Peter C. B. Phillips : Citation Profile

Are you Peter C. B. Phillips?

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

63

H index

200

i10 index

25998

Citations

RESEARCH PRODUCTION:

304

Articles

451

Papers

5

Chapters

RESEARCH ACTIVITY:

   56 years (1968 - 2024). See details.
   Cites by year: 464
   Journals where Peter C. B. Phillips has often published
   Relations with other researchers
   Recent citing documents: 1443.    Total self citations: 396 (1.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pph8
   Updated: 2024-12-03    RAS profile: 2024-07-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Shi, Shuping (11)

Yu, Jun (11)

Su, Liangjun (10)

Shi, Zhentao (5)

Cho, Jin Seo (5)

Tao, Yubo (3)

Jin, Sainan (3)

Rossi, Francesca (3)

Greenaway-McGrevy, Ryan (3)

Kyriacou, Maria (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 (263)

Gil-Alana, Luis (246)

Shahbaz, Muhammad (202)

GUPTA, RANGAN (197)

Westerlund, Joakim (194)

Taylor, Robert (183)

Yu, Jun (166)

Pesaran, Mohammad (163)

Balcilar, Mehmet (135)

LINTON, OLIVER (132)

Caporale, Guglielmo Maria (127)

Cites to:

Park, Joon (166)

Yu, Jun (81)

Andrews, Donald (70)

Hansen, Bruce (60)

Stock, James (58)

Campbell, John (57)

Ploberger, Werner (55)

Sims, Christopher (48)

Su, Liangjun (47)

Shiller, Robert (44)

Newey, Whitney (43)

Main data

Where Peter C. B. Phillips has published?

Journals with more than one article published# docs
Journal of Econometrics82
Econometric Theory61
Econometrica38
Econometric Reviews9
Journal of Time Series Analysis7
Economics Letters7
Econometrics Journal7
Journal of Applied Econometrics6
Oxford Bulletin of Economics and Statistics6
New Zealand Economic Papers5
International Economic Review5
International Economic Review5
The Review of Economic Studies5
Journal of Economic Surveys4
Journal of Business & Economic Statistics4
Journal of Business & Economic Statistics4
Empirical Economics4
Journal of Multivariate Analysis4
Journal of Financial Econometrics3
Econometrics Journal3
Econometrics3
Journal of Applied Econometrics3
Journal of Empirical Finance2
Managerial Auditing Journal2
The Economic Record2
The Review of Financial Studies2
Econometrica2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University340
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
Yale School of Management Working Papers / Yale School of Management6
Papers / arXiv.org6
Economics and Statistics Working Papers / Singapore Management University, School of Economics6
Finance Working Papers / East Asian Bureau of Economic Research4
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
Development Economics Working Papers / East Asian Bureau of Economic Research2
Working Papers / Hong Kong Institute for Monetary Research2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
NCER Working Paper Series / National Centre for Econometric Research2
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2
Discussion Paper Series / Institute of Economic Research, Korea University2

Recent works citing Peter C. B. Phillips (2024 and 2023)

YearTitle of citing document
2024Does Bubble Still Exist after COVID-19? Evidence from Hong Kong Housing Market. (2024). , Edward. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:27-46.

Full description at Econpapers || Download paper

2023Identity, Communication, and Conflict: An Experiment. (2023). Bhaumik, Sumon ; Fromell, Hanna ; Dimova, Ralitza ; Chowdhury, Subhasish M. In: Economics Working Papers. RePEc:aah:aarhec:2023-02.

Full description at Econpapers || Download paper

2023Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-03.

Full description at Econpapers || Download paper

2023Trend Breaks and the Persistence of Closed-End Fund Discounts. (2023). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-08.

Full description at Econpapers || Download paper

2023Evolution of Fiscal Decentralisation in OECD Countries: A Club Convergence Analysis. (2023). Presno, Maria J ; Delgado, Francisco J. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:25:y:2023:i:63:p:558.

Full description at Econpapers || Download paper

2023Natural Resource Endowments and Growth Dynamics in Africa: Evidence from Panel Cointegrating Regression. (2023). Gbagidi, Judith ; Williams, Tolulope O ; Maku, Olukayode E ; Adekunle, Ibrahim A ; Ajike, Emmanuel O. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:23/015.

Full description at Econpapers || Download paper

2023The effects of geopolitical risks on tourism revenues of the Middle East and Asian countries. (2023). Kovacs, Peter ; Gocer, Ismet. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(634):y:2023:i:1(634):p:77-90.

Full description at Econpapers || Download paper

2023An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19. (2023). Kumar, Anoop S ; Rao, Balaga Mohana ; Anandarao, Suvvari. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:231-238.

Full description at Econpapers || Download paper

2023Financial contagion and identifying speculative frenzies: Unraveling price bubbles in cryptocurrency markets. (2023). Ionescu, Tefan-Andrei ; Crciunescu, Simona-Liliana ; Nica, Ionu ; Delcea, Camelia ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:21-40.

Full description at Econpapers || Download paper

2023Factors Influencing the Prices of Rice, Maize and Wheat Prices in Nigeria. (2023). Obayelu, Abiodun Elijah ; Verter, Nahanga ; Ogunmola, Omotoso Oluseye. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:334664.

Full description at Econpapers || Download paper

2023Does Domestic Food Production Contribute to Improved Life Expectancy? Evidence from Low-Income Food-Deficit Countries (LIFDCS In Africa. (2023). Nzeh, Innocent Chile. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330864.

Full description at Econpapers || Download paper

2023Interrelationships between Tourist Arrivals, Exchange Rate, Inflation, and Economic Growth: Empirical Evidence for Turkiye. (2023). Akarsu, Gulsum. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:49-76.

Full description at Econpapers || Download paper

2023Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237.

Full description at Econpapers || Download paper

2023Rational Bubbles: Too Many to be True?. (2023). Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:240.

Full description at Econpapers || Download paper

2023Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

Full description at Econpapers || Download paper

2023A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

Full description at Econpapers || Download paper

2023The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A. In: Papers. RePEc:arx:papers:2002.08092.

Full description at Econpapers || Download paper

2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

Full description at Econpapers || Download paper

2023Modeling Long Cycles. (2020). Marmer, Vadim ; Kang, Natasha. In: Papers. RePEc:arx:papers:2010.13877.

Full description at Econpapers || Download paper

2024Conditional quantile estimators: A small sample theory. (2020). Gafarov, Bulat ; Franguridi, Grigory ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:2011.03073.

Full description at Econpapers || Download paper

2023A Semi-Parametric Bayesian Generalized Least Squares Estimator. (2020). Weeks, Melvyn ; Wu, Ruochen. In: Papers. RePEc:arx:papers:2011.10252.

Full description at Econpapers || Download paper

2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

Full description at Econpapers || Download paper

2024Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

Full description at Econpapers || Download paper

2024Theory 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.

Full description at Econpapers || Download paper

2024Theory 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.

Full description at Econpapers || Download paper

2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

Full description at Econpapers || Download paper

2024Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2021). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

Full description at Econpapers || Download paper

2023Bitcoin 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.

Full description at Econpapers || Download paper

2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2024The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2111.14590.

Full description at Econpapers || Download paper

2024Efficiently 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.

Full description at Econpapers || Download paper

2023A 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.

Full description at Econpapers || Download paper

2023Regression 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

Full description at Econpapers || Download paper

2023Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073.

Full description at Econpapers || Download paper

2024Finitely Heterogeneous Treatment Effect in Event-study. (2022). Shin, Myungkou. In: Papers. RePEc:arx:papers:2204.02346.

Full description at Econpapers || Download paper

2023Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity. (2022). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:2205.11953.

Full description at Econpapers || Download paper

2023Inference for Matched Tuples and Fully Blocked Factorial Designs. (2022). Tabord-Meehan, Max ; Liu, Jizhou ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2206.04157.

Full description at Econpapers || Download paper

2023Detecting Grouped Local Average Treatment Effects and Selecting True Instruments. (2022). Langen, Henrika ; Huber, Martin ; Groh, Rebecca ; Farbmacher, Helmut ; Apfel, Nicolas. In: Papers. RePEc:arx:papers:2207.04481.

Full description at Econpapers || Download paper

2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

2023A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

Full description at Econpapers || Download paper

2023A Ridge-Regularised Jackknifed Anderson-Rubin Test. (2022). Mavroeidis, Sophocles ; Kock, Anders Bredahl ; Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2209.03259.

Full description at Econpapers || Download paper

2023Fast Inference for Quantile Regression with Tens of Millions of Observations. (2022). Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae. In: Papers. RePEc:arx:papers:2209.14502.

Full description at Econpapers || Download paper

2024The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

Full description at Econpapers || Download paper

2023Testing the Number of Components in Finite Mixture Normal Regression Model with Panel Data. (2022). Kasahara, Hiroyuki ; Hao, YU. In: Papers. RePEc:arx:papers:2210.02824.

Full description at Econpapers || Download paper

2024Unit Averaging for Heterogeneous Panels. (2022). Morozov, Vladislav ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2210.14205.

Full description at Econpapers || Download paper

2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

Full description at Econpapers || Download paper

2024Inference in Cluster Randomized Trials with Matched Pairs. (2022). Tabord-Meehan, Max ; Shaikh, Azeem M ; Liu, Jizhou ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2211.14903.

Full description at Econpapers || Download paper

2023Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714.

Full description at Econpapers || Download paper

2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

Full description at Econpapers || Download paper

2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

Full description at Econpapers || Download paper

2023Climate change heterogeneity: A new quantitative approach. (2023). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Papers. RePEc:arx:papers:2301.02648.

Full description at Econpapers || Download paper

2023Testing for the appropriate level of clustering in linear regression models. (2023). Nielsen, Morten ; Webb, Matthew D ; MacKinnon, James G. In: Papers. RePEc:arx:papers:2301.04522.

Full description at Econpapers || Download paper

2023Testing for Coefficient Randomness in Local-to-Unity Autoregressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2301.04853.

Full description at Econpapers || Download paper

2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631.

Full description at Econpapers || Download paper

2023An MCMC Approach to Classical Estimation. (2023). Chernozhukov, Victor ; Hong, Han. In: Papers. RePEc:arx:papers:2301.07782.

Full description at Econpapers || Download paper

2023Approximate Functional Differencing. (2023). Weidner, Martin ; Dhaene, Geert. In: Papers. RePEc:arx:papers:2301.13736.

Full description at Econpapers || Download paper

2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

Full description at Econpapers || Download paper

2023Testing for Structural Change under Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.02370.

Full description at Econpapers || Download paper

2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866.

Full description at Econpapers || Download paper

2024High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

Full description at Econpapers || Download paper

2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

Full description at Econpapers || Download paper

2023Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?. (2023). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2302.08897.

Full description at Econpapers || Download paper

2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

Full description at Econpapers || Download paper

2023A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396.

Full description at Econpapers || Download paper

2024Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

Full description at Econpapers || Download paper

2023Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure. (2023). Li, Runze ; Chen, Jia ; Yang, Xiao Rong. In: Papers. RePEc:arx:papers:2303.13218.

Full description at Econpapers || Download paper

2023Why Topological Data Analysis Detects Financial Bubbles?. (2023). Nateghi, Vahid ; Manzi, Matteo ; Gidea, Marian ; Akingbade, Samuel W. In: Papers. RePEc:arx:papers:2304.06877.

Full description at Econpapers || Download paper

2024Adjustment with Many Regressors Under Covariate-Adaptive Randomizations. (2023). Zhang, Yichong ; Miao, KE ; Li, Liyao ; Jiang, Liang. In: Papers. RePEc:arx:papers:2304.08184.

Full description at Econpapers || Download paper

2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

Full description at Econpapers || Download paper

2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

Full description at Econpapers || Download paper

2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

Full description at Econpapers || Download paper

2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

Full description at Econpapers || Download paper

2023Improving the accuracy of bubble date estimators under time-varying volatility. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2306.02977.

Full description at Econpapers || Download paper

2023Uniform Inference for Cointegrated Vector Autoregressive Processes. (2023). Ditlevsen, Susanne ; Holberg, Christian. In: Papers. RePEc:arx:papers:2306.03632.

Full description at Econpapers || Download paper

2024Heterogeneous Autoregressions in Short T Panel Data Models. (2023). Yang, Liying ; Pesaran, Hashem M. In: Papers. RePEc:arx:papers:2306.05299.

Full description at Econpapers || Download paper

2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

Full description at Econpapers || Download paper

2023The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137.

Full description at Econpapers || Download paper

2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

Full description at Econpapers || Download paper

2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

Full description at Econpapers || Download paper

2024On the Efficiency of Finely Stratified Experiments. (2023). Shaikh, Azeem ; Tabord-Meehan, Max ; Liu, Jizhou ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2307.15181.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

Full description at Econpapers || Download paper

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2024Weak Identification with Many Instruments. (2023). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

Full description at Econpapers || Download paper

2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

Full description at Econpapers || Download paper

2023SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Song, Myunghyun ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2308.13564.

Full description at Econpapers || Download paper

2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

Full description at Econpapers || Download paper

2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

Full description at Econpapers || Download paper

2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

Full description at Econpapers || Download paper

2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper2
2017Edmond Malinvaud - an Economists Econometrician In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2000THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS In: CATRN Papers.
[Full Text][Citation analysis]		paper4
2020Boosting: Why You Can Use the HP Filter In: Papers.
[Full Text][Citation analysis]		paper38
2019Boosting: Why you Can Use the HP Filter.(2019) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2021BOOSTING: WHY YOU CAN USE THE HP FILTER.(2021) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2021Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs In: Papers.
[Full Text][Citation analysis]		paper5
2020Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2020) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2024Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2024) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2022Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations In: Papers.
[Full Text][Citation analysis]		paper5
2021Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations.(2021) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2023Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems In: Papers.
[Full Text][Citation analysis]		paper3
2023Fully modified least squares cointegrating parameter estimation in multicointegrated systems.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2024The boosted HP filter is more general than you might think In: Papers.
[Full Text][Citation analysis]		paper3
2022The boosted HP filter is more general than you might think.(2022) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2023Panel Data Models with Time-Varying Latent Group Structures In: Papers.
[Full Text][Citation analysis]		paper1
2023Panel Data Models with Time-Varying Latent Group Structures.(2023) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2024Panel data models with time-varying latent group structures.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1992Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers.
[Citation analysis]		paper172
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 172		article
2003Prewhitening Bias in HAC Estimation In: Working Papers.
[Full Text][Citation analysis]		paper158
2005Prewhitening Bias in HAC Estimation.(2005) In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2003Prewhitening Bias in HAC Estimation.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		paper
2004Prewhitening Bias in HAC Estimation.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		paper
1999Discrete Fourier Transforms of Fractional Processes August In: Working Papers.
[Full Text][Citation analysis]		paper25
2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
[Full Text][Citation analysis]		paper0
2003Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence In: Working Papers.
[Full Text][Citation analysis]		paper151
2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 151		paper
2007Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 151		article
2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 151		paper
2000Forecasting New Zealands Real GDP In: Working Papers.
[Full Text][Citation analysis]		paper3
2000Forecasting New Zealands Real GDP.(2000) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2000Forecasting New Zealands real GDP.(2000) In: New Zealand Economic Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2002Jacknifing Bond Option Prices In: Working Papers.
[Full Text][Citation analysis]		paper57
2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2005Jackknifing Bond Option Prices.(2005) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		article
2002Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence In: Working Papers.
[Full Text][Citation analysis]		paper24
1998New Unit Root Asymptotics in the Presence of Deterministic Trends In: Working Papers.
[Full Text][Citation analysis]		paper4
1998New Unit Root Asymptotics in the Presence of Deterministic Trends.(1998) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2002New unit root asymptotics in the presence of deterministic trends.(2002) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2003The Elusive Empirical Shadow of Growth Convergence In: Working Papers.
[Full Text][Citation analysis]		paper31
2003The Elusive Empirical Shadow of Growth Convergence.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2004The Elusive Empirical Shadow of Growth Convergence.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres In: Working Papers.
[Full Text][Citation analysis]		paper49
2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres.(2015) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2016Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres.(2016) In: New Zealand Economic Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2010Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article36
2005Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity.(2005) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article20
2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2005Econometric Analysis of Fishers Equation In: American Journal of Economics and Sociology.
[Full Text][Citation analysis]		article25
1998Econometric Analysis of Fishers Equation.(1998) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2023Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer In: Australian Economic Review.
[Full Text][Citation analysis]		article0
2016Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
[Full Text][Citation analysis]		article0
1988Reflections on Econometric Methodology. In: The Economic Record.
[Citation analysis]		article37
1988Reflections on Econometric Methodology In: The Economic Record.
[Full Text][Citation analysis]		article38
1988Reflections on Econometric Methodology.(1988) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
1998A Primer on Unit Root Testing In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article112
1998A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
1998 A Primer on Unit Root Testing. In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article104
2023Diagnosing housing fever with an econometric thermometer In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article2
2020Diagnosing Housing Fever with an Econometric Thermometer.(2020) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Diagnosing housing fever with an econometric thermometer.(2020) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1994 Reflections on the Day. In: Journal of Economic Surveys.
[Citation analysis]		article1
2002Pooled Log Periodogram Regression In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article29
2000Pooled Log Periodogram Regression.(2000) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2004Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2002Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra.(2002) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2006Uniform Limit Theory for Stationary Autoregression In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article51
2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
Uniform limit theory for stationary autoregression.() In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2006Inference in Autoregression under Heteroskedasticity In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article35
2014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
2013Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions.(2013) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Boundary Limit Theory for Functional Local to Unity Regression In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2017Boundary Limit Theory for Functional Local to Unity Regression.(2017) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article103
2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 103		paper
2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 103		paper
1992LM Tests for a Unit Root in the Presence of Deterministic Trends. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article445
1999 Maximum Likelihood Estimation in Panels with Incidental Trends. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article19
2003An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article79
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		paper
2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		paper
2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 79		paper
2019Detecting Financial Collapse and Ballooning Sovereign Risk In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article34
2017Detecting Financial Collapse and Ballooning Sovereign Risk.(2017) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2017Labeling Demands, Coexistence and the Challenges for Trade In: Journal of Agricultural & Food Industrial Organization.
[Full Text][Citation analysis]		article1
1999Maximum Likelihood Estimation in Panels with Incidental Trends In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper22
1999Maximum Likelihood Estimation in Panels with Incidental Trends.(1999) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
1999Estimation of Autoregressive Roots near Unity using Panel Data In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper44
2000ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA.(2000) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		article
1999Estimation of Autoregressive Roots Near Unity Using Panel Data.(1999) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
1999How to Estimate Autoregressive Roots Near Unity In: University of California at Santa Barbara, Economics Working Paper Series.
[Full Text][Citation analysis]		paper26
2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY.(2001) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
1998How to Estimate Autoregressive Roots Near Unity.(1998) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
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.
[Full Text][Citation analysis]		paper11
2003Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2004Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper29
2006SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION.(2006) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
1985A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article1
2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
[Full Text][Citation analysis]		paper6
2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2013Nonparametric Predictive Regression In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper32
2012Nonparametric Predictive Regression.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2015Nonparametric predictive regression.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
2012Nonparametric Predictive Regression.(2012) In: University of Cyprus Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
1994Bayes Methods and Unit Roots In: Econometric Theory.
[Full Text][Citation analysis]		article1
1994Posterior Odds Testing for a Unit Root with Data-Based Model Selection In: Econometric Theory.
[Full Text][Citation analysis]		article50
1992Posterior Odds Testing for a Unit Root with Data-Based Model Selection.(1992) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1995Time Series Regression with Mixtures of Integrated Processes In: Econometric Theory.
[Full Text][Citation analysis]		article10
1995Efficient IV Estimation in Nonstationary Regression In: Econometric Theory.
[Full Text][Citation analysis]		article10
1995Trending Multiple Time Series: Editors Introduction In: Econometric Theory.
[Full Text][Citation analysis]		article0
1995Robust Nonstationary Regression In: Econometric Theory.
[Full Text][Citation analysis]		article28
1993Robust Nonstationary Regression.(1993) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article155
1998Asymptotics for Nonlinear Transformations of Integrated Time Series.(1998) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		paper
1999EFFICIENT DETRENDING IN COINTEGRATING REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article17
2003IN MEMORY OF JOHN DENIS SARGAN In: Econometric Theory.
[Full Text][Citation analysis]		article0
2003VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN In: Econometric Theory.
[Full Text][Citation analysis]		article2
2003Vision and Influence in Econometrics: John Denis Sargan.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
200302.3.1. Regression with an Evaporating Logarithmic Trend— Solution In: Econometric Theory.
[Full Text][Citation analysis]		article1
2003THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE In: Econometric Theory.
[Full Text][Citation analysis]		article0
2004EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER In: Econometric Theory.
[Full Text][Citation analysis]		article7
2005HAC ESTIMATION BY AUTOMATED REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article58
2004HAC Estimation by Automated Regression.(2004) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2005AUTOMATED DISCOVERY IN ECONOMETRICS In: Econometric Theory.
[Full Text][Citation analysis]		article15
2004Automated Discovery in Econometrics.(2004) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2006A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION In: Econometric Theory.
[Full Text][Citation analysis]		article10
2005A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation.(2005) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2006ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER In: Econometric Theory.
[Full Text][Citation analysis]		article11
2007REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS In: Econometric Theory.
[Full Text][Citation analysis]		article23
2007LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES In: Econometric Theory.
[Full Text][Citation analysis]		article7
2007Long Run Covariance Matrices for Fractionally Integrated Processes.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2008GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT In: Econometric Theory.
[Full Text][Citation analysis]		article10
2006Gaussian Inference in AR(1) Time Series with or without a Unit Root.(2006) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2008LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS In: Econometric Theory.
[Full Text][Citation analysis]		article11
2007Limit Theory for Explosively Cointegrated Systems.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2008REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS In: Econometric Theory.
[Full Text][Citation analysis]		article22
2004Regression Asymptotics Using Martingale Convergence Methods.(2004) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2008Regression asymptotics using martingale convergence methods..(2008) In: Scholarly Articles.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2009LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS In: Econometric Theory.
[Full Text][Citation analysis]		article42
2009ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article59
2006Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression.(2006) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2009EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY In: Econometric Theory.
[Full Text][Citation analysis]		article2
2007Exact Distribution Theory in Structural Estimation with an Identity.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2009LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article9
2008Local Limit Theory and Spurious Nonparametric Regression.(2008) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2009UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST In: Econometric Theory.
[Full Text][Citation analysis]		article26
2008Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past.(2008) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2010GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY In: Econometric Theory.
[Full Text][Citation analysis]		article120
2007GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity.(2007) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		paper
2010LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES In: Econometric Theory.
[Full Text][Citation analysis]		article2
2009LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities.(2009) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2009LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities.(2009) In: Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS In: Econometric Theory.
[Full Text][Citation analysis]		article20
2011UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article6
2010Uniform Asymptotic Normality in Stationary and Unit Root Autoregression.(2010) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2011POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS In: Econometric Theory.
[Full Text][Citation analysis]		article11
2010Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels.(2010) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2012NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION In: Econometric Theory.
[Full Text][Citation analysis]		article9
2010Nonlinear Cointegrating Regression under Weak Identification.(2010) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2013INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS In: Econometric Theory.
[Full Text][Citation analysis]		article6
2011Inconsistent VAR Regression with Common Explosive Roots.(2011) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2014SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2014X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION In: Econometric Theory.
[Full Text][Citation analysis]		article30
2010X-Differencing and Dynamic Panel Model Estimation.(2010) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2014UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY In: Econometric Theory.
[Full Text][Citation analysis]		article0
2013Unit Roots in Life -- A Graduate Student Story.(2013) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article31
2012Automated Estimation of Vector Error Correction Models.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2016NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY In: Econometric Theory.
[Full Text][Citation analysis]		article11
2016UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article5
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression.(2013) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression.(2013) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2016WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS In: Econometric Theory.
[Full Text][Citation analysis]		article6
2014Weak Convergence to Stochastic Integrals for Econometric Applications.(2014) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY In: Econometric Theory.
[Full Text][Citation analysis]		article3
2018FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article72
2018IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2021LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2017Latent Variable Nonparametric Cointegrating Regression.(2017) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY In: Econometric Theory.
[Full Text][Citation analysis]		article5
2019Nonlinear Cointegrating Power Function Regression with Endogeneity.(2019) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2022ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION In: Econometric Theory.
[Full Text][Citation analysis]		article11
2019Robust Tests for White Noise and Cross-Correlation.(2019) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2020Robust Tests for White Noise and Cross-Correlation.(2020) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2020Robust Tests for White Noise and Cross-Correlation.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2023CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article1
2019Continuously Updated Indirect Inference in Heteroskedastic Spatial Models.(2019) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Continuously Updated Indirect Inference in Heteroskedastic Spatial Models.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS In: Econometric Theory.
[Full Text][Citation analysis]		article2
2021Estimation and Inference with Near Unit Roots.(2021) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2021Limit Theory for Locally Flat Functional Coefficient Regression.(2021) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article0
1987Asymptotic Expansions in Nonstationary Vector Autoregressions In: Econometric Theory.
[Full Text][Citation analysis]		article8
1985Asymptotic Expansions in Nonstationary Vector Autoregressions.(1985) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1988Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 In: Econometric Theory.
[Full Text][Citation analysis]		article8
1988Statistical Inference in Regressions with Integrated Processes: Part 1 In: Econometric Theory.
[Full Text][Citation analysis]		article179
1987Statistical Inference in Regressions with Integrated Processes: Part 1.(1987) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		paper
1988Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations In: Econometric Theory.
[Full Text][Citation analysis]		article29
1987Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations.(1987) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
1989Statistical Inference in Regressions with Integrated Processes: Part 2 In: Econometric Theory.
[Full Text][Citation analysis]		article160
1987Statistical Inference in Regressions with Integrated Processes: Part 2.(1987) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 160		paper
1989Partially Identified Econometric Models In: Econometric Theory.
[Full Text][Citation analysis]		article129
1988Partially Identified Econometric Models.(1988) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 129		paper
1990Time Series Regression With a Unit Root and Infinite-Variance Errors In: Econometric Theory.
[Full Text][Citation analysis]		article35
1989Time Series Regression with a Unit Root and Infinite Variance Errors.(1989) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
1991A Shortcut to LAD Estimator Asymptotics In: Econometric Theory.
[Full Text][Citation analysis]		article40
1990A Shortcut to LAD Estimator Asymptotics.(1990) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
In: .
[Full Text][Citation analysis]		article0
1991The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1991Vector Autoregression and Causality: A Theoretical Overview and Simulation Study In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper15
1991A Bayesian Analysis of Trend Determination in Economic Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1991Unidentified Components in Reduced Rank Regression Estimation of ECMs In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1992Bayesian Model Selection and Prediction with Empirical Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper14
1995Bayesian model selection and prediction with empirical applications.(1995) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
1992Bayes Models and Forecasts of Australian Macroeconomic Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1992Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1992Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1992Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper68
1994Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models..(1994) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		article
1992Hyper-Consistent Estimation of a Unit Root in Time Series Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1993Fully Modified Least Squares and Vector Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper236
1995Fully Modified Least Squares and Vector Autoregression..(1995) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 236		article
1996Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984 In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper18
1997Forward exchange market unbiasedness: the case of the Australian dollar since 1984.(1997) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
1994Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper21
1996Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s..(1996) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
1994Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
1994Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper39
1997Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
1994Model Determination and Macroeconomic Activity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1995Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper176
1998Impulse response and forecast error variance asymptotics in nonstationary VARs.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 176		article
1995Automated Forecasts of Asia-Pacific Economic Activity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
1995Unit Root Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper10
1996Efficiency Gains from Quasi-Differencing Under Nonstationarity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
1996Spurious Regression Unmasked In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
1996Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1997Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper51
1999Model selection in partially nonstationary vector autoregressive processes with reduced rank structure.(1999) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
1997An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper19
1998An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has nother version. Agregated cites: 19		article
1997Regressions for Partially Identified, Cointegrated Simultaneous Equations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1997Band Spectral Regression with Trending Data In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper65
2002Band Spectral Regression with Trending Data.(2002) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 65		article
1997Band Spectral Regression with Trending Data..(1997) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 65		paper
1998Nonstationary Density Estimation and Kernel Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper45
1998Nonlinear Regressions with Integrated Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper195
2001Nonlinear Regressions with Integrated Time Series..(2001) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 195		article
1998Higher Order Approximations for Wald Statistics in Cointegrating Regressions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1998Rissanens Theorem and Econometric Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
1998Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
2002Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables.(2002) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
1999Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2001Descriptive econometrics for non-stationary time series with empirical illustrations.(2001) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
1999Empirical Limits for Time Series Econometric Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper20
2003Empirical Limits for Time Series Econometric Models.(2003) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 20		article
1999Nonstationary Panel Data Analysis: An Overview of Some Recent Developments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper192
2000Nonstationary panel data analysis: an overview of some recent developments.(2000) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 192		article
1999Linear Regression Limit Theory for Nonstationary Panel Data In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper846
1999Linear Regression Limit Theory for Nonstationary Panel Data.(1999) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 846		article
1999Nonstationary Binary Choice In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper63
2000Nonstationary Binary Choice.(2000) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 63		article
1999Discrete Fourier Transforms of Fractional Processes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper61
1999Unit Root Log Periodogram Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper81
2007Unit root log periodogram regression.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
1999Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper76
2001Nonlinear econometric models with cointegrated and deterministically trending regressors.(2001) In: Econometrics Journal.
[Citation analysis]
This paper has nother version. Agregated cites: 76		article
2000Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper42
2001Trending time series and macroeconomic activity: Some present and future challenges.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
2000Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2003Local Whittle Estimation in Nonstationary and Unit Root Cases In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper30
2000GMM Estimation of Autoregressive Roots Near Unity with Panel Data In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper33
2003GMM Estimation of Autoregressive Roots Near Unity with Panel Data.(2003) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2004GMM Estimation of Autoregressive Roots Near Unity with Panel Data.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2000Structural Change in Tail Behavior and the Asian Financial Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2001Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2001Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper23
2001Regression with Slowly Varying Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2001Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2001A CUSUM Test for Cointegration Using Regression Residuals In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper44
2002A CUSUM test for cointegration using regression residuals.(2002) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		article
2001Bootstrapping Spurious Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
2001Nonlinear Instrumental Variable Estimation of an Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper27
2004Nonlinear instrumental variable estimation of an autoregression.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2001Fully Nonparametric Estimation of Scalar Diffusion Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper102
2003Fully Nonparametric Estimation of Scalar Diffusion Models.(2003) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 102		article
2002Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper32
2002Efficient Regression in Time Series Partial Linear Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2002Nonstationary Discrete Choice In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper57
2004Nonstationary discrete choice.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		article
2002Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2002Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper58
2003Nonlinear log-periodogram regression for perturbed fractional processes.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		article
2004Exact Local Whittle Estimation of Fractional Integration In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper33
2002Exact Local Whittle Estimation of Fractional Integration.(2002) In: Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2002The KPSS Test with Seasonal Dummies In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper12
2002The KPSS test with seasonal dummies.(2002) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2003Fractional Brownian Motion as a Differentiable Generalized Gaussian Process In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2003Laws and Limits of Econometrics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper24
2003Laws and Limits of Econometrics.(2003) In: Economic Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2003Incidental Trends and the Power of Panel Unit Root Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper78
2007Incidental trends and the power of panel unit root tests.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		article
2005Incidental Trends and the Power of Panel Unit Root Tests.(2005) In: IEPR Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2004Incidental Trends and the Power of Panel Unit Root Tests.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2003Long Run Variance Estimation Using Steep Origin Kernels without Truncation In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2004Long Run Variance Estimation Using Steep Origin Kernels Without Truncation.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2004Limit Theory for Moderate Deviations from a Unit Root In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper193
2007Limit theory for moderate deviations from a unit root.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 193		article
2004Challenges of Trending Time Series Econometrics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper28
2005Challenges of trending time series econometrics.(2005) In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2004Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2005Expansions for approximate maximum likelihood estimators of the fractional difference parameter.(2005) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2005Improved HAR Inference In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2005Economic Transition and Growth In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper493
2009Economic transition and growth.(2009) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 493		article
2009Economic transition and growth.(2009) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 493		article
2005GMM with Many Moment Conditions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper78
2006GMM with Many Moment Conditions.(2006) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		article
2004GMM with Many Moment Conditions.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2005Nonstationary Discrete Choice: A Corrigendum and Addendum In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2007Nonstationary discrete choice: A corrigendum and addendum.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2005Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2005A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper27
2007A simple approach to the parametric estimation of potentially nonstationary diffusions.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2005A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2005A New Approach to Robust Inference in Cointegration In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2006A new approach to robust inference in cointegration.(2006) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2006Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper118
2008Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing.(2008) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		article
2006Optimal Estimation of Cointegrated Systems with Irrelevant Instruments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper15
2014Optimal estimation of cointegrated systems with irrelevant instruments.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2006Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2006Refined Inference on Long Memory in Realized Volatility In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper23
2008Refined Inference on Long Memory in Realized Volatility.(2008) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper76
2006Indirect Inference for Dynamic Panel Models.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		article
2006Adaptive Estimation of Autoregressive Models with Time-Varying Variances In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper57
2006Adaptive Estimation of Autoregressive Models with Time-Varying Variances.(2006) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2008Adaptive estimation of autoregressive models with time-varying variances.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		article
2006A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2008A complete asymptotic series for the autocovariance function of a long memory process.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2006Log Periodogram Regression: The Nonstationary Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper28
2007Transition Modeling and Econometric Convergence Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper609
2007Transition Modeling and Econometric Convergence Tests.(2007) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 609		article
2007Simulation-based Estimation of Contingent-claims Prices In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper19
2008Simulation-based Estimation of Contingent-claims Prices.(2008) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2009Simulation-Based Estimation of Contingent-Claims Prices.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2007Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2006Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.(2006) In: Development Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2010Tilted Nonparametric Estimation of Volatility Functions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Unit Root Model Selection In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2008Long Memory and Long Run Variation In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2009Long memory and long run variation.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2008Structural Nonparametric Cointegrating Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper61
2009Structural Nonparametric Cointegrating Regression.(2009) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		article
2008Semiparametric Cointegrating Rank Selection In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper15
2009Semiparametric cointegrating rank selection.(2009) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2008Smoothing Local-to-Moderate Unit Root Theory In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper14
2010Smoothing local-to-moderate unit root theory.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2008Optimal Bandwidth Choice for Interval Estimation in GMM Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2009Cointegrating Rank Selection in Models with Time-Varying Variance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
2012Cointegrating rank selection in models with time-varying variance.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2009Bootstrapping I(1) Data In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2010Bootstrapping I(1) data.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2009Mean and Autocovariance Function Estimation Near the Boundary of Stationarity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2012Mean and autocovariance function estimation near the boundary of stationarity.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper567
2007Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 567		paper
2011EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?.(2011) In: International Economic Review.
[Citation analysis]
This paper has nother version. Agregated cites: 567		article
2009Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 567		paper
2009Dynamic Misspecification in Nonparametric Cointegrating Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper12
2012Dynamic misspecification in nonparametric cointegrating regression.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2009Dynamic Misspecification in Nonparametric Cointegrating Regression.(2009) In: University of Cyprus Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2009Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2009A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Optimal Estimation under Nonstandard Conditions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2012Optimal estimation under nonstandard conditions.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2010Two New Zealand Pioneer Econometricians In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2010Two New Zealand pioneer econometricians.(2010) In: New Zealand Economic Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2010Semiparametric Estimation in Time Series of Simultaneous Equations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2010Dating the Timeline of Financial Bubbles during the Subprime Crisis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper326
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 326		paper
2011Dating the timeline of financial bubbles during the subprime crisis.(2011) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 326		article
2009Dating the Timeline of Financial Bubbles During the Subprime Crisis.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 326		paper
2010The Mysteries of Trend In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2011Bias in Estimating Multivariate and Univariate Diffusions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
2011Bias in estimating multivariate and univariate diffusions.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2011Specification Testing for Nonlinear Cointegrating Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2011First Difference MLE and Dynamic Panel Estimation In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2011Folklore Theorems, Implicit Maps and New Unit Root Limit Theory In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2011Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2011Meritocracy Voting: Measuring the Unmeasurable In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2016Meritocracy Voting: Measuring the Unmeasurable.(2016) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2012Testing for Multiple Bubbles In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper124
2011Testing for Multiple Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		paper
2012Testing for Multiple Bubbles.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		paper
2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2011Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012VARs with Mixed Roots Near Unity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2012Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2012Non-linearity Induced Weak Instrumentation In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Nonlinearity Induced Weak Instrumentation.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2012Non-linearity Induced Weak Instrumentation.(2012) In: University of Cyprus Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2012On Confidence Intervals for Autoregressive Roots and Predictive Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper45
2014On Confidence Intervals for Autoregressive Roots and Predictive Regression.(2014) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2013Estimating Smooth Structural Change in Cointegration Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper38
2017Estimating smooth structural change in cointegration models.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2013Estimating Smooth Structural Change in Cointegration Models.(2013) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2013Functional Coefficient Nonstationary Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper10
2013Testing the Martingale Hypothesis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2014Testing the Martingale Hypothesis.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper241
2013Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 241		paper
2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500.(2015) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 241		article
2013Testing for Multiple Bubbles: Limit Theory of Real Time Detectors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2013Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013Testing Linearity Using Power Transforms of Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
2015Testing linearity using power transforms of regressors.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2015Testing Linearity Using Power Transforms of Regressors.(2015) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2013Model Selection in the Presence of Incidental Parameters In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
2015Model selection in the presence of incidental parameters.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2013Model Selection in the Presence of Incidental Parameters.(2013) In: Center for Policy Research Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2014Dynamic Panel GMM with Near Unity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2014True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2015The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2014A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2017A multivariate stochastic unit root model with an application to derivative pricing.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2014Identifying Latent Structures in Panel Data In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper133
2014Identifying Latent Structures in Panel Data.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		paper
2016Identifying Latent Structures in Panel Data.(2016) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		article
2014Threshold Regression with Endogeneity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper26
2018Threshold regression with endogeneity.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2014Financial Bubble Implosion In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
1968Restricted Likelihood Ratio Tests in Predictive Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2014A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1970Testing Equality of Covariance Matrices via Pythagorean Means In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Edmond Malinvaud: A Tribute to His Contributions in Econometrics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2015Edmond Malinvaud: a tribute to his contributions in econometrics.(2015) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2015Pitfalls and Possibilities in Predictive Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper29
2015Business Cycles, Trend Elimination, and the HP Filter In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper44
2021BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER.(2021) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		article
2015Testing Mean Stability of Heteroskedastic Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2015Testing Mean Stability of Heteroskedastic Time Series.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2015Minimum Distance Testing and Top Income Shares in Korea In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Inference in Near Singular Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2016Inference in Near-Singular Regression.(2016) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		chapter
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper11
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2016Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper8
2018Sequentially testing polynomial model hypotheses using power transforms of regressors.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2016Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors.(2016) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2016IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Structural Inference from Reduced Forms with Many Instruments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2017Structural inference from reduced forms with many instruments.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2016Homogeneity Pursuit in Panel Data Models: Theory and Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper31
2018Homogeneity pursuit in panel data models: Theory and application.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2017Uniform Inference in Panel Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2019Uniform Inference in Panel Autoregression.(2019) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2017Weak s- Convergence: Theory and Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2016Tribute to T. W. Anderson In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2017John Denis Sargan at the London School of Economics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2017Econometric Measurement of Earths Transient Climate Sensitivity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2017Econometric Measurement of Earths Transient Climate Sensitivity.(2017) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2017Point Optimal Testing with Roots That Are Functionally Local to Unity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
2020Point optimal testing with roots that are functionally local to unity.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2017Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2020Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2017Hybrid Stochastic Local Unit Roots In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2020Hybrid stochastic local unit roots.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
2019Random coefficient continuous systems: Testing for extreme sample path behavior.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour.(2017) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2018Dynamic Panel Modeling of Climate Change In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2020Dynamic Panel Modeling of Climate Change.(2020) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2018Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Understanding temporal aggregation effects on kurtosis in financial indices.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018Real Time Monitoring of Asset Markets: Bubbles and Crises In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
2018HAR Testing for Spurious Regression in Trend In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2019HAR Testing for Spurious Regression in Trend.(2019) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Boosting the Hodrick-Prescott Filter In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
2019Functional Coefficient Panel Modeling with Communal Smoothing Covariates In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2022Functional coefficient panel modeling with communal smoothing covariates.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Inference and Specification Testing in Threshold Regression with Endogeneity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2019Fully Modified Least Squares for Multicointegrated Systems In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2020When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2023When bias contributes to variance: True limit theory in functional coefficient cointegrating regression.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020Common Bubble Detection in Large Dimensional Financial Systems In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2023Common Bubble Detection in Large Dimensional Financial Systems*.(2023) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020High-Dimensional VARs with Common Factors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
2023High-dimensional VARs with common factors.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2020Consistent Misspecification Testing in Spatial Autoregressive Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2021Discrete Fourier Transforms of Fractional Processes with Econometric Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Discrete Fourier Transforms of Fractional Processes with Econometric Applications*.(2023) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		chapter
2021Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2023Robust inference with stochastic local unit root regressors in predictive regressions.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2021On Multicointegration In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022A Panel Clustering Approach to Analyzing Bubble Behavior In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2022A Panel Clustering Approach to Analyzing Bubble Behavior.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR.(2023) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022The Impact of Upzoning on Housing Construction in Auckland In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2023The impact of upzoning on housing construction in Auckland.(2023) In: Journal of Urban Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Econometric Analysis of Asset Price Bubbles In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022An Econometrician amongst Statisticians: T. W. Anderson In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Weak Identification of Long Memory with Implications for Inference In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2022Weak Identification of Long Memory with Implications for Inference.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series.(2024) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Boosting the HP Filter for Trending Time Series with Long Range Dependence In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Robust Testing for Explosive Behavior with Strongly Dependent Errors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
2024Robust testing for explosive behavior with strongly dependent errors.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Robust Testing for Explosive Behavior with Strongly Dependent Errors.(2022) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Unified Factor Model Estimation and Inference under Short and Long Memory In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Robust Inference on Correlation under General Heterogeneity In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2024Robust inference on correlation under general heterogeneity.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2023New asymptotics applied to functional coefficient regression and climate sensitivity analysis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Teaching Financial Econometrics to Students Converting to Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Self-weighted Estimation for Local Unit Root Regression with Applications In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2024GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement.(2024) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1978A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1980A Model of Output, Employment, Capital Formation and Inflation In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1980On a Lemma of Amemiya In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1980The Characteristic Function of the F Distribution In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1980Best Uniform Approximation to Probability Densities in Econometrics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1980Characteristic Functions and the Tail Behavior of Probability Distributions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1980On the Behavior of Inconsistent Instrumental Variable Estimators In: Cowles Foundation Discussion Papers.
[Citation analysis]		paper30
1982On the behavior of inconsistent instrumental variable estimators.(1982) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
1980On the Consistency of Non-Linear FIML In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
1982On the Consistency of Nonlinear FIML..(1982) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
1981A New Approach to Small Sample Theory In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1981Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1982Small Sample Distribution Theory in Econometric Models of Simultaneous Equations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
1982Exact Small Sample Theory in the Simultaneous Equations Model In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper87
1983Exact small sample theory in the simultaneous equations model.(1983) In: Handbook of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		chapter
1982On the Exact Distribution of LIML (revised and extended, see CFDP 658) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1982The Distribution of Matrix Quotients In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1985The distribution of matrix quotients.(1985) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
1982Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1982ERAs: A New Approach to Small Sample Theory In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper12
1983ERAs: A New Approach to Small Sample Theory..(1983) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
1982The Exact Distribution of LIML: I In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper17
1983The Exact Distribution of LIML: II.(1983) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
1984The Exact Distribution of LIML: I..(1984) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
1985The Exact Distribution of LIML: II..(1985) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
1983On University Education in Econometrics: Remarks on an Article by Eric R. Sowey In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1983The Exact Distribution of Zellners SUR In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1983The Exact Distribution of Exogenous Variable Coefficient Estimators In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
1984The exact distribution of exogenous variable coefficient estimators.(1984) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
1983The Exact Distribution of the Stein-Rule Estimator In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4
1984The exact distribution of the Stein-rule estimator.(1984) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
1983Finite Sample Econometrics Using ERAs In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1984Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERAs In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1984The Exact Distribution of the Wald Statistic In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1986The Exact Distribution of the Wald Statistic..(1986) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
1986An Everywhere Convergent Series Representation of the Distribution of Hotellings Generalized T_{0}^{2} In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1984The Exact Distribution of the Wald Statistic: The Non-Central Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1985The Distribution of FIML in the Leading Case In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1986The Distribution of FIML in the Leading Case..(1986) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1986Time Series Regression with a Unit Root In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1083
1987Time Series Regression with a Unit Root..(1987) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1083		article
1985Understanding Spurious Regressions in Econometrics In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper708
1986Understanding spurious regressions in econometrics.(1986) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 708		article
1985Fractional Matrix Calculus and the Distribution of Multivariate Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1985Multiple Time Series Regression with Integrated Processes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper340
1986Multiple Time Series Regression with Integrated Processes.(1986) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 340		article
1987Regression Theory for Near-Integrated Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper123
1988Regression Theory for Near-Integrated Time Series..(1988) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		article
1986Towards a Unified Asymptotic Theory for Autoregression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1986Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
1986Trends Versus Random Walks in Time Series Analysis In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper92
1988Trends versus Random Walks in Time Series Analysis..(1988) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 92		article
1987Testing for a Unit Root in Time Series Regression In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1456
1987Time Series Regression with a Unit Root..(1987) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1456		article
1986Testing for a Unit Root in Time Series Regression.(1986) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 1456		paper
1986Weak Convergence to the Matrix Stochastic Integral BdB In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1986On the Formulation of Wald Tests of Nonlinear Restrictions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper60
1988On the Formulation of Wald Tests of Nonlinear Restrictions..(1988) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
1986Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1987Testing for Cointegration Using Principal Component Measures In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1987Spherical Matrix Distributions and Cauchy Quotients In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
1989Spherical matrix distributions and cauchy quotients.(1989) In: Statistics & Probability Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
1987Conditional and Unconditional Statistical Independence In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper5
1988Conditional and unconditional statistical independence.(1988) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
1987Bimodal t-Ratios In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1988Asymptotic Properties of Residual Based Tests for Cointegration In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper985
1990Asymptotic Properties of Residual Based Tests for Cointegration..(1990) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 985		article
1987Multiple Regression with Integrated Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper139
1988The Characteristic Function of the Dirichlet and Multivariate F Distributions In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1989Optimal Inference in Cointegrated Systems In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper454
1991Optimal Inference in Cointegrated Systems..(1991) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 454		article
1989Statistical Inference in Instrumental Variables In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper92
1988Spectral Regression for Cointegrated Time Series In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper13
1988Testing for a Unit Root in the Presence of a Maintained Trend In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper108
1988Estimation and Inference in Models of Cointegration: A Simulation Study In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
1989Error Correction and Long Run Equilibrium in Continuous Time In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper67
1991Error Correction and Long-Run Equilibrium in Continuous Time..(1991) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		article
1989A Little Magic with the Cauchy Distribution In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1989A New Proof of Knights Theorem on the Cauchy Distribution In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1989The Durbin-Watson Ratio Under Infinite Variance Errors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper6
1991The Durbin-Watson ratio under infinite-variance errors.(1991) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
1989Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1989Estimating Long Run Economic Equilibria In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper408
1991Estimating Long-run Economic Equilibria.(1991) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 408		article
1989Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper78
1992Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations.(1992) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		article
1989Asymptotics for Linear Processes In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper40
1989Testing for a Unit Root in the Presence of Deterministic Trends In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper19
1990Testing forUnit Root in the Presence of Deterministic Trends..(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 19		paper
1990Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper7
1990Operational Algebra and Regression t-Tests In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1990To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper127
1991To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends..(1991) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 127		article
1991Vector Autoregression and Causality In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper416
1993Vector Autoregressions and Causality..(1993) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 416		article
1991The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper4219
1992Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?.(1992) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4219		article
1990Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?.(1990) In: Michigan State - Econometrics and Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 4219		paper
1991Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper2
1991Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper26
1991Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum..(1991) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
1991A Reexamination of the Consumption Function Using Frequency Domain Regressors In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper15
1994A Reexamination of the Consumption Function Using Frequency Domain Regressions..(1994) In: Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 15		article
1991Unit Roots In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
1991The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Comments on “A selective overview of nonparametric methods in financial econometrics†In: Finance Working Papers.
[Full Text][Citation analysis]		paper3
2005Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2006A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete In: Macroeconomics Working Papers.
[Full Text][Citation analysis]		paper0
1972The Structural Estimation of a Stochastic Differential Equation System. In: Econometrica.
[Full Text][Citation analysis]		article25
1974The Estimation of Some Continuous Time Models. In: Econometrica.
[Full Text][Citation analysis]		article16
1976The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator. In: Econometrica.
[Full Text][Citation analysis]		article6
1977Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation. In: Econometrica.
[Full Text][Citation analysis]		article48
1977A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators. In: Econometrica.
[Full Text][Citation analysis]		article26
1979A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System. In: Econometrica.
[Full Text][Citation analysis]		article9
1980The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables. In: Econometrica.
[Full Text][Citation analysis]		article33
1985The Exact Distribution of the SUR Estimator. In: Econometrica.
[Full Text][Citation analysis]		article5
1996An Asymptotic Theory of Bayesian Inference for Time Series. In: Econometrica.
[Full Text][Citation analysis]		article49
1996Econometric Model Determination. In: Econometrica.
[Full Text][Citation analysis]		article68
1998New Tools for Understanding Spurious Regressions In: Econometrica.
[Citation analysis]		article62
2003Inference in Arch and Garch Models with Heavy--Tailed Errors In: Econometrica.
[Citation analysis]		article153
2012Folklore Theorems, Implicit Maps, and Indirect Inference In: Econometrica.
[Full Text][Citation analysis]		article33
2000Accelerated Asymptotics for Diffusion Model Estimation In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
2010Bimodal t-ratios: the impact of thick tails on inference In: Econometrics Journal.
[Full Text][Citation analysis]		article6
2001A Gaussian approach for continuous time models of the short-term interest rate In: Econometrics Journal.
[Citation analysis]		article31
2003Dynamic panel estimation and homogeneity testing under cross section dependence * In: Econometrics Journal.
[Full Text][Citation analysis]		article550
1988Testing for cointegration using principal components methods In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article74
2018Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion In: Economics Letters.
[Full Text][Citation analysis]		article2
2019The heterogeneous effects of the minimum wage on employment across states In: Economics Letters.
[Full Text][Citation analysis]		article20
2018The Heterogeneous Effects of the Minimum Wage on Employment Across States.(2018) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1987Does GNP have a unit root? : A re-evaluation In: Economics Letters.
[Full Text][Citation analysis]		article50
1986Does Gnp Have a Unit Root? a Reevaluation.(1986) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1982A simple proof of the latent root sensitivity formula In: Economics Letters.
[Full Text][Citation analysis]		article1
2002Higher order approximations for Wald statistics in time series regressions with integrated processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
1979The concentration ellipsoid of a random vector In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2006Local Whittle estimation of fractional integration and some of its variants In: Journal of Econometrics.
[Full Text][Citation analysis]		article82
2009A two-stage realized volatility approach to estimation of diffusion processes with discrete data In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2013First difference maximum likelihood and dynamic panel estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2013Semiparametric estimation in triangular system equations with nonstationarity In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2013Predictive regression under various degrees of persistence and robust long-horizon regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article64
2016Robust econometric inference with mixed integrated and mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
1973The problem of identification in finite parameter continuous time models In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2017Inference in continuous systems with mildly explosive regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2018Pythagorean generalization of testing the equality of two symmetric positive definite matrices In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2016Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices.(2016) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018A frequentist approach to Bayesian asymptotics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2020Econometric estimates of Earth’s transient climate sensitivity In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2020Asymptotic theory for near integrated processes driven by tempered linear processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2021Nonstationary panel models with latent group structures and cross-section dependence In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2020Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence.(2020) In: Economics and Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2024High-dimensional IV cointegration estimation and inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1993The spurious effect of unit roots on vector autoregressions : An analytical study In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
1993Testing for a unit root by frequency domain regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
1995Bayesian prediction a response In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
1977An approximation to the finite sample distribution of Zellners seemingly unrelated regression estimator In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
1998Higher-order approximations for frequency domain time series regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1998Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
1979The sampling distribution of forecasts from a first-order autoregression In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2016Asset pricing with financial bubble risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2015New methodology for constructing real estate price indices applied to the Singapore residential market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2007Some empirics on economic growth under heterogeneous technology In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article39
1987An everywhere convergent series representation of the distribution of Hotellings generalized T02 In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article0
1988Weak convergence to the matrix stochastic integral [integral operator]01 B dB In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article7
1977A large deviation limit theorem for multivariate distributions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article0
2016Modeling speculative bubbles with diverse investor expectations In: Research in Economics.
[Full Text][Citation analysis]		article3
2020Testing Convergence Using HAR Inference In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter2
2000Auditing the cost effectiveness of radon mitigation in the workplace In: Managerial Auditing Journal.
[Full Text][Citation analysis]		article0
1999Auditing the cost?effectiveness of radon mitigation in the workplace.(1999) In: Managerial Auditing Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2011Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2001Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article118
2011Semiparametric Estimation in Multivariate Nonstationary Time Series Models In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper5
2013Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper9
2016A Frequency Approach to Bayesian Asymptotics In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2017Kernel-based inference in time-varying coefficient models with multiple integrated regressors In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper1
2017Bayesian estimation based on summary statistics: Double asymptotics and practice In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper4
2014Homage to Halbert White In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2015Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article20
1980Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume In: The Review of Economic Studies.
[Full Text][Citation analysis]		article12
1990Statistical Inference in Instrumental Variables Regression with I(1) Processes In: The Review of Economic Studies.
[Full Text][Citation analysis]		article2159
2001Structural Change Tests in Tail Behaviour and the Asian Crisis In: The Review of Economic Studies.
[Full Text][Citation analysis]		article68
2019John Denis Sargan (1924–1996) In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Testing Mean Stability of Heteroskedastic Time Series In: Working Papers.
[Full Text][Citation analysis]		paper2
2015Limit Theory for Continuous Time Systems with Mildly Explosive Regressors In: Working Papers.
[Full Text][Citation analysis]		paper0
2005Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan In: Working Papers.
[Full Text][Citation analysis]		paper4
2005Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde In: Working Papers.
[Full Text][Citation analysis]		paper0
2010A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Measurement and High Finance In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate In: Working Papers.
[Full Text][Citation analysis]		paper0
1993Parameter Constancy in Cointegrating Regressions. In: Empirical Economics.
[Citation analysis]		article54
2021Pitfalls in Bootstrapping Spurious Regression In: Journal of Quantitative Economics.
[Full Text][Citation analysis]		article1
1979A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Limit Theory for VARs with Mixed Roots Near Unity In: Econometric Reviews.
[Full Text][Citation analysis]		article5
2017Lag length selection in panel autoregression In: Econometric Reviews.
[Full Text][Citation analysis]		article14
2017Econometric Reviews honors Esfandiar Maasoumi In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2017Reduced forms and weak instrumentation In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2018Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2016Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea.(2016) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2005Albert Rex Bergstrom 1925-2005 In: New Zealand Economic Papers.
[Full Text][Citation analysis]		article0
2021House prices and affordability In: New Zealand Economic Papers.
[Full Text][Citation analysis]		article0
1991A Rexamination of the Consumption Function Using Frequency Domain Regressions. In: Working Papers.
[Citation analysis]		paper15
1994A Reexamination of the Consumption Function Using Frequency Domain Regressions..(1994) In: Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 15		article
2011Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2017Indirect inference in spatial autoregression In: Econometrics Journal.
[Full Text][Citation analysis]		article16
2022PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES In: International Economic Review.
[Full Text][Citation analysis]		article0
2015We provide mathematical proofs for the results in Testing Linearity Using Power Transforms of Regressors In: Working papers.
[Full Text][Citation analysis]		paper0
2016Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡± In: Working papers.
[Full Text][Citation analysis]		paper0
2016Online Supplement to Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices In: Working papers.
[Full Text][Citation analysis]		paper0
2019Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves In: Working papers.
[Full Text][Citation analysis]		paper3
2023Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves In: Working papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team