akira ; Hirano, Tomohiro. In: Papers. RePEc:arx:papers:2410.17425.

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More than 100 citations found, this list is not complete...

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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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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2020Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2020) In: Cowles Foundation Discussion Papers.
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2024Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2024) In: The Review of Economics and Statistics.
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2022Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations In: Papers.
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2021Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations.(2021) In: Cowles Foundation Discussion Papers.
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2023Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations.(2023) In: Journal of Econometrics.
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2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems In: Papers.
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2023Fully modified least squares cointegrating parameter estimation in multicointegrated systems.(2023) In: Journal of Econometrics.
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2024The boosted HP filter is more general than you might think In: Papers.
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2022The boosted HP filter is more general than you might think.(2022) In: Cowles Foundation Discussion Papers.
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2023Panel Data Models with Time-Varying Latent Group Structures In: Papers.
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2023Panel Data Models with Time-Varying Latent Group Structures.(2023) In: Cowles Foundation Discussion Papers.
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2024Panel data models with time-varying latent group structures.(2024) In: Journal of Econometrics.
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2025Large-Scale Curve Time Series with Common Stochastic Trends In: Papers.
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2025Large-Scale Curve Time Series with Common Stochastic Trends.(2025) In: Cowles Foundation Discussion Papers.
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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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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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2003Prewhitening Bias in HAC Estimation In: Working Papers.
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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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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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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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2000Forecasting New Zealands Real GDP In: Working Papers.
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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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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: The 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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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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2003The Elusive Empirical Shadow of Growth Convergence In: Working Papers.
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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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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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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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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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This paper has nother version. Agregated cites: 21		article
2005Econometric Analysis of Fishers Equation In: American Journal of Economics and Sociology.
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1998Econometric Analysis of Fishers Equation.(1998) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 26		paper
2023Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer In: Australian Economic Review.
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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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1988Reflections on Econometric Methodology In: The Economic Record.
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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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1998A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers.
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1998 A Primer on Unit Root Testing. In: Journal of Economic Surveys.
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2023Diagnosing housing fever with an econometric thermometer In: Journal of Economic Surveys.
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2020Diagnosing Housing Fever with an Econometric Thermometer.(2020) In: Cowles Foundation Discussion Papers.
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2020Diagnosing Housing Fever with an Econometric Thermometer.(2020) In: CAMA Working Papers.
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1994 Reflections on the Day. In: Journal of Economic Surveys.
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2002Pooled Log Periodogram Regression In: Journal of Time Series Analysis.
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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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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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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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2014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS In: Journal of Time Series Analysis.
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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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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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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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2025Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven In: Journal of Time Series Analysis.
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2025Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven.(2025) In: Cowles Foundation Discussion Papers.
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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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1999 Maximum Likelihood Estimation in Panels with Incidental Trends. In: Oxford Bulletin of Economics and Statistics.
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2003An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* In: Oxford Bulletin of Economics and Statistics.
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2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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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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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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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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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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2024Information loss in volatility measurement with flat price trading.(2024) In: Advanced Studies in Theoretical and Applied Econometrics.
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2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
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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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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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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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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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2004Regression Asymptotics Using Martingale Convergence Methods.(2004) In: Cowles Foundation Discussion Papers.
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2016WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS In: Econometric Theory.
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2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
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2015Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† In: Journal of Financial Econometrics.
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2016Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea.(2016) In: Working papers.
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2025Policy Evaluation with Nonlinear Trended Outcomes: Covid‐19 Vaccination Rates in the United States In: Journal of Applied Econometrics.
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2015We provide mathematical proofs for the results in Testing Linearity Using Power Transforms of Regressors In: Working papers.
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2016Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡± In: Working papers.
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2016Online Supplement to Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices In: Working papers.
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