Peter C. B. Phillips edit

Affiliation COWLES FOUNDATION FOR RESEARCH IN ECONOMICS, YALE UNIVERSITY
Publications 314
H-index 28
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Publications

#Cited
607 Optimal Testing for Unit Roots - in Panel Data, Mimeo - 2002
312 Linear Regression Limit Theory for Nonstationary Panel Data - ECONOMETRICA - 1999
166 Dynamic Panel Estimation and Homogeneity Testing under CrossSection Dependence, Cowles Foundation Discussion Paper n.1362 - - 2002
120 Exact local Whittle estimation of fractional integration - - 2004
115 Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15 - - 1999
82 Fully nonparametric estimation of scalar diffusion models - Econometrica - 2003
74 Fully modified least squares and vector autoregression - Econometrica - 1995
62 Limit theory for moderate deviations from a unit root under weak dependence. Cowles Foundation Discussion Paper No - - 2005
61 Impulse response and forecast error variance asymptotics in nonstationary VARs - Journal of Econometrics - 1998
58 A primer on unit root testing - Journal of Economic Surveys - 1998
56 Econometric model determination - Econometrica - 1996
56 Non-stationary panel data analysis: an overview of some recent developments - - 2001
55 Nonstationary Density Estimation and Kernel Autoregression - Yale University - 1998
44 Whittle estimation in nonstationary and unit root cases - Ann. Statist - 2004
44 Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence - - 2004
40 Jackknifing bond option prices - REVIEW OF FINANCIAL STUDIES - 2005
39 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? - - 2009
36 STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION By - - 2008
36 Asymptotic theory for local time density estimation and nonparametric cointegrating regression - - 2009
35 Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors - - 1999

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