Peter C.B. Phillips

Journal Articles

1. Jin Seo Cho, Peter C. B. Phillips (2025). GMM estimation with Brownian kernels applied to income inequality measurement. Journal of Econometrics.DOI
2. Rerotlhe B. Basele, Peter C. B. Phillips, Shuping Shi (2025). Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven. Journal of Time Series Analysis.DOI
3. Lynn Bergeland Morgan, Peter C.B. Phillips, Donggyu Sul (2025). Policy Evaluation with Nonlinear Trended Outcomes: Covid‐19 Vaccination Rates in the United States. Journal of Applied Econometrics.DOI
4. Violetta Dalla, Liudas Giraitis, Peter C.B. Phillips (2025). Testing Mean Stability of Heteroskedastic Time Series. Journal of Time Series Analysis.DOI
5. Ying Wang, Peter C.B. Phillips (2025). Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors. Journal of Econometrics.DOI
6. Jia Li, Peter C.B. Phillips, Shuping Shi, Jun Yu (2025). Weak Identification of Long Memory with Implications for Volatility Modeling. Review of Financial Studies.DOI
7. Yixiao Sun, Peter C.B. Phillips, Igor Kheifets (2025). Estimation and inference in a possibly multicointegrated system with a fixed number of instruments. Economics Letters.DOI
8. Ying Wang, Peter C.B. Phillips, Yundong Tu (2025). Limit theory and inference in non-cointegrated functional coefficient regression. Journal of Econometrics.DOI
9. Jungyoon Lee, Peter C. B. Phillips, Francesca Rossi (2024). HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION. Econometric Theory.DOI
10. Qiying Wang, Peter C.B. Phillips (2024). A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES. Econometric Theory.DOI
11. Eva Biswas, Farzad Sabzikar, Peter C.B. Phillips (2024). Boosting the HP filter for trending time series with long-range dependence. Econometric Reviews.DOI
12. Ziwei Mei, Peter C.B. Phillips, Zhentao Shi (2024). The boosted Hodrick‐Prescott filter is more general than you might think. Journal of Applied Econometrics.DOI
13. Liudas Giraitis, Yufei Li, Peter C.B. Phillips (2024). Reprint of: Robust inference on correlation under general heterogeneity. Journal of Econometrics.DOI
14. Shuyao Ke, Peter C.B. Phillips, Liangjun Su (2024). Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. Journal of Econometrics.DOI
15. Liudas Giraitis, Yufei Li, Peter C.B. Phillips (2024). Robust inference on correlation under general heterogeneity. Journal of Econometrics.DOI
16. Y. H. Wang, Peter C.B. Phillips, Liangjun Su (2024). Panel data models with time-varying latent group structures. Journal of Econometrics.DOI
17. Peter C.B. Phillips, Igor Kheifets (2023). High-dimensional IV cointegration estimation and inference. Journal of Econometrics.DOI
18. Yiu Lim Lui, Peter C.B. Phillips, Jun Yu (2023). Robust testing for explosive behavior with strongly dependent errors. Journal of Econometrics.DOI
19. Shuping Shi, Peter C.B. Phillips (2023). Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer. Australian Economic Review.DOI
20. Ryan Greenaway‐McGrevy, Peter C.B. Phillips (2023). The impact of upzoning on housing construction in Auckland. Journal of Urban Economics.DOI
21. Yanbo Liu, Peter C.B. Phillips, Jun Yu (2023). A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR. International Economic Review.DOI
22. Ping Yu, Qin Liao, Peter C.B. Phillips (2023). NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY. Econometric Theory.DOI
23. Peter C.B. Phillips, Jun Yu (2023). Information loss in volatility measurement with flat price trading. Empirical Economics.DOI
24. Liang Jiang, Peter C.B. Phillips, Yubo Tao, Yichong Zhang (2022). Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations. Journal of Econometrics.DOI
25. Peter C.B. Phillips (2022). ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS. Econometric Theory.DOI
26. Peter C.B. Phillips, Ying Wang (2022). LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION. Econometric Theory.DOI
27. Yanbo Liu, Peter C.B. Phillips (2022). Robust inference with stochastic local unit root regressors in predictive regressions. Journal of Econometrics.DOI
28. Ke Miao, Peter C.B. Phillips, Liangjun Su (2022). High-dimensional VARs with common factors. Journal of Econometrics.DOI
29. Maria Kyriacou, Peter C. B. Phillips, Francesca Rossi (2021). CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS. Econometric Theory.DOI
30. Peter C.B. Phillips (2021). Pitfalls in Bootstrapping Spurious Regression. Journal of Quantitative Economics.DOI
31. Ye Chen, Peter C.B. Phillips, Shuping Shi (2021). Common Bubble Detection in Large Dimensional Financial Systems. Journal of Financial Econometrics.DOI
32. Peter C.B. Phillips, Ying Wang (2021). When bias contributes to variance: True limit theory in functional coefficient cointegrating regression. Journal of Econometrics.DOI
33. Jin Seo Cho, Peter C.B. Phillips, Juwon Seo (2021). PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES. International Economic Review.DOI
34. Liang Jiang, Xiaobin Liu, Peter C.B. Phillips, Yichong Zhang (2021). Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs. The Review of Economics and Statistics.DOI
35. Igor Kheifets, Peter C.B. Phillips (2021). Fully modified least squares cointegrating parameter estimation in multicointegrated systems. Journal of Econometrics.DOI
36. Shuping Shi, Peter C.B. Phillips (2021). Diagnosing housing fever with an econometric thermometer. Journal of Economic Surveys.DOI
37. Ryan Greenaway‐McGrevy, Peter C.B. Phillips (2021). House prices and affordability. New Zealand Economic Papers.DOI
38. Jungyoon Lee, Peter C. B. Phillips, Francesca Rossi (2020). Consistent Misspecification Testing in Spatial Autoregressive Models. Social Science Research Network.DOI
39. O⁄er Lieberman, Peter C. B. Phillips (2020). Understanding temporal aggregation effects on kurtosis in financial indices. Journal of Econometrics.DOI
40. Qiying Wang, Peter C.B. Phillips (2020). OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION. Econometric Theory.DOI
41. Peter C.B. Phillips, Sainan Jin (2020). BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER. International Economic Review.DOI
42. Peter C.B. Phillips, Zhentao Shi (2020). BOOSTING: WHY YOU CAN USE THE HP FILTER. International Economic Review.DOI
43. Violetta Dalla, Liudas Giraitis, Peter C.B. Phillips (2020). ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION. Econometric Theory.DOI
44. Wenxin Huang, Sainan Jin, Peter C.B. Phillips, Liangjun Su (2020). Nonstationary panel models with latent group structures and cross-section dependence. Journal of Econometrics.DOI
45. Peter C.B. Phillips (2020). Dynamic Panel Modeling of Climate Change. Econometrics.DOI
46. Anna Bykhovskaya, Peter C.B. Phillips (2020). Point optimal testing with roots that are functionally local to unity. Journal of Econometrics.DOI
47. Qiying Wang, Peter C.B. Phillips, Ioannis Kasparis (2020). LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION. Econometric Theory.DOI
48. Farzad Sabzikar, Qiying Wang, Peter C.B. Phillips (2020). Asymptotic theory for near integrated processes driven by tempered linear processes. Journal of Econometrics.DOI
49. Peter C.B. Phillips, Xiaohu Wang, Yonghui Zhang (2019). HAR Testing for Spurious Regression in Trend. Econometrics.DOI
50. John C. Chao, Peter C.B. Phillips (2019). Uniform Inference in Panel Autoregression. Econometrics.DOI
51. Degui Li, Peter C.B. Phillips, Jiti Gao (2019). Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression. Journal of Econometrics.DOI
52. Offer Lieberman, Peter C.B. Phillips (2019). Hybrid stochastic local unit roots. Journal of Econometrics.DOI
53. Peter C.B. Phillips, Thomas Leirvik, Trude Storelvmo (2019). Econometric estimates of Earth’s transient climate sensitivity. Journal of Econometrics.DOI
54. Shuping Shi, Stan Hurn, Peter C.B. Phillips (2019). Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*. Journal of Financial Econometrics.DOI
55. Jianning Kong, Peter C.B. Phillips, Donggyu Sul (2019). Weak σ -convergence: Theory and applications. Journal of Econometrics.DOI
56. Yubo Tao, Peter C.B. Phillips, Jun Yu (2019). Random coefficient continuous systems: Testing for extreme sample path behavior. Journal of Econometrics.DOI
57. Zhishui Hu, Peter C.B. Phillips, Qiying Wang (2019). NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY. Econometric Theory.DOI
58. Wuyi Wang, Peter C.B. Phillips, Liangjun Su (2018). The heterogeneous effects of the minimum wage on employment across states. Economics Letters.DOI
59. Shuping Shi, Peter C.B. Phillips, Stan Hurn (2018). Change Detection and the Causal Impact of the Yield Curve. Journal of Time Series Analysis.DOI
60. Ping Yu, Peter C.B. Phillips (2018). Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion. Economics Letters.DOI
61. Tingting Cheng, Jiti Gao, Peter C.B. Phillips (2018). A frequentist approach to Bayesian asymptotics. Journal of Econometrics.DOI
62. Wuyi Wang, Peter C.B. Phillips, Liangjun Su (2018). Homogeneity pursuit in panel data models: Theory and application. Journal of Applied Econometrics.DOI
63. Anna Bykhovskaya, Peter C.B. Phillips (2018). Boundary Limit Theory for Functional Local to Unity Regression. Journal of Time Series Analysis.DOI
64. Peter C.B. Phillips, Shuping Shi (2017). FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION. Econometric Theory.DOI
65. Jin Seo Cho, Peter C.B. Phillips (2017). Pythagorean generalization of testing the equality of two symmetric positive definite matrices. Journal of Econometrics.DOI
66. Ye Chen, Peter C.B. Phillips, Jun Yu (2017). Inference in continuous systems with mildly explosive regressors. Journal of Econometrics.DOI
67. Offer Lieberman, Peter C.B. Phillips (2017). IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS. Econometric Theory.DOI
68. Jin Seo Cho, Peter C.B. Phillips (2017). Sequentially testing polynomial model hypotheses using power transforms of regressors. Journal of Applied Econometrics.DOI
69. Peter C.B. Phillips, Wayne Yuan Gao (2017). Structural inference from reduced forms with many instruments. Journal of Econometrics.DOI
70. Peter C.B. Phillips (2017). TRIBUTE TO T.W. ANDERSON. Econometric Theory.DOI
71. Peter C.B. Phillips, Aman Ullah (2017). Econometric Reviews honors Esfandiar Maasoumi. Econometric Reviews.DOI
72. Peter C.B. Phillips (2017). Reduced forms and weak instrumentation. Econometric Reviews.DOI
73. Maria Kyriacou, Peter C.B. Phillips, Francesca Rossi (2017). Indirect inference in spatial autoregression. Econometrics Journal.DOI
74. Ping Yu, Peter C.B. Phillips (2017). Threshold regression with endogeneity. Journal of Econometrics.DOI
75. Peter C.B. Phillips, Degui Li, Jiti Gao (2016). Estimating smooth structural change in cointegration models. Journal of Econometrics.DOI
76. Offer Lieberman, Peter C.B. Phillips (2016). A multivariate stochastic unit root model with an application to derivative pricing. Journal of Econometrics.DOI
77. Jin Seo Cho, Myung-Ho Park, Peter C.B. Phillips (2016). Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea. Journal of Business and Economic Statistics.DOI
78. Peter C.B. Phillips, Ji Hyung Lee (2016). Robust econometric inference with mixed integrated and mildly explosive regressors. Journal of Econometrics.DOI
79. Peter C.B. Phillips (2016). Modeling speculative bubbles with diverse investor expectations. Research in Economics.DOI
80. Peter C. B. Phillips, Shu-Ping Shi, Jun Yu (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500.DOI
81. Ji Hyung Lee, Peter C.B. Phillips (2015). Asset pricing with financial bubble risk. Journal of Empirical Finance.DOI
82. Chirok Han, Peter C.B. Phillips, Donggyu Sul (2015). Lag length selection in panel autoregression. Econometric Reviews.DOI
83. Peter C.B. Phillips, Shuping Shi, Jun Yu (2015). Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles. ePrints Soton (University of Southampton).DOI
84. Peter C.B. Phillips (2015). DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY. Econometric Theory.DOI
85. Liang Jiang, Peter C.B. Phillips, Jun Yu (2015). New methodology for constructing real estate price indices applied to the Singapore residential market. Journal of Banking & Finance.DOI
86. Ryan Greenaway‐McGrevy, Peter C.B. Phillips (2015). Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres. New Zealand Economic Papers.DOI
87. Peter C.B. Phillips (2015). Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression. Journal of Financial Econometrics.DOI
88. Peter C.B. Phillips (2015). Edmond Malinvaud: a tribute to his contributions in econometrics. Econometrics Journal.DOI
89. Degui Li, Peter C.B. Phillips, Jiti Gao (2015). UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION. Econometric Theory.DOI
90. Peter C.B. Phillips (2015). MEMORIAL TO EDMOND MALINVAUD. Econometric Theory.DOI
91. Yaein Baek, Jin Seo Cho, Peter C.B. Phillips (2015). Testing linearity using power transforms of regressors. Journal of Econometrics.DOI
92. Zhipeng Liao, Peter C.B. Phillips (2015). AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS. Econometric Theory.DOI
93. Yoonseok Lee, Peter C.B. Phillips (2015). Model selection in the presence of incidental parameters. Journal of Econometrics.DOI
94. Peter C.B. Phillips, Ji Hyung Lee (2014). Limit Theory for VARs with Mixed Roots Near Unity. Econometric Reviews.DOI
95. Peter C.B. Phillips, Chirok Han (2014). The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression. Economics Letters.DOI
96. Qiying Wang, Peter C.B. Phillips (2014). NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY. Econometric Theory.DOI
97. Offer Lieberman, Peter C.B. Phillips (2014). NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS. Journal of Time Series Analysis.DOI
98. Peter C.B. Phillips (2014). Meritocracy Voting: Measuring the Unmeasurable. Econometric Reviews.DOI
99. Ioannis Kasparis, Elena Andreou, Peter C.B. Phillips (2014). Nonparametric predictive regression. Journal of Econometrics.DOI
100. Giuseppe Cavaliere, Peter C.B. Phillips, Stephan Smeekes, Robert Taylor (2014). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews.DOI
101. Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean‐Marie Dufour, Robert F. Engle, Andrew C. Harvey, Siem Jan Koopman, M. Hashem Pesaran, Peter C.B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Éric Jacquier, Kenneth L. Judd, Gary M. Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D.S.G. Pollock, Tommaso Proietti, Jeroen V.K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean‐Michel Zakoïan, H. Peter Boswijk, Alessandra Luati, John M. Maheu (2014). CFEnetwork: The Annals of Computational and Financial Econometrics. Computational Statistics & Data Analysis.DOI
102. Peter C.B. Phillips, Sainan Jin (2014). Testing the Martingale Hypothesis. Journal of Business and Economic Statistics.DOI
103. Hyungsik Roger Moon, Benoît Perron, Peter C.B. Phillips (2014). Point-optimal panel unit root tests with serially correlated errors. Econometrics Journal.DOI
104. Peter C.B. Phillips (2014). UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY. Econometric Theory.DOI
105. Peter C.B. Phillips (2014). On Confidence Intervals for Autoregressive Roots and Predictive Regression. Econometrica.DOI
106. Peter C.B. Phillips, Shuping Shi, Jun Yu (2013). Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics.DOI
107. Chirok Han, Peter C.B. Phillips (2013). First difference maximum likelihood and dynamic panel estimation. Journal of Econometrics.DOI
108. Ioannis Kasparis, Peter C.B. Phillips, Tassos Magdalinos (2013). Nonlinearity Induced Weak Instrumentation. Econometric Reviews.DOI
109. Peter C.B. Phillips (2013). Optimal estimation of cointegrated systems with irrelevant instruments. Journal of Econometrics.DOI
110. Chirok Han, Peter C.B. Phillips, Donggyu Sul (2013). X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION. Econometric Theory.DOI
111. Peter C.B. Phillips, Jun Yu (2013). SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION. Econometric Theory.DOI
112. Jiti Gao, Peter C.B. Phillips (2013). Semiparametric estimation in triangular system equations with nonstationarity. Journal of Econometrics.DOI
113. Peter C.B. Phillips, Ji Hyung Lee (2013). Predictive regression under various degrees of persistence and robust long-horizon regression. Journal of Econometrics.DOI
114. Peter C.B. Phillips, Tassos Magdalinos (2013). INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS. Econometric Theory.DOI
115. Yonghui Zhang, Liangjun Su, Peter C.B. Phillips (2012). Testing for common trends in semi‐parametric panel data models with fixed effects. Econometrics Journal.DOI
116. Xu Cheng, Peter C.B. Phillips (2012). Cointegrating rank selection in models with time-varying variance. Journal of Econometrics.DOI
117. Werner Ploberger, Peter C.B. Phillips (2012). Optimal estimation under nonstandard conditions. Journal of Econometrics.DOI
118. Peter C.B. Phillips, Cowles Foundation, Paper No, Peter C. B. Phillips, CV Phillips (2012). Folklore Theorems, Implicit Maps, and Indirect Inference. Econometrica.DOI
119. Ioannis Kasparis, Peter C.B. Phillips (2012). Dynamic misspecification in nonparametric cointegrating regression. Journal of Econometrics.DOI
120. Liudas Giraitis, Peter C.B. Phillips (2012). Mean and autocovariance function estimation near the boundary of stationarity. Journal of Econometrics.DOI
121. Peter C. B. Phillips, Jun Yu (2011). Dating the Timeline of Financial Bubbles During the Subprime Crisis.DOI
122. Xiaoxia Shi, Peter C.B. Phillips (2011). NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION. Econometric Theory.DOI
123. Peter C.B. Phillips, Liangjun Su (2011). Non‐parametric regression under location shifts. Econometrics Journal.DOI
124. Peter C.B. Phillips, Jun Yu (2011). THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS. Econometric Theory.DOI
125. Yixiao Sun, Peter C.B. Phillips, Sainan Jin (2011). POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS. Econometric Theory.DOI
126. Chirok Han, Peter C.B. Phillips, Donggyu Sul (2011). UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION. Econometric Theory.DOI
127. Ke‐Li Xu, Peter C.B. Phillips (2011). Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications. Journal of Business and Economic Statistics.DOI
128. Peter C.B. Phillips, Yangru Wu, Jun Yu (2011). EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*. International Economic Review.DOI
129. Peter C.B. Phillips, Jun Yu (2011). Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’. Econometrics Journal.DOI
130. Peter C.B. Phillips, Tassos Magdalinos (2011). Inconsistent VAR Regression with Common Explosive Roots. ePrints Soton (University of Southampton).
131. Xiaohu Wang, Peter C.B. Phillips, Jun Yu (2010). Bias in estimating multivariate and univariate diffusions. Journal of Econometrics.DOI
132. Chirok Han, Jin Seo Cho, Peter C.B. Phillips (2010). Infinite Density at the Median and the Typical Shape of Stock Return Distributions. Journal of Business and Economic Statistics.DOI
133. Qiying Wang, Peter C.B. Phillips (2010). ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS. Econometric Theory.DOI
134. Carlo V. Fiorio, Vassilis Argyrou Hajivassiliou, Peter C.B. Phillips (2010). Bimodal t-ratios: the impact of thick tails on inference. Econometrics Journal.DOI
135. Peter C.B. Phillips (2010). Two New Zealand pioneer econometricians. New Zealand Economic Papers.DOI
136. Peter C.B. Phillips, Tassos Magdalinos, Liudas Giraitis (2010). Smoothing local-to-moderate unit root theory. Journal of Econometrics.DOI
137. Peter C.B. Phillips (2010). Bootstrapping I(1) data. Journal of Econometrics.DOI
138. Peter C. B. Phillips, Donggyu Sul (2009). Economic Transition and Growth.DOI
139. Peter C. B. Phillips, Liang-Jun Su (2009). Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor.DOI
140. Seung Hyun Hong, Peter C.B. Phillips (2009). Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity. Journal of Business and Economic Statistics.DOI
141. Christian Gouriéroux, Peter C.B. Phillips, Jun Yu (2009). Indirect inference for dynamic panel models. Journal of Econometrics.DOI
142. Peter C.B. Phillips, Tassos Magdalinos (2009). UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST. Econometric Theory.DOI
143. Peter C.B. Phillips (2009). LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION. Econometric Theory.DOI
144. Marcus J. Chambers, Peter C.B. Phillips, Robert Taylor (2009). ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION. Econometric Theory.DOI
145. Chirok Han, Peter C.B. Phillips (2009). GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. Econometric Theory.DOI
146. Peter C.B. Phillips (2009). Long memory and long run variation. Journal of Econometrics.DOI
147. Qiying Wang, Peter C.B. Phillips (2009). ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION. Econometric Theory.DOI
148. Peter C.B. Phillips (2009). EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY. Econometric Theory.DOI
149. Peter C.B. Phillips, Jun Yu (2009). Simulation-Based Estimation of Contingent-Claims Prices. Review of Financial Studies.DOI
150. Tassos Magdalinos, Peter C.B. Phillips (2009). LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS. Econometric Theory.DOI
151. Peter C.B. Phillips (2009). ECONOMETRIC THEORY AND PRACTICE. Econometric Theory.DOI
152. Xu Cheng, Peter C.B. Phillips (2009). Semiparametric cointegrating rank selection. Econometrics Journal.DOI
153. Rustam Ibragimov, Peter C. B. Phillips (2008). REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS. Econometric Theory.DOI
154. Peter C.B. Phillips, Jun Yu (2008). A two-stage realized volatility approach to estimation of diffusion processes with discrete data. Journal of Econometrics.DOI
155. Peter C.B. Phillips, Tassos Magdalinos (2008). LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS. Econometric Theory.DOI
156. Peter C.B. Phillips, Chirok Han (2008). GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT. Econometric Theory.DOI
157. Yixiao Sun, Peter C.B. Phillips, Sainan Jin (2008). Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing. Econometrica.DOI
158. Peter C.B. Phillips (2008). Unit Root Model Selection. JOURNAL OF THE JAPAN STATISTICAL SOCIETY.DOI
159. Peter C. B. Phillips, Donggyu Sul (2007). Transition Modeling and Econometric Convergence Tests.DOI
160. Peter C.B. Phillips, Chang Sik Kim (2007). LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES. Econometric Theory.DOI
161. Peter C.B. Phillips, Donggyu Sul (2007). Some empirics on economic growth under heterogeneous technology. Journal of Macroeconomics.DOI
162. Peter C.B. Phillips (2007). REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS. Econometric Theory.DOI
163. Peter C.B. Phillips, Sainan Jin, Ling Hu (2007). Nonstationary discrete choice: A corrigendum and addendum. Journal of Econometrics.DOI
164. Peter C. B. Phillips (2006). A remark on bimodality and weak instrumentation in structural equation estimation. Econometric Theory, Vol. 220, No. 5.DOI
165. Hyungsik Roger Moon, Benoît Perron, Peter C.B. Phillips (2006). Incidental trends and the power of panel unit root tests. Journal of Econometrics.DOI
166. Peter C.B. Phillips, Yixiao Sun, Sainan Jin (2006). Long run variance estimation and robust regression testing using sharp origin kernels with no truncation. Journal of Statistical Planning and Inference.DOI
167. Peter C.B. Phillips, Yixiao Sun, Sainan Jin (2006). SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION*. International Economic Review.DOI
168. Peter C.B. Phillips (2006). Unit root log periodogram regression. Journal of Econometrics.DOI
169. Sainan Jin, Peter C.B. Phillips, Yixiao Sun (2006). A new approach to robust inference in cointegration. Economics Letters.DOI
170. Peter C.B. Phillips, Donggyu Sul (2006). Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence. Journal of Econometrics.DOI
171. Peter C.B. Phillips, Jun Yu (2006). Comment. Journal of Business and Economic Statistics.DOI
172. Liudas Giraitis, Peter C.B. Phillips (2006). Uniform Limit Theory for Stationary Autoregression. Journal of Time Series Analysis.DOI
173. Peter C.B. Phillips (2005). Albert Rex Bergstrom 1925–2005. New Zealand Economic Papers.DOI
174. Offer Lieberman, Peter C.B. Phillips (2005). Expansions for approximate maximum likelihood estimators of the fractional difference parameter. Econometrics Journal.DOI
175. Peter C.B. Phillips, Tassos Magdalinos (2005). Limit theory for moderate deviations from a unit root. Journal of Econometrics.DOI
176. Donggyu Sul, Peter C.B. Phillips, Chi‐Young Choi (2005). Prewhitening Bias in HAC Estimation*. Oxford Bulletin of Economics and Statistics.DOI
177. Peter C.B. Phillips (2005). Challenges of trending time series econometrics. Mathematics and Computers in Simulation.DOI
178. Katsumi Shimotsu, Peter C.B. Phillips (2005). Local Whittle estimation of fractional integration and some of its variants. Journal of Econometrics.DOI
179. Peter C.B. Phillips (2005). HAC ESTIMATION BY AUTOMATED REGRESSION. Econometric Theory.DOI
180. Peter C.B. Phillips, Jun Yu (2005). Jackknifing bond option prices. ResearchSpace (University of Auckland).DOI
181. Peter C. B. Phillips (2004). AUTOMATED DISCOVERY IN ECONOMETRICS. Econometric Theory.DOI
182. Yixiao Sun, Peter C.B. Phillips (2004). Understanding the Fisher equation. Journal of Applied Econometrics.DOI
183. Offer Lieberman, Peter C.B. Phillips (2004). Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra. Journal of Time Series Analysis.DOI
184. Peter C.B. Phillips, Viv B. Hall (2004). Early development of econometric software at the University of Auckland. Journal of Economic and Social Measurement.DOI
185. Offer Lieberman, Peter C.B. Phillips (2004). EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER. Econometric Theory.DOI
186. Werner Ploberger, Peter C.B. Phillips (2003). An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional*. Oxford Bulletin of Economics and Statistics.DOI
187. Peter C.B. Phillips, Yixiao Sun (2003). 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution. Econometric Theory.DOI
188. Peter C.B. Phillips, Donggyu Sul (2003). Dynamic panel estimation and homogeneity testing under cross section dependence. Econometrics Journal.DOI
189. Peter C.B. Phillips, Joon Park, Yoosoon Chang (2003). Nonlinear instrumental variable estimation of an autoregression. Journal of Econometrics.DOI
190. Yixiao Sun, Peter C.B. Phillips (2003). Nonlinear log-periodogram regression for perturbed fractional processes. Journal of Econometrics.DOI
191. Peter C.B. Phillips (2003). VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN. Econometric Theory.DOI
192. Werner Ploberger, Peter C.B. Phillips (2003). Empirical Limits for Time Series Econometric Models. Econometrica.DOI
193. Federico Maria Bandi, Peter C.B. Phillips (2003). Fully Nonparametric Estimation of Scalar Diffusion Models. Econometrica.DOI
194. Peter C.B. Phillips (2002). New unit root asymptotics in the presence of deterministic trends. Journal of Econometrics.DOI
195. John C. Chao, Peter C.B. Phillips (2002). Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables. Journal of Econometrics.DOI
196. Peter C.B. Phillips, Sainan Jin (2002). The KPSS test with seasonal dummies. Economics Letters.DOI
197. Dean Corbae, Sam Ouliaris, Peter C.B. Phillips (2002). Band Spectral Regression with Trending Data. Econometrica.DOI
198. Zhijie Xiao, Peter C.B. Phillips (2002). A CUSUM test for cointegration using regression residuals. Journal of Econometrics.DOI
199. Zhijie Xiao, Peter C.B. Phillips (2002). Higher order approximations for Wald statistics in time series regressions with integrated processes. Journal of Econometrics.DOI
200. Jun Yu, Peter C.B. Phillips (2001). A Gaussian approach for continuous time models of the short-term interest rate. Econometrics Journal.DOI
201. Carmela E. Quintos, Zhenhong Fan, Peter C.B. Phillips (2001). Structural Change Tests in Tail Behaviour and the Asian Crisis. The Review of Economic Studies.DOI
202. Yoosoon Chang, Joon‐Young Park, Peter C.B. Phillips (2001). Nonlinear econometric models with cointegrated and deterministically trending regressors. Econometrics Journal.DOI
203. Peter C.B. Phillips, Hyungsik Roger Moon, Zhijie Xiao (2001). HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY. Econometric Theory.DOI
204. Hyungsik Roger Moon, Peter C.B. Phillips (2000). ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA. Econometric Theory.DOI
205. Aaron Schiff, Peter C.B. Phillips (2000). Forecasting New Zealand's real GDP. New Zealand Economic Papers.DOI
206. John C. Chao, Peter C.B. Phillips (1999). Model selection in partially nonstationary vector autoregressive processes with reduced rank structure. Journal of Econometrics.DOI
207. John C. Chao, Peter C.B. Phillips (1998). Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior. Journal of Econometrics.DOI
208. Peter C. B. Phillips (1994). Convergence of a Nonlinear Time Series Model. Econometric Theory.DOI
209. Peter C. B. Phillips (1993). Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure. Econometric Theory.DOI
210. Peter C.B. Phillips (1993). Comment on “modeling asset returns with alternative stable distributions”. Econometric Reviews.DOI

Preprints

1. Ye Chen, Peter C.B. Phillips, Shuping Shi (2025). Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference *. SSRN Electronic Journal.DOI
2. Ping Yu, Shengjie Hong, Peter C.B. Phillips (2025). Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects. SSRN Electronic Journal.DOI
3. Shuping Shi, Peter C.B. Phillips (2024). Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data. SSRN Electronic Journal.DOI
4. Todd Henry, Peter C.B. Phillips (2020). Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. SSRN Electronic Journal.DOI
5. Peter C.B. Phillips, Zhentao Shi (2019). Boosting the Hodrick-Prescott Filter. SSRN Electronic Journal.DOI
6. Ping Yu, Qin Liao, Peter C.B. Phillips (2019). Inference and Specification Testing in Threshold Regression with Endogeneity. SSRN Electronic Journal.DOI
7. Peter C.B. Phillips (2017). Detecting Financial Collapse and Ballooning Sovereign Risk. SSRN Electronic Journal.DOI
8. David F. Hendry, Peter C.B. Phillips (2017). John Denis Sargan at the London School of Economics. SSRN Electronic Journal.DOI
9. Peter C.B. Phillips (2017). Unit Roots in Life and Research. SSRN Electronic Journal.DOI
10. Offer Lieberman, Peter C.B. Phillips (2016). IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models. SSRN Electronic Journal.DOI
11. Peter C.B. Phillips (2015). Pitfalls and Possibilities in Predictive Regression. SSRN Electronic Journal.DOI
12. Violetta Dalla, Liudas Giraitis, Peter C.B. Phillips (2015). Testing Mean Stability of Heteroskedastic Time Series. SSRN Electronic Journal.DOI
13. Liang Jiang, Peter C.B. Phillips, Jun Yu (2014). A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market. SSRN Electronic Journal.DOI
14. Liangjun Su, Zhentao Shi, Peter C.B. Phillips (2014). Identifying Latent Structures in Panel Data. SSRN Electronic Journal.DOI
15. Han‐Ying Liang, Peter C.B. Phillips, Hanchao Wang, Qiying Wang (2014). Weak Convergence to Stochastic Integrals for Econometric Applications. SSRN Electronic Journal.DOI
16. Peter C.B. Phillips (2014). Dynamic Panel GMM with Near Unity. SSRN Electronic Journal.DOI
17. Jin Seo Cho, Peter C.B. Phillips (2014). Testing Equality of Covariance Matrices via Pythagorean Means. SSRN Electronic Journal.DOI
18. Peter C.B. Phillips, Ye Chen (2014). Restricted Likelihood Ratio Tests in Predictive Regression. SSRN Electronic Journal.DOI
19. Jiti Gao, Peter C.B. Phillips (2013). Functional Coefficient Nonstationary Regression. SSRN Electronic Journal.DOI
20. Qiying Wang, Peter C.B. Phillips (2012). A specification test for nonlinear nonstationary models.
21. Peter C.B. Phillips, Zhipeng Liao (2012). Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications. SSRN Electronic Journal.DOI
22. Qiying Wang, Peter C.B. Phillips (2011). Specification Testing for Nonlinear Cointegrating Regression. SSRN Electronic Journal.DOI
23. Peter C.B. Phillips (2010). The Mysteries of Trend. SSRN Electronic Journal.DOI
24. Peter C.B. Phillips (2010). Folklore Theorems, Implicit Maps and New Unit Root Limit Theory. SSRN Electronic Journal.DOI
25. Jiti Gao, Peter C.B. Phillips (2010). Semiparametric Estimation in Time Series of Simultaneous Equations. SSRN Electronic Journal.DOI
26. Peter C.B. Phillips, Liangjun Su (2009). A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression. SSRN Electronic Journal.DOI
27. Jin Seo Cho, Chirok Han, Peter C.B. Phillips (2009). LAD Asymptotics Under Conditional Heteroskedasticity with Possibly Infinite Error Densities. SSRN Electronic Journal.DOI
28. Binbin Guo, Peter C.B. Phillips (2003). Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form. SSRN Electronic Journal.DOI
29. Binbin Guo, Peter C.B. Phillips (2003). Efficient Estimation of Second Moment Parameters in Arch Models. SSRN Electronic Journal.DOI
30. Binbin Guo, Peter C.B. Phillips (2003). Efficient Estimation of Stock Volatility. SSRN Electronic Journal.DOI
31. Peter C.B. Phillips (1999). Discrete Fourier Transforms of Fractional Processes August. RePEc: Research Papers in Economics.

Book Chapters

1. Stan Hurn, Vance L. Martin, Peter C.B. Phillips, Jun Yu (2026). Teaching Financial Econometrics to Students Converting to Finance. Advanced studies in theoretical and applied econometrics.DOI
2. Peter C.B. Phillips (2023). Discrete Fourier Transforms of Fractional Processes with Econometric Applications. Emerald Group Publishing Limited eBooks.DOI
3. Peter C.B. Phillips, Jun Yu (2023). Information loss in volatility measurement with flat price trading. Advanced studies in theoretical and applied econometrics.DOI
4. Jianning Kong, Peter C.B. Phillips, Donggyu Sul (2020). Testing Convergence Using HAR Inference. Emerald Group Publishing Limited eBooks.DOI
5. Peter C.B. Phillips, Shuping Shi (2019). Real time monitoring of asset markets: Bubbles and crises. Handbook of statistics.DOI
6. Peter C.B. Phillips (2016). Inference in Near-Singular Regression. Emerald Group Publishing Limited eBooks.DOI
7. Peter C.B. Phillips, Jun Yu (2009). Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance. Springer eBooks.DOI

Books

1. Katsumi Shimotsu, Peter C.B. Phillips (2002). Exact Local Whittle Estimation of Fractional \nIntegration. Open Access at Essex (University of Essex).