Access Statistics for Peter C. B. Phillips

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Working Paper File Downloads Abstract Views
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A Bayesian Analysis of Trend Determination in Economic Time Series 4 10 44 234 7 30 105 1,264
A CUSUM Test for Cointegration Using Regression Residuals 6 14 44 427 15 48 115 1,289
A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process 1 5 22 57 5 24 165 381
A Little Magic with the Cauchy Distribution 1 2 5 88 1 6 19 272
A Model of Output, Employment, Capital Formation and Inflation 0 1 5 45 1 7 21 245
A New Approach to Robust Inference in Cointegration 1 2 5 112 1 6 23 186
A New Approach to Small Sample Theory 1 5 29 156 15 50 233 1,125
A New Proof of Knight's Theorem on the Cauchy Distribution 0 2 7 82 6 16 54 406
A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression 0 0 2 13 1 7 13 178
A Primer on Unit Root Testing 13 55 226 1,500 28 100 448 2,785
A Reexamination of the Consumption Function Using Frequency Domain Regressors 1 2 13 100 6 11 47 805
A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation 0 1 4 30 3 14 40 192
A Rexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 1 1 4 19 360
A Shortcut to LAD Estimator Asymptotics 3 14 38 158 10 29 75 420
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions 1 9 30 131 14 67 285 724
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 2 7 41 179 7 24 94 382
Accelerated Asymptotics for Diffusion Model Estimation 0 2 5 147 4 8 24 427
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 3 9 37 134 9 27 158 416
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 0 2 20 71 5 17 80 188
An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy 2 17 35 159 10 53 111 500
An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2} 0 0 1 12 1 5 10 203
Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors 0 3 10 83 2 7 26 279
Asymptotic Expansions in Nonstationary Vector Autoregressions 4 6 16 65 4 8 24 179
Asymptotic Properties of Residual Based Tests for Cointegration 13 36 101 472 18 53 173 1,041
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression 8 16 50 108 15 36 139 323
Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications 4 7 10 10 5 13 20 20
Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations 1 3 18 89 3 13 62 537
Asymptotics for Linear Processes 4 16 57 166 5 27 91 370
Asymptotics for Nonlinear Transformations of Integrated Time Series 2 4 32 213 5 16 78 612
Automated Discovery in Econometrics 0 3 21 251 5 11 50 440
Automated Forecasts of Asia-Pacific Economic Activity 1 4 11 79 6 27 55 585
Band Spectral Regression with Trending Data 0 0 0 1 0 1 21 707
Band Spectral Regression with Trending Data 0 7 25 224 4 17 80 902
Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy 1 11 24 111 4 19 70 754
Bayes Models and Forecasts of Australian Macroeconomic Time Series 0 0 7 53 4 8 25 309
Bayesian Model Selection and Prediction with Empirical Applications 3 7 32 183 16 36 107 919
Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior 3 3 9 75 7 21 70 703
Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum 0 0 6 34 3 8 31 455
Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions 2 7 45 229 24 75 300 1,834
Best Uniform Approximation to Probability Densities in Econometrics 1 4 14 64 4 15 40 420
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 1 3 17 305 1 9 47 815
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 7 16 48 205 14 44 152 614
Bimodal t-Ratios 0 0 6 38 3 16 52 551
Bootstrapping I(1) Data 3 14 16 16 4 24 26 26
Bootstrapping Spurious Regression 1 6 13 252 6 21 48 747
Challenges of Trending Time Series Econometrics 1 12 65 407 6 31 161 896
Characteristic Functions and the Tail Behavior of Probability Distributions 1 9 36 171 6 22 75 525
Cointegrating Rank Selection in Models with Time-Varying Variance 6 18 26 26 11 32 43 43
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 2 6 20 66 4 17 60 185
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 9 27 0 2 27 87
Conditional and Unconditional Statistical Independence 3 7 37 148 11 40 204 950
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 1 3 29 2 6 27 202
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 5 64 1 2 28 255
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 1 4 12 128 6 18 70 706
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 1 7 16 60 13 38 138 524
Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations 3 7 40 412 5 20 86 1,143
Discrete Fourier Transforms of Fractional Processes 5 8 39 389 11 20 91 1,339
Does Gnp Have a Unit Root? a Reevaluation 0 0 0 2 3 11 32 164
Dynamic Misspecification in Nonparametric Cointegrating Regression 7 20 20 20 9 15 15 15
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence 4 12 40 493 9 30 92 1,261
Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach 1 13 22 297 3 33 110 2,165
ERA's: A New Approach to Small Sample Theory 0 1 9 37 5 18 50 235
Econometric Analysis of Fisher's Equation 2 21 67 458 17 99 298 1,994
Economic Transition and Growth 7 16 55 307 11 31 111 599
Efficiency Gains from Quasi-Differencing Under Nonstationarity 0 2 14 82 3 10 44 392
Efficient Regression in Time Series Partial Linear Models 2 8 34 344 7 23 111 1,213
Empirical Limits for Time Series Econometric Models 1 4 14 244 6 16 45 764
Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra 0 0 3 30 1 2 12 223
Error Correction and Long Run Equilibrium in Continuous Time 2 4 21 96 3 13 46 430
Estimating Long Run Economic Equilibria 3 14 40 202 8 29 87 596
Estimation and Inference in Models of Cointegration: A Simulation Study 0 2 19 145 2 10 45 445
Estimation of Autoregressive Roots Near Unity Using Panel Data 0 3 11 140 0 3 27 527
Estimation of Autoregressive Roots Near Unity Using Panel Data 0 1 6 42 0 1 12 419
Estimation of Autoregressive Roots near Unity using Panel Data 0 2 5 5 1 7 16 17
Exact Distribution Theory in Structural Estimation with an Identity 1 3 10 38 6 17 56 103
Exact Local Whittle Estimation of Fractional Integration 1 5 23 96 6 13 60 318
Exact Local Whittle Estimation of Fractional Integration 0 6 17 81 1 10 39 395
Exact Small Sample Theory in the Simultaneous Equations Model 4 4 31 92 6 8 52 236
Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter 0 1 5 79 1 7 29 338
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 4 15 33 33 9 28 83 83
Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) 0 0 1 16 2 6 13 181
Finite Sample Econometrics Using ERA's 2 3 10 38 5 15 37 202
Forecasting New Zealand's Real GDP 7 24 24 430 13 66 216 2,380
Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984 0 3 11 148 4 18 66 637
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process 0 9 33 646 5 29 89 1,882
Fractional Matrix Calculus and the Distribution of Multivariate Tests 1 3 17 134 4 18 79 697
Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments 5 15 43 195 11 41 118 753
Fully Modified Least Squares and Vector Autoregression 21 58 199 751 38 134 490 2,454
Fully Nonparametric Estimation of Scalar Diffusion Models 3 8 30 280 8 21 81 801
GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity 5 23 82 216 16 71 242 547
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 2 13 200 1 7 46 578
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 1 2 7 122 2 6 29 461
GMM with Many Moment Conditions 3 4 18 147 7 12 60 403
GMM with Many Moment Conditions 7 24 71 216 16 66 193 548
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 3 7 15 277 7 17 41 768
Gaussian Inference in AR(1) Time Series with or without a Unit Root 2 12 38 175 10 40 117 458
HAC Estimation by Automated Regression 4 12 29 137 16 53 111 425
Higher Order Approximations for Wald Statistics in Cointegrating Regressions 1 3 10 80 2 10 44 545
How to Estimate Autoregressive Roots Near Unity 0 4 16 99 2 12 40 414
How to Estimate Autoregressive Roots Near Unity 0 1 5 5 7 14 41 46
How to Estimate Autoregressive Roots Near Unity 0 0 2 72 0 1 11 402
Hyper-Consistent Estimation of a Unit Root in Time Series Regression 0 3 12 71 4 13 51 265
Improved HAR Inference 1 3 7 52 1 5 29 229
Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's 10 32 101 681 35 105 332 2,543
Incidental Trends and the Power of Panel Unit Root Tests 0 0 3 98 0 3 22 344
Incidental Trends and the Power of Panel Unit Root Tests 0 0 7 61 4 6 28 180
Incidental Trends and the Power of Panel Unit Root Tests 2 4 11 74 3 11 55 258
Indirect Inference for Dynamic Panel Models 3 13 34 227 5 35 114 518
Information Loss in Volatility Measurement with Flat Price Trading 2 11 11 11 7 20 20 20
Information Loss in Volatility Measurement with Flat Price Trading 2 5 19 50 14 33 119 289
Information Loss in Volatility Measurement with Flat Price Trading 0 1 2 29 0 7 26 72
Jackknifing Bond Option Prices 1 1 8 34 3 10 50 131
Jackknifing Bond Option Prices 6 9 25 396 11 22 97 1,337
Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables 0 4 22 189 9 32 123 1,249
Laws and Limits of Econometrics 2 9 43 578 17 31 110 1,039
Limit Theory for Explosively Cointegrated Systems 0 4 20 59 2 14 57 112
Limit Theory for Moderate Deviations from a Unit Root 1 2 9 94 3 9 32 305
Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence 3 5 13 99 5 13 57 331
Linear Regression Limit Theory for Nonstationary Panel Data 5 17 85 543 15 51 204 1,398
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 0 2 1 6 47 818
Local Limit Theory and Spurious Nonparametric Regression 6 15 53 69 9 27 125 135
Local Whittle Estimation in Nonstationary and Unit Root Cases 2 5 17 115 5 13 44 490
Log Periodogram Regression: The Nonstationary Case 1 11 37 95 4 32 153 325
Long Memory and Long Run Variation 3 13 36 55 4 17 69 78
Long Run Covariance Matrices for Fractionally Integrated Processes 0 4 20 62 2 9 49 108
Long Run Variance Estimation Using Steep Origin Kernels Without Truncation 2 2 10 46 3 9 38 187
Long Run Variance Estimation Using Steep Origin Kernels without Truncation 0 2 14 126 3 16 50 389
Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case 0 0 1 13 0 1 14 243
Maximum Likelihood Estimation in Panels with Incidental Trends 0 1 3 42 0 1 12 501
Maximum Likelihood Estimation in Panels with Incidental Trends 0 1 5 5 0 3 9 13
Maximum Likelihood Estimation in Panels with Incidental Trends 0 4 11 138 1 6 23 658
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 9 31 86 239 27 98 307 647
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity 1 8 11 11 8 31 37 37
Model Determination and Macroeconomic Activity 0 1 5 48 0 4 15 330
Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure 2 11 32 149 8 31 109 849
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case 2 9 17 112 6 13 30 540
Multiple Regression with Integrated Time Series 6 16 68 223 14 63 240 799
Multiple Time Series Regression with Integrated Processes 6 13 72 324 19 41 158 948
New Unit Root Asymptotics in the Presence of Deterministic Trends 2 5 11 115 2 11 29 392
Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors 2 4 29 178 9 18 65 550
Nonlinear Instrumental Variable Estimation of an Autoregression 0 2 9 127 3 12 41 512
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes 0 1 8 92 0 3 21 482
Nonlinear Regressions with Integrated Time Series 4 9 27 160 11 33 77 490
Nonlinear Regressions with Integrated Time Series 1 7 18 292 7 20 56 869
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 3 13 184 3 9 43 544
Nonstationary Binary Choice 2 3 15 159 2 4 26 598
Nonstationary Binary Choice 0 0 0 12 2 8 33 593
Nonstationary Density Estimation and Kernel Autoregression 7 20 63 342 12 29 116 1,029
Nonstationary Discrete Choice 0 5 10 122 1 11 39 483
Nonstationary Discrete Choice: A Corrigendum and Addendum 0 4 14 58 4 16 59 246
Nonstationary Panel Data Analysis: An Overview of Some Recent Developments 0 0 0 4 2 5 43 925
Nonstationary Panel Data Analysis: An Overview of Some Recent Developments 9 25 100 745 13 39 150 1,158
Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future 4 10 42 181 6 28 99 532
On University Education in Econometrics: Remarks on an Article by Eric R. Sowey 0 2 4 20 0 3 9 192
On a Lemma of Amemiya 0 0 1 2 0 1 4 77
On the Behavior of Inconsistent Instrumental Variable Estimators 1 6 12 27 2 8 29 145
On the Consistency of Non-Linear FIML 0 3 9 25 0 5 19 128
On the Exact Distribution of LIML (revised and extended, see CFDP 658) 0 0 0 3 0 0 1 59
On the Formulation of Wald Tests of Nonlinear Restrictions 3 6 9 43 3 9 24 223
Operational Algebra and Regression t-Tests 1 1 3 55 7 19 61 651
Optimal Bandwidth Choice for Interval Estimation in GMM Regression 3 12 56 74 8 41 180 194
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 2 7 21 100 5 23 70 343
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ 0 0 2 13 1 1 11 37
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments 0 3 16 75 0 10 47 236
Optimal Inference in Cointegrated Systems 4 14 47 151 6 22 67 331
Partially Identified Econometric Models 2 9 32 108 8 20 59 285
Pooled Log Periodogram Regression 1 3 7 109 4 8 23 616
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 1 9 105 3 9 54 690
Prewhitening Bias in HAC Estimation 3 7 16 140 5 16 42 573
Prewhitening Bias in HAC Estimation 2 4 9 46 4 24 77 292
Refined Inference on Long Memory in Realized Volatility 2 5 25 101 5 11 51 262
Reflections on Econometric Methodology 2 8 38 202 8 29 107 581
Regression Asymptotics Using Martingale Convergence Methods 0 3 34 185 5 17 80 572
Regression Theory for Near-Integrated Time Series 0 6 20 107 4 17 55 424
Regression with Slowly Varying Regressors 0 1 4 91 1 3 15 429
Regressions for Partially Identified, Cointegrated Simultaneous Equations 2 5 9 83 3 16 38 336
Rissanen's Theorem and Econometric Time Series 1 2 10 122 6 10 34 591
Robust Nonstationary Regression 7 12 39 205 11 23 79 644
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's 1 11 23 150 7 33 83 722
Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter 0 0 0 50 0 1 6 328
Semiparametric Cointegrating Rank Selection 1 6 47 65 2 13 103 113
Simulation-based Estimation of Contingent-claims Prices 3 8 31 98 7 25 112 276
Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution 0 3 10 37 2 24 79 320
Small Sample Distribution Theory in Econometric Models of Simultaneous Equations 3 7 22 74 3 16 47 229
Smoothing Local-to-Moderate Unit Root Theory 1 7 23 32 2 11 58 68
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 3 20 148 8 27 106 1,018
Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation 0 1 6 16 2 3 22 51
Spectral Regression for Cointegrated Time Series 7 17 57 157 14 35 100 412
Spherical Matrix Distributions and Cauchy Quotients 0 1 10 58 3 23 66 403
Spurious Regression Unmasked 2 4 8 134 4 11 18 496
Statistical Inference in Instrumental Variables 1 3 21 94 2 10 49 393
Statistical Inference in Regressions with Integrated Processes: Part 1 4 10 42 216 6 19 65 553
Statistical Inference in Regressions with Integrated Processes: Part 2 5 12 42 174 8 18 58 298
Structural Change in Tail Behavior and the Asian Financial Crisis 1 8 23 239 5 19 52 620
Structural Nonparametric Cointegrating Regression 12 21 54 81 14 32 99 116
THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS 0 0 3 3 0 3 9 9
Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns 1 2 20 102 6 19 85 569
Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity 4 11 37 184 7 31 104 517
Testing for Cointegration Using Principal Component Measures 7 11 32 177 8 16 50 376
Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's 1 3 8 39 4 13 55 428
Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains 2 4 15 70 4 10 40 365
Testing for a Unit Root in Time Series Regression 0 0 0 7 20 86 267 793
Testing for a Unit Root in Time Series Regression 31 100 361 1,241 49 183 580 2,338
Testing for a Unit Root in the Presence of Deterministic Trends 3 13 34 132 8 27 69 343
Testing for a Unit Root in the Presence of a Maintained Trend 1 8 25 118 1 12 42 269
Testing forUnit Root in the Presence of Deterministic Trends 0 0 0 1 1 4 19 240
Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets 0 0 0 1 5 34 90 457
Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root: How Sure are we that Economic Time Series have a Unit Root? 0 0 0 5 16 61 179 1,463
Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? 32 91 293 1,551 58 206 826 5,011
The Characteristic Function of the Dirichlet and Multivariate F Distributions 3 9 31 198 7 26 82 900
The Characteristic Function of the F Distribution 3 6 25 143 11 31 132 771
The Distribution of FIML in the Leading Case 0 0 2 27 2 6 29 232
The Distribution of Matrix Quotients 1 1 4 32 1 3 8 124
The Durbin-Watson Ratio Under Infinite Variance Errors 1 6 21 143 20 63 162 1,312
The Elusive Empirical Shadow of Growth Convergence 1 5 12 93 1 9 33 228
The Elusive Empirical Shadow of Growth Convergence 2 10 51 355 5 29 137 836
The Exact Distribution of Exogenous Variable Coefficient Estimators 0 1 4 15 7 14 39 248
The Exact Distribution of LIML: I 0 4 9 48 2 11 37 243
The Exact Distribution of LIML: II 1 2 4 40 2 4 15 168
The Exact Distribution of Zellner's SUR 2 3 20 161 2 7 45 460
The Exact Distribution of the Stein-Rule Estimator 2 6 13 56 5 11 30 200
The Exact Distribution of the Wald Statistic 1 5 34 311 11 47 205 1,952
The Exact Distribution of the Wald Statistic: The Non-Central Case 0 0 2 59 0 3 14 505
The KPSS Test with Seasonal Dummies 0 1 5 291 2 7 26 1,082
The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence 1 12 25 139 3 28 94 1,042
The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study 2 4 25 106 8 23 72 684
The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models 0 1 2 34 0 3 12 533
Tilted Nonparametric Estimation of Volatility Functions 2 6 23 93 5 16 64 161
Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics 0 0 7 86 0 3 25 524
Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations 2 4 9 96 3 7 24 896
Time Series Regression with a Unit Root 13 63 189 584 27 110 333 1,262
Time Series Regression with a Unit Root and Infinite Variance Errors 3 5 18 95 5 9 31 346
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 3 11 25 115 15 37 129 836
Towards a Unified Asymptotic Theory for Autoregression 4 11 29 95 5 14 43 236
Transition Modeling and Econometric Convergence Tests 6 19 80 218 15 53 192 504
Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges 1 3 13 226 4 6 31 639
Trends Versus Random Walks in Time Series Analysis 6 16 58 243 11 34 137 900
Understanding Spurious Regressions in Econometrics 24 77 242 1,062 41 162 482 2,079
Unidentified Components in Reduced Rank Regression Estimation of ECM's 0 4 10 42 1 9 27 452
Uniform Limit Theory for Stationary Autoregression 1 4 9 98 4 14 31 318
Uniform limit theory for stationary autoregression 0 0 0 0 0 5 20 97
Unit Root Log Periodogram Regression 1 4 17 200 1 11 52 695
Unit Root Model Selection 7 14 62 101 12 37 154 169
Unit Root Tests 0 2 16 376 2 9 38 1,292
Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past 0 6 26 41 3 17 67 76
Unit Roots 0 2 8 111 1 3 15 655
Vector Autoregression and Causality 18 70 291 1,539 39 153 638 4,435
Vector Autoregression and Causality: A Theoretical Overview and Simulation Study 9 35 112 588 13 50 188 2,029
Vision and Influence in Econometrics: John Denis Sargan 1 1 7 195 4 6 34 563
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations 2 6 17 80 10 24 62 403
Weak Convergence to the Matrix Stochastic Integral BdB 2 5 18 77 3 12 51 490
Total Working Papers 618 2,085 7,245 41,085 1,698 6,000 21,338 150,459

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
02.3.1. Regression with an Evaporating Logarithmic Trend Solution 0 0 2 2 1 1 8 8
A CUSUM test for cointegration using regression residuals 2 3 9 45 4 5 19 187
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 1 2 17 346
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators 0 1 6 25 0 3 19 132
A Primer on Unit Root Testing 5 21 57 370 8 34 101 699
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION 0 1 1 2 1 4 5 6
A Reexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 0 1 2 19 173
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System 0 0 2 18 0 0 5 138
A Shortcut to LAD Estimator Asymptotics 1 2 2 2 1 2 2 2
A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family 1 1 3 3 3 5 12 109
A bayesian analysis of trend determination in economic time series 1 3 9 16 1 7 22 48
A complete asymptotic series for the autocovariance function of a long memory process 0 2 2 2 0 12 16 16
A large deviation limit theorem for multivariate distributions 0 1 1 1 0 3 5 5
A new approach to robust inference in cointegration 0 0 1 19 0 0 4 43
A simple approach to the parametric estimation of potentially nonstationary diffusions 0 0 2 13 1 2 10 40
A simple proof of the latent root sensitivity formula 0 0 2 9 0 3 26 80
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION 3 3 3 3 6 6 6 6
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 0 0 2 2 0 2 4 4
AUTOMATED DISCOVERY IN ECONOMETRICS 1 1 1 3 2 5 5 18
AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary 0 0 0 3 1 2 3 9
Adaptive estimation of autoregressive models with time-varying variances 3 6 15 26 3 9 42 69
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy 0 0 0 0 10 34 115 999
An Asymptotic Theory of Bayesian Inference for Time Series 0 6 24 103 2 13 57 433
An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional 0 0 1 6 8 23 34 57
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator 0 0 5 18 0 0 12 43
An everywhere convergent series representation of the distribution of Hotelling's generalized T02 0 0 0 0 0 0 0 0
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation 0 0 3 22 0 3 11 217
Asymptotic Expansions in Nonstationary Vector Autoregressions 1 1 1 1 1 2 2 2
Asymptotic Properties of Residual Based Tests for Cointegration 2 7 31 315 6 21 84 1,129
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations 1 5 10 25 1 6 22 125
Band Spectral Regression with Trending Data 0 1 5 71 1 3 26 437
Bayes Methods and Unit Roots 0 2 2 2 0 2 2 2
Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum 0 1 2 17 2 6 8 185
Bayesian model selection and prediction with empirical applications 3 4 9 60 5 9 19 171
Bayesian prediction a response 0 1 1 31 0 1 3 123
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence 1 4 17 52 2 7 39 125
Comment 1 1 1 7 2 3 5 38
Comment on "modeling asset returns with alternative stable distributions" 0 3 3 6 1 7 13 18
Comment on university education in ecnometrics 0 0 2 7 1 3 36 67
Conditional and unconditional statistical independence 1 4 10 19 2 6 22 63
Descriptive econometrics for non-stationary time series with empirical illustrations 3 6 27 267 14 34 137 1,127
Does GNP have a unit root?: A re-evaluation 0 2 7 23 1 3 22 55
Dynamic panel estimation and homogeneity testing under cross section dependence * 1 4 22 167 2 9 53 512
ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS 0 0 0 0 2 3 3 3
ECONOMETRIC THEORY AND PRACTICE 17 20 20 20 24 27 27 27
EDITOR'S TRIBUTE 0 0 0 0 0 0 1 1
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION 1 5 5 5 2 9 11 11
ERAs: A New Approach to Small Sample Theory 0 0 3 53 2 3 12 315
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA 0 1 1 1 0 3 4 4
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER 0 0 0 0 1 5 5 5
Econometric Model Determination 0 6 31 261 0 10 67 1,120
Editorial 0 0 0 0 0 0 0 0
Efficiency of Maximum Likelihood 1 1 1 1 1 1 1 1
Efficient IV Estimation in Nonstationary Regression 0 0 1 1 0 3 4 4
Empirical Limits for Time Series Econometric Models 0 3 10 115 5 14 58 677
Error Correction and Long-Run Equilibrium in Continuous Time 0 2 6 78 0 4 23 292
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra 0 0 1 9 0 0 3 48
Estimating Long-run Economic Equilibria 1 3 11 104 1 5 23 280
Estimation and Testing in Linear Models with Singular Covariance Matrices 0 0 0 0 0 0 0 0
Expansions for approximate maximum likelihood estimators of the fractional difference parameter 0 0 2 17 0 0 12 107
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume 0 0 1 27 0 1 10 105
Forward exchange market unbiasedness: the case of the Australian dollar since 1984 0 0 1 8 3 3 6 55
Fully Modified Least Squares and Vector Autoregression 0 7 28 237 3 24 86 1,155
Fully Modified Least Squares in I(2) Regression 2 4 4 4 2 4 4 4
Fully Nonparametric Estimation of Scalar Diffusion Models 2 3 9 82 2 4 29 336
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments 1 3 10 35 1 4 26 97
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT 1 5 10 10 1 5 14 14
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 1 10 117 0 6 24 451
GMM with Many Moment Conditions 4 6 34 116 17 35 163 468
Gains to Research in the Presence of Intellectual Property Rights and Research Subsidies 0 0 0 20 1 2 9 94
HAC ESTIMATION BY AUTOMATED REGRESSION 0 2 3 4 1 7 9 19
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY 0 0 0 0 1 2 2 3
Higher order approximations for Wald statistics in time series regressions with integrated processes 0 0 6 22 0 3 19 188
Higher-order approximations for frequency domain time series regression 0 1 10 46 2 7 28 145
IN MEMORY OF JOHN DENIS SARGAN 0 0 0 0 2 4 6 6
Impulse response and forecast error variance asymptotics in nonstationary VARs 0 2 13 96 1 4 32 266
Incidental trends and the power of panel unit root tests 0 2 6 7 1 7 27 33
Inference in Arch and Garch Models with Heavy--Tailed Errors 2 6 32 210 7 15 59 622
Inference in Autoregression under Heteroskedasticity 1 3 9 28 1 6 20 79
Jackknifing Bond Option Prices 1 1 9 43 2 2 28 172
Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables 1 1 5 23 1 3 24 179
Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics 0 1 1 1 0 2 2 2
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS 0 2 3 3 0 5 7 7
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS 0 1 1 1 0 2 3 3
LM Tests for a Unit Root in the Presence of Deterministic Trends 0 0 0 6 8 23 72 483
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES 0 0 0 0 2 2 3 3
Laws and Limits of Econometrics 0 1 13 83 2 6 25 241
Limit Theory in Cointegrated Vector Autoregressions 0 0 0 0 0 1 1 1
Limit theory for moderate deviations from a unit root 0 1 3 16 0 2 16 59
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 0 3 2 11 93 929
Local Whittle estimation of fractional integration and some of its variants 0 1 10 38 2 5 18 75
MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP (NZESG) 0 0 0 0 4 6 8 8
Maximum Likelihood Estimation in Panels with Incidental Trends 0 0 2 26 0 2 11 138
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure 1 1 3 23 3 5 17 92
Multiple Time Series Regression with Integrated Processes 3 11 35 190 7 26 98 593
NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES 0 0 1 2 0 2 4 4
New Heraldry for ET 0 0 0 0 0 0 0 0
New Tools for Understanding Spurious Regressions 0 0 0 0 5 14 60 478
New unit root asymptotics in the presence of deterministic trends 1 1 1 12 1 2 5 63
Nonlinear Regressions with Integrated Time Series 0 0 0 0 7 27 48 443
Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure 0 0 0 0 0 0 0 0
Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure 0 0 0 0 0 0 0 0
Nonlinear econometric models with cointegrated and deterministically trending regressors 0 0 0 19 3 6 52 631
Nonlinear instrumental variable estimation of an autoregression 0 0 2 23 0 0 6 80
Nonlinear log-periodogram regression for perturbed fractional processes 0 1 4 24 1 3 8 103
Nonstationary Binary Choice 0 0 0 0 1 5 16 202
Nonstationary discrete choice 0 1 7 31 0 3 17 91
Nonstationary discrete choice: A corrigendum and addendum 1 2 4 5 1 3 12 18
Nonstationary panel data analysis: an overview of some recent developments 6 20 72 118 13 40 159 248
OBITUARY 0 0 1 1 0 0 1 1
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER 1 4 9 12 4 13 27 35
On the Consistency of Nonlinear FIML 0 1 2 18 0 1 7 86
On the Formulation of Wald Tests of Nonlinear Restrictions 0 2 18 110 1 4 37 745
On the behavior of inconsistent instrumental variable estimators 0 0 0 3 0 3 8 21
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 2 8 17 24 8 33 81 106
Optimal Inference in Cointegrated Systems 0 0 10 154 0 2 23 584
Optimal Structural Estimation of Triangular Systems: I. The Stationary Case 0 0 0 0 0 0 0 0
Optimal Structural Estimation of Triangular Systems: II. The Non-stationary Case 0 0 0 0 0 0 0 0
Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case 0 0 1 1 0 0 1 1
Parameter Constancy in Cointegrating Regressions 0 0 0 0 0 3 20 287
Phillips on Fisher's Equation 0 3 6 31 0 10 28 166
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 1 1 1 0 2 2 2
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior 0 0 3 15 0 0 11 62
Prewhitening Bias in HAC Estimation 1 2 10 38 6 8 31 186
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS 0 1 6 6 6 21 34 34
REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS 0 0 0 0 3 4 8 8
Reduced Rank Regression Asymptotics in Multivariate Regression ? Solution 0 0 0 0 0 0 0 0
Refined Inference on Long Memory in Realized Volatility 0 1 9 9 1 2 21 24
Reflections on Econometric Methodology 0 0 0 0 2 6 25 111
Reflections on the Day 0 0 0 0 0 1 4 40
Regression Theory for Near-Integrated Time Series 0 0 14 110 3 7 51 759
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly 1 4 34 322 2 15 90 822
Robust Nonstationary Regression 0 1 1 1 0 1 2 2
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s 0 1 5 49 0 2 17 212
SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION 0 4 12 27 4 18 78 160
Simultaneous Equations Bias in Level VAR Estimation 0 0 0 0 0 1 1 1
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 3 12 80 0 5 66 453
Some Exponential Martingales 2 4 6 6 2 6 12 12
Some empirics on economic growth under heterogeneous technology 1 4 11 23 3 6 23 51
Spherical matrix distributions and cauchy quotients 1 1 2 2 1 1 2 2
Spurious Regression and Generalized Least Squares 0 1 1 1 1 3 3 3
Spurious Regression in Forecast-Encompassing Tests 0 0 0 0 0 0 0 0
Spurious Regression in Forecast-Encompassing Tests 0 2 2 2 0 2 2 2
Statistical Inference in Instrumental Variables Regression with I(1) Processes 6 26 95 298 18 71 239 735
Structural Change Tests in Tail Behaviour and the Asian Crisis 0 0 0 0 0 0 18 153
THE 2000 2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 0 0 0 0 0 3 4 4
THE 2003 2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 0 0 0 10 0 0 1 22
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2003 0 0 0 0 0 0 1 1
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2005 1 1 2 2 1 4 6 6
THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007 1 3 9 9 1 5 15 15
THE TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE: 1994 1996 0 0 0 0 1 3 3 3
Testing Causality in an Autoregression with Cointegrated Regressors 1 1 1 1 2 2 3 3
Testing for Stationarity in the Components Representation of a Time Series 0 0 0 0 0 1 1 1
Testing for a unit root by frequency domain regression 1 3 7 20 2 5 12 56
Testing for cointegration using principal components methods 4 11 37 84 10 21 67 168
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 6 19 65 190 6 27 96 351
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? 18 78 209 644 41 176 520 1,786
The 2002 Econometric Theory Awards 0 0 0 0 2 3 3 3
The A.R. Bergstrom Prize in Econometrics, 1996 0 0 0 0 0 2 2 2
The Distribution of FIML in the Leading Case 0 0 1 7 0 1 8 55
The Distribution of LIML in the Leading Case ? Solution 0 0 0 0 0 0 0 0
The Durbin-Watson ratio under infinite-variance errors 0 0 1 24 0 2 8 90
The Econometric Theory Awards 0 0 0 0 0 0 0 0
The Econometric Theory Awards 2004 0 0 0 1 0 1 1 2
The Econometric Theory Awards 2005 0 0 0 1 0 1 2 8
The Econometric Theory Awards 2006 0 0 1 6 0 1 3 16
The Econometric Theory Awards 2007 0 0 0 0 0 0 3 3
The Estimation of Some Continuous Time Models 0 0 5 27 0 2 12 114
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables 0 2 4 13 0 3 14 143
The Exact Distribution of LIML: I 1 2 4 17 2 4 10 77
The Exact Distribution of LIML: II 1 1 4 12 1 1 9 71
The Exact Distribution of the SUR Estimator 0 0 5 41 0 1 15 180
The Exact Distribution of the Wald Statistic 1 4 7 377 1 4 23 2,461
The Geometry of the Equivalence of OLS and GLS in the Linear Model 1 1 1 1 1 1 1 1
The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator 0 0 5 121 0 0 7 354
The KPSS test with seasonal dummies 0 1 4 17 0 3 7 74
The Structural Estimation of a Stochastic Differential Equation System 0 2 11 126 1 5 30 439
The Tjalling C. Koopmans Econometric Theory Prize 0 0 0 0 0 0 0 0
The concentration ellipsoid of a random vector 1 2 23 45 2 10 58 116
The distribution of matrix quotients 1 1 1 1 1 1 2 2
The exact distribution of exogenous variable coefficient estimators 0 0 0 4 0 2 7 24
The exact distribution of the Stein-rule estimator 1 1 3 12 1 1 7 36
The problem of identification in finite parameter continuous time models 2 5 15 30 2 6 29 61
The sampling distribution of forecasts from a first-order autoregression 0 0 1 5 0 0 3 18
The spurious effect of unit roots on vector autoregressions: An analytical study 1 2 7 27 5 8 18 111
Time Series Regression With a Unit Root and Infinite-Variance Errors 0 0 0 0 0 0 0 0
Time Series Regression with Mixtures of Integrated Processes 1 1 1 1 2 2 2 2
Time Series Regression with a Unit Root 7 23 71 854 16 62 197 3,395
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 0 0 6 51 0 4 26 202
Transition Modeling and Econometric Convergence Tests 1 5 29 50 7 33 128 202
Trending Multiple Time Series: Editor's Introduction 0 0 0 0 0 2 2 2
Trending time series and macroeconomic activity: Some present and future challenges 0 0 2 18 0 0 8 78
Trends versus Random Walks in Time Series Analysis 2 3 18 130 3 7 50 560
Understanding spurious regressions in econometrics 6 22 78 211 13 41 158 497
Uniform Limit Theory for Stationary Autoregression 1 1 6 27 3 7 17 82
Unit Root Testing with Intermittent Data 0 1 1 1 0 1 1 1
Unit root log periodogram regression 1 2 9 28 3 8 22 89
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN 0 1 1 1 1 2 3 3
Vector Autoregressions and Causality 4 13 59 484 9 33 115 1,044
Vector autoregression and causality: a theoretical overview and simulation study 3 9 34 49 6 14 62 97
Weak convergence to the matrix stochastic integral [integral operator]01 B dB' 0 0 0 0 1 2 2 2
Total Journal Articles 161 524 1,793 9,345 456 1,521 5,489 39,446
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