Peter C B Phillips

29 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-2341-0451

Yale University; University of Auckland; Singapore Management University

Publications

• Weak Identification of Long Memory with Implications for Volatility Modeling — The Review of Financial Studies 2025
• Identifying Latent Structures in Panel Data — Econometrica 2016
• On Confidence Intervals for Autoregressive Roots and Predictive Regression — Econometrica 2014
• A specification test for nonlinear nonstationary models — The Annals of Statistics 2012 (name-matched, not ORCID-linked)
• Folklore Theorems, Implicit Maps, and Indirect Inference — Econometrica 2012
• Simulation-Based Estimation of Contingent-Claims Prices — The Review of Financial Studies 2009
• Structural Nonparametric Cointegrating Regression — Econometrica 2009
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing — Econometrica 2008
• Transition Modeling and Econometric Convergence Tests — Econometrica 2007
• GMM with Many Moment Conditions — Econometrica 2006
• Jackknifing Bond Option Prices — The Review of Financial Studies 2005
• Exact local Whittle estimation of fractional integration — The Annals of Statistics 2005
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data — Econometrica 2004
• Local Whittle estimation in nonstationary and unit root cases — The Annals of Statistics 2004
• Empirical Limits for Time Series Econometric Models — Econometrica 2003
• Fully Nonparametric Estimation of Scalar Diffusion Models — Econometrica 2003
• Band Spectral Regression with Trending Data — Econometrica 2002
• Nonlinear Regressions with Integrated Time Series — Econometrica 2001
• Structural Change Tests in Tail Behaviour and the Asian Crisis — The Review of Economic Studies 2001
• Nonstationary Binary Choice — Econometrica 2000
• Linear Regression Limit Theory for Nonstationary Panel Data — Econometrica 1999
• Asymptotics for Linear Processes — The Annals of Statistics 1992
• Estimating Long-run Economic Equilibria — The Review of Economic Studies 1991
• Statistical Inference in Instrumental Variables Regression with I(1) Processes — The Review of Economic Studies 1990
• Testing for a unit root in time series regression — Biometrika 1988
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors — Journal of the American Statistical Association 1988
• Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions — Journal of the American Statistical Association 1987
• The true characteristic function of the F distribution — Biometrika 1982
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume — The Review of Economic Studies 1980