Peter C. B. Phillips : Citation Profile

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

65

H index

211

i10 index

27496

Citations

RESEARCH PRODUCTION:

320

Articles

463

Papers

8

Chapters

RESEARCH ACTIVITY:

   57 years (1968 - 2025). See details.
   Cites by year: 482
   Journals where Peter C. B. Phillips has often published
   Relations with other researchers
   Recent citing documents: 637.    Total self citations: 405 (1.45 %)

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   Permalink: http://citec.repec.org/pph8
   Updated: 2026-02-07    RAS profile: 2026-01-12    
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Relations with other researchers

Works with:

Shi, Shuping (12)

Yu, Jun (10)

Su, Liangjun (7)

Cho, Jin Seo (5)

Greenaway-McGrevy, Ryan (3)

Shi, Zhentao (3)

Sul, Donggyu (2)

Jin, Sainan (2)

Tao, Yubo (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 (271)

Gil-Alana, Luis (263)

Shahbaz, Muhammad (207)

GUPTA, RANGAN (197)

Westerlund, Joakim (194)

Taylor, Robert (183)

Yu, Jun (170)

LINTON, OLIVER (169)

Pesaran, Mohammad (162)

Caporale, Guglielmo Maria (139)

Balcilar, Mehmet (136)

Cites to:

Park, Joon (167)

Yu, Jun (81)

Andrews, Donald (68)

Hansen, Bruce (62)

Stock, James (60)

Campbell, John (58)

Ploberger, Werner (55)

Su, Liangjun (48)

Sims, Christopher (48)

Shiller, Robert (46)

Newey, Whitney (45)

Main data

Where Peter C. B. Phillips has published?

Journals with more than one article published# docs
Journal of Econometrics88
Econometric Theory61
Econometrica38
Econometric Reviews10
Journal of Time Series Analysis9
Econometrics Journal8
Economics Letters8
Oxford Bulletin of Economics and Statistics6
Journal of Applied Econometrics6
International Economic Review6
International Economic Review5
Journal of Applied Econometrics5
New Zealand Economic Papers5
The Review of Economic Studies5
Econometrics Journal5
Journal of Multivariate Analysis4
Empirical Economics4
Journal of Business & Economic Statistics4
Journal of Economic Surveys4
Journal of Business & Economic Statistics4
Econometrics3
Journal of Financial Econometrics3
Managerial Auditing Journal2
The Review of Financial Studies2
Econometrica2
Journal of Empirical Finance2
The Economic Record2

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

Recent works citing Peter C. B. Phillips (2026 and 2025)

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

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

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

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

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

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

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

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

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

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2025Joel Mokyr, Philippe Aghion i Peter Howitt – użyteczna wiedza i twórcza destrukcja. (2025). Woniak-Jchorek, Beata. In: Ekonomista. RePEc:aoq:ekonom:y:2025:i:4:p:593-599.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2026Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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

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

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2024Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model. (2024). Li, Ming. In: Papers. RePEc:arx:papers:2411.00358.

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2025Forecasting Company Fundamentals. (2024). Dhami, Devendra Singh ; Kersting, Kristian ; Endler, Kevin ; Divo, Felix ; Endress, Eric. In: Papers. RePEc:arx:papers:2411.05791.

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2024Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203.

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2024Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks. (2024). STUPFLER, Gilles ; Yang, Fan ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2411.07212.

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2025Semiparametric inference for impulse response functions using double/debiased machine learning. (2024). Wehrli, Alexander ; Ballinari, Daniele. In: Papers. RePEc:arx:papers:2411.10009.

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2025Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2025Time-Varying Bidirectional Causal Relationships Between Transaction Fees and Economic Activity of Subsystems Utilizing the Ethereum Blockchain Network. (2025). Saggu, Aman ; Ante, Lennart. In: Papers. RePEc:arx:papers:2501.05299.

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2026Sectorial Exclusion Criteria in the Marxist Analysis of the Average Rate of Profit: The United States Case (1960-2020). (2025). Gomez, Jose Mauricio. In: Papers. RePEc:arx:papers:2501.06270.

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2025Bursting Bubbles in a Macroeconomic Model. (2025). Toda, Alexis Akira ; Kishi, Keiichi ; Hirano, Tomohiro. In: Papers. RePEc:arx:papers:2501.08215.

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2025An Empirical Approach toward the Interaction between Pension System and Demographic Dividend: Evidence of a Co-Integrated Socio-Economic Model of China. (2025). Sarkandiz, Mostafa R. In: Papers. RePEc:arx:papers:2501.12144.

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2025An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Goulet Coulombe, Philippe ; Klieber, Karin. In: Papers. RePEc:arx:papers:2501.13222.

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2025Detecting Sparse Cointegration. (2025). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2501.13839.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2025IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects. (2025). Yamagata, Takashi ; Chen, Jia ; Sarafidis, Vasilis ; Cui, Guowei. In: Papers. RePEc:arx:papers:2501.18467.

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2025Serial-Dependence and Persistence Robust Inference in Predictive Regressions. (2025). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2502.00475.

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2025Panel Data Estimation and Inference: Homogeneity versus Heterogeneity. (2025). GAO, Jiti ; Peng, Bin ; Liu, Fei ; Yan, Yayi. In: Papers. RePEc:arx:papers:2502.03019.

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2025Grouped fixed effects regularization for binary choice models. (2025). Valentini, Francesco ; Pionati, Alessandro ; Pigini, Claudia. In: Papers. RePEc:arx:papers:2502.06446.

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2025Capitalizing on a Crisis: A Computational Analysis of all Five Million British Firms During the Covid-19 Pandemic. (2025). Reeves, Aaron ; Rahal, Charles ; Muggleton, Naomi. In: Papers. RePEc:arx:papers:2502.09383.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Regression Modeling of the Count Relational Data with Exchangeable Dependencies. (2025). Fosdick, Bailey K ; Du, Wenqin ; Zhou, Wen. In: Papers. RePEc:arx:papers:2502.11255.

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2025The impact of external uncertainties on the extreme return connectedness between food, fossil energy, and clean energy markets. (2025). Zhou, Wei-Xing ; Zhang, Ting ; Xu, Hai-Chuan. In: Papers. RePEc:arx:papers:2503.06603.

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2025A New Design-Based Variance Estimator for Finely Stratified Experiments. (2025). Tabord-Meehan, Max ; Huang, Xun ; Bai, Yuehao ; Shaikh, Azeem M ; Romano, Joseph P. In: Papers. RePEc:arx:papers:2503.10851.

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2025Simultaneous Inference Bands for Autocorrelations. (2025). Zahn, Tanja ; Pohle, Marc-Oliver ; Hassler, Uwe. In: Papers. RePEc:arx:papers:2503.18560.

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2025Role of AI Innovation, Clean Energy and Digital Economy towards Net Zero Emission in the United States: An ARDL Approach. (2025). Noman, Abdulla All ; Rafi, Azizul Hakim ; al Abrar, Abdullah ; Sultana, Adita. In: Papers. RePEc:arx:papers:2503.19933.

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2025Sino-US S and T Frictions and Transnational Knowledge Flows: Evidence from machine learning and cross-national patent data. (2025). Xu, Yan ; Ge, Jinfeng ; Zhang, Nan ; Yang, Yanqing. In: Papers. RePEc:arx:papers:2503.21822.

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2025Estimation of Latent Group Structures in Time-Varying Panel Data Models. (2025). Smeekes, Stephan ; Haimerl, Paul ; Wilms, Ines. In: Papers. RePEc:arx:papers:2503.23165.

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2025Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning. (2025). Pawar, Amit ; Pratap, Bhanu ; Sengupta, Shovon. In: Papers. RePEc:arx:papers:2504.05350.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025Bayesian Model Averaging in Causal Instrumental Variable Models. (2025). Steel, Mark ; Steiner, Gregor. In: Papers. RePEc:arx:papers:2504.13520.

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2025The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter?. (2025). Ridwan, Endrizal ; Taifur, Werry Darta ; Karimi, Syafruddin ; Khaliq, Abdul. In: Papers. RePEc:arx:papers:2505.02869.

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2025Measuring the Euro Area Output Gap. (2025). Barigozzi, Matteo ; Luciani, Matteo ; Lissona, Claudio. In: Papers. RePEc:arx:papers:2505.05536.

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2025On Selection of Cross-Section Averages in Non-stationary Environments. (2025). Ditzen, Jan ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2505.08615.

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2025The Economic Impact of Low- and High-Frequency Temperature Changes. (2025). Ng, Serena ; Gospodinov, Nikolay ; Gaffney, Ignacio Lopez. In: Papers. RePEc:arx:papers:2505.08950.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243.

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2025A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data. (2025). Shi, Zhentao ; Xie, Haitian. In: Papers. RePEc:arx:papers:2505.22388.

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2025Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios. (2025). Smith, Ronald ; Pesaran, Mohammad ; Chudik, Alexander. In: Papers. RePEc:arx:papers:2506.02135.

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2025On Efficient Estimation of Distributional Treatment Effects under Covariate-Adaptive Randomization. (2025). Oka, Tatsushi ; Hirata, Tomu ; Byambadalai, Undral ; Yasui, Shota. In: Papers. RePEc:arx:papers:2506.05945.

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2025Enterprise value, economic and policy uncertainties: the case of US air carriers. (2025). Adrangi, Bahram ; Kolay, Madhuparna ; Raffiee, Kambiz ; Chatrath, Arjun. In: Papers. RePEc:arx:papers:2506.07766.

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2025Estimating the Number of Components in Panel Data Finite Mixture Regression Models with an Application to Production Function Heterogeneity. (2025). Hao, YU ; Kasahara, Hiroyuki. In: Papers. RePEc:arx:papers:2506.09666.

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2025An Improved Inference for IV Regressions. (2025). Dou, Liyu ; Zhang, Yichong ; Min, Pengjin ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23816.

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2025Robust Inference with High-Dimensional Instruments. (2025). Jaidee, Sombut ; Feng, QU ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23834.

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2025Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective. (2025). Mallick, Sushanta K ; Zhang, Junxing ; Zeng, Tao. In: Papers. RePEc:arx:papers:2507.00763.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

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2025Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments. (2025). Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:2507.22204.

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2025A Relaxation Approach to Synthetic Control. (2025). Zheng, Yapeng ; Shi, Zhentao ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2508.01793.

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2025Universal Patterns in the Blockchain: Analysis of EOAs and Smart Contracts in ERC20 Token Networks. (2025). Mukhia, Kundan ; Luwang, SR ; Nurujjaman, MD ; Chakraborty, Tanujit ; Saha, Suman ; Hens, Chittaranjan. In: Papers. RePEc:arx:papers:2508.04671.

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2025Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T. (2025). Su, Liangjun ; Lu, Xun. In: Papers. RePEc:arx:papers:2508.10302.

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2025K-Means Panel Data Clustering in the Presence of Small Groups. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2508.15408.

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2025A note on the mechanism of substitution of labour with capital in the production processes. (2025). Pokrovskii, Vladimir. In: Papers. RePEc:arx:papers:2509.05386.

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2025Beyond the Average: Distributional Causal Inference under Imperfect Compliance. (2025). Byambadalai, Undral ; Hirata, Tomu ; Oka, Tatsushi ; Yasui, Shota. In: Papers. RePEc:arx:papers:2509.15594.

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2025Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting. (2025). Sadabad, Yousef Adeli ; Hesamzadeh, Mohammad Reza ; Bagherpour, Matin ; Dan, Gyorgy ; Biggar, Darryl R. In: Papers. RePEc:arx:papers:2509.18887.

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2025Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2025L2-relaxation for Economic Prediction. (2025). Wang, Yishu ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2510.12183.

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2025A three-step machine learning approach to predict market bubbles with financial news. (2025). Atsiwo, Abraham. In: Papers. RePEc:arx:papers:2510.16636.

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2025Testing for Grouped Patterns in Panel Data Models. (2025). Raiola, Antonio ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2510.22841.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025Panel data models with randomly generated groups. (2025). Simoni, Anna ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2510.24496.

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2025Identification and Estimation of Continuous-Time Dynamic Discrete Choice Games. (2025). Blevins, Jason R. In: Papers. RePEc:arx:papers:2511.02701.

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2025Unlocking the Regression Space. (2025). Kapetanios, George ; Giraitis, Liudas ; Li, Yufei ; Ventouri, Alexia. In: Papers. RePEc:arx:papers:2511.07183.

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2025Robust Cauchy-Based Methods for Predictive Regressions. (2025). Ibragimov, Rustam ; Kim, Jihyun ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.09249.

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2025Self-Selection, University Courses and Returns to Advanced Degrees. (2025). Brandimarti, Eleonora. In: Papers. RePEc:arx:papers:2511.09260.

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2025Multiscale Comparison of Nonparametric Trending Coefficients. (2025). van der Sluis, Bernhard ; Khismatullina, Marina. In: Papers. RePEc:arx:papers:2511.12600.

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2025Tractable Estimation of Nonlinear Panels with Interactive Fixed Effects. (2025). Zhang, Weisheng ; Zeleneev, Andrei. In: Papers. RePEc:arx:papers:2511.15427.

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2025Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble. (2025). Kurozumi, Eiji ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.16172.

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

Works by Peter C. B. Phillips:

YearTitleTypeCited
2010Semiparametric Estimation in Simultaneous Equations of Time Series Models In: School of Economics Working Papers.
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2017Edmond Malinvaud - an Economists Econometrician In: Annals of Economics and Statistics.
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2000THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS In: CATRN Papers.
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2020Boosting: Why You Can Use the HP Filter In: Papers.
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2019Boosting: Why you Can Use the HP Filter.(2019) In: Cowles Foundation Discussion Papers.
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2021BOOSTING: WHY YOU CAN USE THE HP FILTER.(2021) In: International Economic Review.
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2021Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs In: Papers.
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2020Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2020) In: Cowles Foundation Discussion Papers.
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2024Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs.(2024) In: The Review of Economics and Statistics.
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2022Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations In: Papers.
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2021Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations.(2021) In: Cowles Foundation Discussion Papers.
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2023Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 10		article
2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems In: Papers.
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2023Fully modified least squares cointegrating parameter estimation in multicointegrated systems.(2023) In: Journal of Econometrics.
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2024The boosted HP filter is more general than you might think In: Papers.
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2022The boosted HP filter is more general than you might think.(2022) In: Cowles Foundation Discussion Papers.
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2023Panel Data Models with Time-Varying Latent Group Structures In: Papers.
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2023Panel Data Models with Time-Varying Latent Group Structures.(2023) In: Cowles Foundation Discussion Papers.
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2024Panel data models with time-varying latent group structures.(2024) In: Journal of Econometrics.
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2025Large-Scale Curve Time Series with Common Stochastic Trends In: Papers.
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2025Large-Scale Curve Time Series with Common Stochastic Trends.(2025) In: Cowles Foundation Discussion Papers.
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1992Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets. In: Working papers.
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1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets.(1994) In: Journal of Empirical Finance.
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2003Prewhitening Bias in HAC Estimation In: Working Papers.
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2005Prewhitening Bias in HAC Estimation.(2005) In: Oxford Bulletin of Economics and Statistics.
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2003Prewhitening Bias in HAC Estimation.(2003) In: Cowles Foundation Discussion Papers.
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2004Prewhitening Bias in HAC Estimation.(2004) In: Yale School of Management Working Papers.
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1999Discrete Fourier Transforms of Fractional Processes August In: Working Papers.
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2000Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand In: Working Papers.
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2003Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence In: Working Papers.
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2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Cowles Foundation Discussion Papers.
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2007Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence.(2007) In: Journal of Econometrics.
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2004Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence.(2004) In: Yale School of Management Working Papers.
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2000Forecasting New Zealands Real GDP In: Working Papers.
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2000Forecasting New Zealands Real GDP.(2000) In: Cowles Foundation Discussion Papers.
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2000Forecasting New Zealands real GDP.(2000) In: New Zealand Economic Papers.
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2002Jacknifing Bond Option Prices In: Working Papers.
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2003Jackknifing Bond Option Prices.(2003) In: Cowles Foundation Discussion Papers.
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2004Jackknifing Bond Option Prices.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2005Jackknifing Bond Option Prices.(2005) In: The Review of Financial Studies.
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2002Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence In: Working Papers.
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2002Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence.(2002) In: Cowles Foundation Discussion Papers.
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1998New Unit Root Asymptotics in the Presence of Deterministic Trends In: Working Papers.
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1998New Unit Root Asymptotics in the Presence of Deterministic Trends.(1998) In: Cowles Foundation Discussion Papers.
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2002New unit root asymptotics in the presence of deterministic trends.(2002) In: Journal of Econometrics.
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2003The Elusive Empirical Shadow of Growth Convergence In: Working Papers.
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2003The Elusive Empirical Shadow of Growth Convergence.(2003) In: Cowles Foundation Discussion Papers.
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2004The Elusive Empirical Shadow of Growth Convergence.(2004) In: Yale School of Management Working Papers.
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2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres In: Working Papers.
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2015Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres.(2015) In: Cowles Foundation Discussion Papers.
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2016Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres.(2016) In: New Zealand Economic Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2010Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity In: Journal of Business & Economic Statistics.
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2005Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity.(2005) In: Cowles Foundation Discussion Papers.
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2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions In: Journal of Business & Economic Statistics.
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2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Cowles Foundation Discussion Papers.
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2009Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2009) In: Discussion Paper Series.
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2011Infinite Density at the Median and the Typical Shape of Stock Return Distributions.(2011) In: Journal of Business & Economic Statistics.
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2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications In: Journal of Business & Economic Statistics.
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2011Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications.(2011) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 21		article
2005Econometric Analysis of Fishers Equation In: American Journal of Economics and Sociology.
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1998Econometric Analysis of Fishers Equation.(1998) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 26		paper
2023Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer In: Australian Economic Review.
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2016Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
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1988Reflections on Econometric Methodology. In: The Economic Record.
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1988Reflections on Econometric Methodology In: The Economic Record.
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1988Reflections on Econometric Methodology.(1988) In: Cowles Foundation Discussion Papers.
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1998A Primer on Unit Root Testing In: Journal of Economic Surveys.
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1998A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers.
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1998 A Primer on Unit Root Testing. In: Journal of Economic Surveys.
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2023Diagnosing housing fever with an econometric thermometer In: Journal of Economic Surveys.
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2020Diagnosing Housing Fever with an Econometric Thermometer.(2020) In: Cowles Foundation Discussion Papers.
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2020Diagnosing Housing Fever with an Econometric Thermometer.(2020) In: CAMA Working Papers.
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1994 Reflections on the Day. In: Journal of Economic Surveys.
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2002Pooled Log Periodogram Regression In: Journal of Time Series Analysis.
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2000Pooled Log Periodogram Regression.(2000) In: Cowles Foundation Discussion Papers.
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2004Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra In: Journal of Time Series Analysis.
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2002Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra.(2002) In: Cowles Foundation Discussion Papers.
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2006Uniform Limit Theory for Stationary Autoregression In: Journal of Time Series Analysis.
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2004Uniform Limit Theory for Stationary Autoregression.(2004) In: Cowles Foundation Discussion Papers.
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Uniform limit theory for stationary autoregression.() In: Discussion Papers.
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2006Inference in Autoregression under Heteroskedasticity In: Journal of Time Series Analysis.
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2014NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS In: Journal of Time Series Analysis.
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2013Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions.(2013) In: Cowles Foundation Discussion Papers.
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2018Boundary Limit Theory for Functional Local to Unity Regression In: Journal of Time Series Analysis.
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2017Boundary Limit Theory for Functional Local to Unity Regression.(2017) In: Cowles Foundation Discussion Papers.
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2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
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2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
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2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
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2025Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven In: Journal of Time Series Analysis.
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2025Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven.(2025) In: Cowles Foundation Discussion Papers.
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2026Testing Mean Stability of Heteroskedastic Time Series In: Journal of Time Series Analysis.
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2015Testing Mean Stability of Heteroskedastic Time Series.(2015) In: Cowles Foundation Discussion Papers.
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2015Testing Mean Stability of Heteroskedastic Time Series.(2015) In: Working Papers.
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1992LM Tests for a Unit Root in the Presence of Deterministic Trends. In: Oxford Bulletin of Economics and Statistics.
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1999 Maximum Likelihood Estimation in Panels with Incidental Trends. In: Oxford Bulletin of Economics and Statistics.
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2003An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* In: Oxford Bulletin of Economics and Statistics.
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2014Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour In: Oxford Bulletin of Economics and Statistics.
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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Cowles Foundation Discussion Papers.
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2011Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2011) In: Working Papers.
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2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior.(2012) In: Working Papers.
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2019Detecting Financial Collapse and Ballooning Sovereign Risk In: Oxford Bulletin of Economics and Statistics.
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2017Detecting Financial Collapse and Ballooning Sovereign Risk.(2017) In: Cowles Foundation Discussion Papers.
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2017Labeling Demands, Coexistence and the Challenges for Trade In: Journal of Agricultural & Food Industrial Organization.
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1999Maximum Likelihood Estimation in Panels with Incidental Trends In: University of California at Santa Barbara, Economics Working Paper Series.
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1999Maximum Likelihood Estimation in Panels with Incidental Trends.(1999) In: Cowles Foundation Discussion Papers.
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1999Estimation of Autoregressive Roots near Unity using Panel Data In: University of California at Santa Barbara, Economics Working Paper Series.
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2000ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA.(2000) In: Econometric Theory.
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1999Estimation of Autoregressive Roots Near Unity Using Panel Data.(1999) In: Cowles Foundation Discussion Papers.
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1999How to Estimate Autoregressive Roots Near Unity In: University of California at Santa Barbara, Economics Working Paper Series.
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2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY.(2001) In: Econometric Theory.
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1998How to Estimate Autoregressive Roots Near Unity.(1998) In: Cowles Foundation Discussion Papers.
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2005Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ In: University of California at San Diego, Economics Working Paper Series.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation In: University of California at San Diego, Economics Working Paper Series.
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2003Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2003) In: Cowles Foundation Discussion Papers.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2004Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation.(2004) In: Yale School of Management Working Papers.
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2004Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation In: University of California at San Diego, Economics Working Paper Series.
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2006SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION.(2006) In: International Economic Review.
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1985A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family. In: Canadian Journal of Economics.
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2007Information Loss in Volatility Measurement with Flat Price Trading In: Levine's Bibliography.
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2007Information Loss in Volatility Measurement with Flat Price Trading.(2007) In: Cowles Foundation Discussion Papers.
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2009Information Loss in Volatility Measurement with Flat Price Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series.
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2024Information loss in volatility measurement with flat price trading.(2024) In: Advanced Studies in Theoretical and Applied Econometrics.
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2023Information loss in volatility measurement with flat price trading.(2023) In: Empirical Economics.
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2013Nonparametric Predictive Regression In: CEPR Discussion Papers.
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2012Nonparametric Predictive Regression.(2012) In: Cowles Foundation Discussion Papers.
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2015Nonparametric predictive regression.(2015) In: Journal of Econometrics.
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2012Nonparametric Predictive Regression.(2012) In: University of Cyprus Working Papers in Economics.
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1994Bayes Methods and Unit Roots In: Econometric Theory.
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1994Posterior Odds Testing for a Unit Root with Data-Based Model Selection In: Econometric Theory.
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1992Posterior Odds Testing for a Unit Root with Data-Based Model Selection.(1992) In: Cowles Foundation Discussion Papers.
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1995Time Series Regression with Mixtures of Integrated Processes In: Econometric Theory.
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1995Efficient IV Estimation in Nonstationary Regression In: Econometric Theory.
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1995Trending Multiple Time Series: Editors Introduction In: Econometric Theory.
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1995Robust Nonstationary Regression In: Econometric Theory.
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1993Robust Nonstationary Regression.(1993) In: Cowles Foundation Discussion Papers.
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1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES In: Econometric Theory.
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1998Asymptotics for Nonlinear Transformations of Integrated Time Series.(1998) In: Cowles Foundation Discussion Papers.
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1999EFFICIENT DETRENDING IN COINTEGRATING REGRESSION In: Econometric Theory.
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2003IN MEMORY OF JOHN DENIS SARGAN In: Econometric Theory.
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2003VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN In: Econometric Theory.
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2003Vision and Influence in Econometrics: John Denis Sargan.(2003) In: Cowles Foundation Discussion Papers.
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200302.3.1. Regression with an Evaporating Logarithmic Trend— Solution In: Econometric Theory.
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2003THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE In: Econometric Theory.
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2004EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER In: Econometric Theory.
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2005HAC ESTIMATION BY AUTOMATED REGRESSION In: Econometric Theory.
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2004HAC Estimation by Automated Regression.(2004) In: Cowles Foundation Discussion Papers.
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2005AUTOMATED DISCOVERY IN ECONOMETRICS In: Econometric Theory.
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2004Automated Discovery in Econometrics.(2004) In: Cowles Foundation Discussion Papers.
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2006A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION In: Econometric Theory.
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2005A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation.(2005) In: Cowles Foundation Discussion Papers.
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2006ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER In: Econometric Theory.
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2007REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS In: Econometric Theory.
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2007LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES In: Econometric Theory.
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2007Long Run Covariance Matrices for Fractionally Integrated Processes.(2007) In: Cowles Foundation Discussion Papers.
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2008GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT In: Econometric Theory.
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2006Gaussian Inference in AR(1) Time Series with or without a Unit Root.(2006) In: Cowles Foundation Discussion Papers.
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2008LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS In: Econometric Theory.
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2007Limit Theory for Explosively Cointegrated Systems.(2007) In: Cowles Foundation Discussion Papers.
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2008REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS In: Econometric Theory.
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2004Regression Asymptotics Using Martingale Convergence Methods.(2004) In: Cowles Foundation Discussion Papers.
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2008Regression asymptotics using martingale convergence methods..(2008) In: Scholarly Articles.
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2024Self-weighted Estimation for Local Unit Root Regression with Applications In: Cowles Foundation Discussion Papers.
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1982On the Exact Distribution of LIML (revised and extended, see CFDP 658) In: Cowles Foundation Discussion Papers.
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1986An Everywhere Convergent Series Representation of the Distribution of Hotellings Generalized T_{0}^{2} In: Cowles Foundation Discussion Papers.
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1984The Exact Distribution of the Wald Statistic: The Non-Central Case In: Cowles Foundation Discussion Papers.
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