← All authors Peter C.B. Phillips University of Auckland (from arXiv:2307.15863, 2023) · ORCID · OpenAlex
234 papers in scope · 232 published · 7 on the econ.EM arXiv · 47,457 citations · h-index 66 (over the papers listed here)
Identity warning. This OpenAlex author record appears to combine more than one person. Treat the list below with caution. Evidence: works_count 945 >= 800; alternative names carry 6 different surnames: hellman, peixoto, peng, perrella, pezzullo; 8 top-level fields at >=2% share; corroborated by 3 coauthors on its econ.EM paper(s).
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yuehao Bai Zhentao Shi Max Tabord-Meehan Azeem M. Shaikh Liang Jiang Jizhou Liu Yichong Zhang Ziwei Mei Undral Byambadalai Shota Yasui Tatsushi Oka Won-Ki Seo Federico A. Bugni Ji Hyung Lee Weibiao Wu Songqiao Tang Brendan K. Beare Ivan A. Canay Paolo Paruolo Massimo Franchi Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (7 of 234)
GMM estimation with Brownian kernels applied to income inequality measurement
published 2025 · Journal of Econometrics · first circulated 2024
with Jin Seo Cho
working paper 2025 · arXiv
Policy Evaluation with Nonlinear Trended Outcomes: Covid‐19 Vaccination Rates in the United States
published 2025 · Journal of Applied Econometrics
with Lynn Bergeland Morgan, Donggyu Sul
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors
published 2025 · Journal of Econometrics · 2 citations
with Ying Wang
Weak Identification of Long Memory with Implications for Volatility Modeling
published 2025 · Review of Financial Studies · 6 citations
Limit theory and inference in non-cointegrated functional coefficient regression
published 2025 · Journal of Econometrics · first circulated 2024
The boosted Hodrick‐Prescott filter is more general than you might think
published 2024 · Journal of Applied Econometrics · 9 citations
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION
published 2024 · Econometric Theory · 4 citations
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
published 2024 · Journal of Econometrics · 3 citations
published 2024 · Journal of Econometrics · 15 citations · first circulated 2023
High-dimensional IV cointegration estimation and inference
published 2023 · Journal of Econometrics · 4 citations
Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
published 2023 · Australian Economic Review · 5 citations
The impact of upzoning on housing construction in Auckland
published 2023 · Journal of Urban Economics · 66 citations
with Ryan Greenaway-McGrevy
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
published 2023 · International Economic Review · 3 citations · first circulated 2022
THE ECONOMETRIC THEORY AWARDS 2023
published 2023 · Econometric Theory
published 2022 · Journal of Econometrics · 13 citations · first circulated 2021
working paper 2022 · arXiv · 5 citations
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
published 2022 · Econometric Theory · 41 citations
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
published 2022 · Econometric Theory · 3 citations
with Ying Wang
Robust inference with stochastic local unit root regressors in predictive regressions
published 2022 · Journal of Econometrics · 2 citations
THE ECONOMETRIC THEORY AWARDS 2022
published 2022 · Econometric Theory
High-dimensional VARs with common factors
published 2022 · Journal of Econometrics · 37 citations
Pitfalls in Bootstrapping Spurious Regression
published 2021 · Journal of Quantitative Economics · 1 citations
Common Bubble Detection in Large Dimensional Financial Systems
published 2021 · Journal of Financial Econometrics · 15 citations · first circulated 2019
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
published 2021 · Journal of Econometrics · 4 citations
with Ying Wang
published 2021 · The Review of Economics and Statistics · 3 citations · first circulated 2020
published 2021 · Journal of Econometrics · 13 citations · first circulated 2019
Diagnosing housing fever with an econometric thermometer
published 2021 · Journal of Economic Surveys · 39 citations · first circulated 2020
THE ECONOMETRIC THEORY AWARDS 2021
published 2021 · Econometric Theory
House prices and affordability
published 2021 · New Zealand Economic Papers · 14 citations
with Ryan Greenaway-McGrevy
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
published 2020 · Econometric Theory · 5 citations
published 2020 · International Economic Review · 112 citations · first circulated 2019
Understanding temporal aggregation effects on kurtosis in financial indices
published 2020 · Journal of Econometrics · 1 citations · first circulated 2018
with Offer Lieberman
Point optimal testing with roots that are functionally local to unity
published 2020 · Journal of Econometrics · 12 citations · first circulated 2017
THE ECONOMETRIC THEORY AWARDS 2020
published 2020 · Econometric Theory
HAR Testing for Spurious Regression in Trend
published 2019 · Econometrics · 7 citations · first circulated 2018
with Xiaohu Wang, Yonghui Zhang
Uniform Inference in Panel Autoregression
published 2019 · Econometrics · 2 citations · first circulated 2017
with John C. Chao
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
published 2019 · Journal of Econometrics · 13 citations · first circulated 2017
Hybrid stochastic local unit roots
published 2019 · Journal of Econometrics · 16 citations · first circulated 2017
with Offer Lieberman
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*
published 2019 · Journal of Financial Econometrics · 286 citations · first circulated 2016
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY
published 2019 · Econometric Theory · 2 citations
Functional Coefficient Panel Modeling with Communal Smoothing Covariates
published 2019 · Journal of Econometrics · 1 citations
with Ying Wang
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
published 2019 · Econometric Theory
The heterogeneous effects of the minimum wage on employment across states
published 2018 · Economics Letters · 44 citations
Change Detection and the Causal Impact of the Yield Curve
published 2018 · Journal of Time Series Analysis · 271 citations · first circulated 2016
Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion
published 2018 · Economics Letters · 5 citations
with Ping Yu
Homogeneity pursuit in panel data models: Theory and application
published 2018 · Journal of Applied Econometrics · 66 citations · first circulated 2016
Boundary Limit Theory for Functional Local to Unity Regression
published 2018 · Journal of Time Series Analysis · 14 citations · first circulated 2017
Threshold regression with endogeneity
published 2017 · Journal of Econometrics · 69 citations · first circulated 2014
with Ping Yu
Phoebus J. Dhrymes (1932–2016)
published 2017 · Econometric Theory
with Aris Spanos
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
published 2017 · Econometric Theory · 11 citations
with Offer Lieberman
Sequentially testing polynomial model hypotheses using power transforms of regressors
published 2017 · Journal of Applied Econometrics · 21 citations · first circulated 2016
with Jin Seo Cho
Structural inference from reduced forms with many instruments
published 2017 · Journal of Econometrics · 6 citations · first circulated 2016
TRIBUTE TO T.W. ANDERSON
published 2017 · Econometric Theory · first circulated 2016
Econometric Reviews honors Esfandiar Maasoumi
published 2017 · Econometric Reviews · 1 citations
with Aman Ullah
Reduced forms and weak instrumentation
published 2017 · Econometric Reviews · 6 citations
Indirect inference in spatial autoregression
published 2017 · Econometrics Journal · 20 citations · first circulated 2014
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
published 2017 · Econometric Theory
Estimating smooth structural change in cointegration models
published 2016 · Journal of Econometrics · 55 citations · first circulated 2013
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
published 2016 · Journal of Business and Economic Statistics · 5 citations · first circulated 2015
with Jin Seo Cho, Myung-Ho Park
Robust econometric inference with mixed integrated and mildly explosive regressors
published 2016 · Journal of Econometrics · 52 citations
Identifying Latent Structures in Panel Data
published 2016 · Econometrica · 264 citations · first circulated 2014
Lag length selection in panel autoregression
published 2015 · Econometric Reviews · 43 citations
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
published 2015 · International Economic Review · 1063 citations · first circulated 2013
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
published 2015 · International Economic Review · 486 citations · first circulated 2013
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY
published 2015 · Econometric Theory · 21 citations
New methodology for constructing real estate price indices applied to the Singapore residential market
published 2015 · Journal of Banking & Finance · 55 citations
Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres
published 2015 · New Zealand Economic Papers · 95 citations
with Ryan Greenaway-McGrevy
Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression
published 2015 · Journal of Financial Econometrics · 59 citations
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
published 2015 · Econometric Theory · 5 citations · first circulated 2013
Testing linearity using power transforms of regressors
published 2015 · Journal of Econometrics · 30 citations · first circulated 2013
with Yaein Baek, Jin Seo Cho
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
published 2015 · Econometric Theory · 50 citations · first circulated 2012
Model selection in the presence of incidental parameters
published 2015 · Journal of Econometrics · 37 citations · first circulated 2013
The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
published 2014 · Economics Letters · 10 citations
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
published 2014 · Econometric Theory · 41 citations
Unit‐Root Tests
published 2014 · Wiley StatsRef: Statistics Reference Online · 130 citations · first circulated 1995
Limit Theory for VARs with Mixed Roots Near Unity
published 2014 · Econometric Reviews · 16 citations · first circulated 2012
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
published 2014 · Econometric Reviews · 27 citations · first circulated 2012
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Testing the Martingale Hypothesis
published 2014 · Journal of Business and Economic Statistics · 24 citations · first circulated 2013
with Sainan Jin
On Confidence Intervals for Autoregressive Roots and Predictive Regression
published 2014 · Econometrica · 110 citations · first circulated 2012
Nonlinearity Induced Weak Instrumentation
published 2013 · Econometric Reviews · 7 citations
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
published 2013 · Econometric Theory · 76 citations · first circulated 2010
Predictive regression under various degrees of persistence and robust long-horizon regression
published 2013 · Journal of Econometrics · 113 citations
First difference maximum likelihood and dynamic panel estimation
published 2013 · Journal of Econometrics · 37 citations
Specification Sensitivity in Right‐Tailed Unit Root Testing for Explosive Behaviour
published 2013 · Oxford Bulletin of Economics and Statistics · 171 citations · first circulated 2012
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
published 2013 · Econometric Theory · 25 citations · first circulated 2010
with Tassos Magdalinos
Dynamic misspecification in nonparametric cointegrating regression
published 2012 · Journal of Econometrics · 9 citations · first circulated 2009
Mean and autocovariance function estimation near the boundary of stationarity
published 2012 · Journal of Econometrics · 9 citations · first circulated 2009
with Liudas Giraitis
Testing for common trends in semi‐parametric panel data models with fixed effects
published 2012 · Econometrics Journal · 51 citations
Cointegrating rank selection in models with time-varying variance
published 2012 · Journal of Econometrics · 7 citations
Optimal estimation under nonstandard conditions
published 2012 · Journal of Econometrics · 6 citations · first circulated 2010
with Werner Ploberger
Folklore Theorems, Implicit Maps, and Indirect Inference
published 2012 · Econometrica · 61 citations
Testing for common trends in semiparametric panel data models with fixed effects
published 2012 · Econometrics Journal · 4 citations · first circulated 2011
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
published 2011 · Econometric Theory · 5 citations · first circulated 2010
with Xiaoxia Shi
Non‐parametric regression under location shifts
published 2011 · Econometrics Journal · 13 citations
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
published 2011 · Econometric Theory · 19 citations · first circulated 2009
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
published 2011 · Econometric Theory · 14 citations · first circulated 2010
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*
published 2011 · International Economic Review · 1138 citations · first circulated 2007
Bimodal t-ratios: the impact of thick tails on inference
published 2010 · Econometrics Journal · 20 citations
with Carlo V. Fiorio, Vassilis A. Hajivassiliou
Two New Zealand pioneer econometricians
published 2010 · New Zealand Economic Papers · 24 citations
Bootstrapping I(1) data
published 2010 · Journal of Econometrics · 1 citations
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
published 2009 · Journal of Business and Economic Statistics · 15 citations
with Seung Hyun Hong
Indirect inference for dynamic panel models
published 2009 · Journal of Econometrics · 128 citations · first circulated 2006
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
published 2009 · Econometric Theory · 10 citations
with Tassos Magdalinos
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
published 2009 · Econometric Theory · 254 citations · first circulated 2005
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
published 2009 · Econometric Theory · 45 citations
Long memory and long run variation
published 2009 · Journal of Econometrics
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
published 2009 · Econometric Theory · 40 citations · first circulated 2006
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
published 2009 · Econometric Theory · 97 citations
with Tassos Magdalinos
Semiparametric cointegrating rank selection
published 2009 · Econometrics Journal · 44 citations · first circulated 2008
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
published 2008 · Econometric Theory · 9 citations
Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
published 2008 · Econometrica · 42 citations · first circulated 2005
Unit Root Model Selection
published 2008 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 1 citations
Adaptive estimation of autoregressive models with time-varying variances
published 2007 · Journal of Econometrics · 14 citations · first circulated 2006
with Ke-Li Xu
Nonstationary discrete choice: A corrigendum and addendum
published 2007 · Journal of Econometrics · 7 citations
with Sainan Jin, Ling Hu
Incidental trends and the power of panel unit root tests
published 2006 · Journal of Econometrics · 111 citations · first circulated 2005
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
published 2006 · Econometric Theory · 9 citations
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
published 2006 · Journal of Statistical Planning and Inference · 46 citations
SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION*
published 2006 · International Economic Review · 78 citations · first circulated 2004
THE 2003–2005 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
published 2006 · Econometric Theory
A new approach to robust inference in cointegration
published 2006 · Economics Letters
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
published 2006 · Journal of Econometrics · 270 citations · first circulated 2003
with Donggyu Sul
Uniform Limit Theory for Stationary Autoregression
published 2006 · Journal of Time Series Analysis · 25 citations
with Liudas Giraitis
GMM with Many Moment Conditions
published 2005 · Econometrica · 184 citations
Albert Rex Bergstrom 1925–2005
published 2005 · New Zealand Economic Papers · 8 citations
Inference in Autoregression under Heteroskedasticity
published 2005 · Journal of Time Series Analysis · 90 citations
with Ke-Li Xu
Prewhitening Bias in HAC Estimation*
published 2005 · Oxford Bulletin of Economics and Statistics · 14 citations
with Donggyu Sul, Chi-Young Choi
Challenges of trending time series econometrics
published 2005 · Mathematics and Computers in Simulation · 57 citations · first circulated 2004
HAC ESTIMATION BY AUTOMATED REGRESSION
published 2005 · Econometric Theory · 9 citations
AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary
published 2005 · Econometric Theory · 3 citations
AUTOMATED DISCOVERY IN ECONOMETRICS
published 2005 · Econometric Theory · 1 citations
Econometric Analysis of Fisher's Equation
published 2005 · American Journal of Economics and Sociology · 75 citations · first circulated 1998
Dynamics of the federal funds target rate: a nonstationary discrete choice approach
published 2004 · Journal of Applied Econometrics · 18 citations
with Ling Hu
Local Whittle estimation in nonstationary and unit root cases
published 2004 · The Annals of Statistics · 241 citations · first circulated 2000
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
published 2004 · Econometric Society 2004 North American Winter Meetings · 8 citations
no link
THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
published 2003 · Econometric Theory
Nonstationary discrete choice
published 2003 · Journal of Econometrics · 2 citations
with Ling Hu
02.3.1. Regression with an Evaporating Logarithmic Trend— Solution
published 2003 · Econometric Theory · 4 citations
Dynamic panel estimation and homogeneity testing under cross section dependence
published 2003 · Econometrics Journal · 1255 citations · first circulated 2002
with Donggyu Sul
Nonlinear instrumental variable estimation of an autoregression
published 2003 · Journal of Econometrics · 7 citations
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
published 2003 · Econometric Theory · 6 citations
IN MEMORY OF JOHN DENIS SARGAN
published 2003 · Econometric Theory
Laws and Limits of Econometrics
published 2003 · The Economic Journal · 74 citations
Empirical Limits for Time Series Econometric Models
published 2003 · Econometrica · 47 citations · first circulated 1999
with Werner Ploberger
Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
published 2002 · Journal of Econometrics · 21 citations · first circulated 1998
with John C. Chao
New unit root asymptotics in the presence of deterministic trends
published 2002 · Journal of Econometrics · 25 citations · first circulated 1998
The KPSS test with seasonal dummies
published 2002 · Economics Letters · 17 citations
with Sainan Jin
Band Spectral Regression with Trending Data
published 2002 · Econometrica · 104 citations · first circulated 1997
with Dean Corbae, Sam Ouliaris, P. Dean Corbae
A CUSUM test for cointegration using regression residuals
published 2002 · Journal of Econometrics · 5 citations
Higher order approximations for Wald statistics in time series regressions with integrated processes
published 2002 · Journal of Econometrics · 23 citations
ECONOMETRIC SOCIETY INTENSIVE WORKSHOP FOR YOUNG SCHOLARS
published 2001 · Econometric Theory
with Les Oxley
Structural Change Tests in Tail Behaviour and the Asian Crisis
published 2001 · The Review of Economic Studies · 28 citations
with Carmela Quintos, Zhenhong Fan
Nonlinear econometric models with cointegrated and deterministically trending regressors
published 2001 · Econometrics Journal · 126 citations · first circulated 1999
Descriptive econometrics for non‐stationary time series with empirical illustrations
published 2001 · Journal of Applied Econometrics · 47 citations
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
published 2001 · Econometric Theory · 50 citations · first circulated 1999
Nonlinear Regressions with Integrated Time Series
published 2001 · Econometrica · 435 citations · first circulated 1998
Trending time series and macroeconomic activity: Some present and future challenges
published 2001 · Journal of Econometrics · 84 citations · first circulated 2000
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
published 2000 · Econometric Theory · 17 citations
Forecasting New Zealand's real GDP
published 2000 · New Zealand Economic Papers · 8 citations
with Aaron Schiff
Nonstationary Binary Choice
published 2000 · Econometrica · 153 citations · first circulated 1999
Nonstationary panel data analysis: an overview of some recent developments
published 2000 · Econometric Reviews · 403 citations · first circulated 1999
Maximum Likelihood Estimation in Panels with Incidental Trends
published 1999 · Oxford Bulletin of Economics and Statistics · 27 citations
Linear Regression Limit Theory for Nonstationary Panel Data
published 1999 · Econometrica · 1431 citations
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
published 1999 · Journal of Econometrics · 112 citations · first circulated 1997
with John C. Chao
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
published 1999 · Econometric Theory · 23 citations
OBITUARY
published 1999 · Econometric Theory · 3 citations
with Kajal Lahiri
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
published 1999 · Econometric Theory · 315 citations · first circulated 1998
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
published 1998 · Econometrics Journal · 59 citations · first circulated 1997
EDITOR'S TRIBUTE
published 1998 · Econometric Theory
Impulse response and forecast error variance asymptotics in nonstationary VARs
published 1998 · Journal of Econometrics · 315 citations · first circulated 1995
Forward exchange market unbiasedness: the case of the Australian dollar since 1984
published 1997 · Journal of International Money and Finance · 49 citations · first circulated 1993
with James W. McFarland
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
published 1997 · Journal of Econometrics · 65 citations · first circulated 1994
An Asymtotic Theory of Bayesian Inference for Time Series
published 1996 · Econometrica · 136 citations
with Werner Ploberger
Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
published 1996 · Journal of Applied Econometrics · 71 citations · first circulated 1994
with James W. McFarland, Patrick C. McMahon
Efficient IV Estimation in Nonstationary Regression
published 1995 · Econometric Theory · 17 citations
Robust Nonstationary Regression
published 1995 · Econometric Theory · 65 citations · first circulated 1993
Spurious Regression in Forecast-Encompassing Tests
published 1995 · Econometric Theory · 3 citations · first circulated 1994
Trending Multiple Time Series: Editor's Introduction
published 1995 · Econometric Theory
Fully Modified Least Squares and Vector Autoregression
published 1995 · Econometrica · 591 citations · first circulated 1993
Bayesian model selection and prediction with empirical applications
published 1995 · Journal of Econometrics · 42 citations · first circulated 1992
Bayesian prediction a response
published 1995 · Journal of Econometrics · 4 citations
Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure
published 1995 · Econometric Theory
RECESSION HEADLINE NEWS, CONSUMER SENTIMENT, THE STATE OF THE ECONOMY AND PRESIDENTIAL POPULARITY: A TIME SERIES ANALYSIS 1989–1993
published 1995 · International Journal of Public Opinion Research · 154 citations
with Deborah J. Blood
Nonstationary time series and cointegration
published 1995 · Journal of Applied Econometrics · 20 citations · first circulated 1994
A reexamination of the consumption function using frequency domain regressions
published 1994 · Empirical Economics · 22 citations · first circulated 1991
with Dean Corbae, Sam Ouliaris, P. Dean Corbae
Spurious Regression and Generalized Least Squares
published 1994 · Econometric Theory · 5 citations
with Douglas J. Hodgson
Fully Modified Least Squares in I(2) Regression
published 1994 · Econometric Theory · 3 citations
Models, Methods, and Applications of Econometrics: Essays in Honor of A. R. Bergstrom
published 1994 · Southern Economic Journal · 55 citations
with Steven B. Caudill
REFLECTIONS ON THE DAY
published 1994 · Journal of Economic Surveys · 2 citations
Posterior Odds Testing for a Unit Root with Data-Based Model Selection
published 1994 · Econometric Theory · 132 citations · first circulated 1992
with Werner Ploberger
Unit Root Testing with Intermittent Data
published 1994 · Econometric Theory
Convergence of a Nonlinear Time Series Model
published 1994 · Econometric Theory
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
published 1994 · Journal of Empirical Finance · 526 citations
with Mico Loretan
Vector autoregression and causality: a theoretical overview and simulation study
published 1994 · Econometric Reviews · 399 citations · first circulated 1991
with Hiro Y. Toda
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
published 1994 · Econometrica · 145 citations · first circulated 1992
Parameter constancy in cointegrating regressions
published 1993 · Empirical Economics · 88 citations
with Carmela Quintos
Vector Autoregressions and Causality
published 1993 · Econometrica · 872 citations
with Hiro Y. Toda
The spurious effect of unit roots on vector autoregressions
published 1993 · Journal of Econometrics · 77 citations · first circulated 1991
with Hiro Y. Toda
Testing for a unit root by frequency domain regression
published 1993 · Journal of Econometrics · 23 citations
with In Choi
Nonlinear Testing and Forecasting Asympotics with Potential Rank Failure
published 1993 · Econometric Theory
Simultaneous Equations Bias in Level VAR Estimation
published 1993 · Econometric Theory · 4 citations · first circulated 1992
Limit Theory in Cointegrated Vector Autoregressions
published 1993 · Econometric Theory · 9 citations · first circulated 1992
with Hiro Y. Toda
Testing for Stationarity in the Components Representation of a Time Series
published 1992 · Econometric Theory · 8 citations
with Denis Kwiatkowski, Peter Schmidt
Efficiency of Maximum Likelihood
published 1992 · Econometric Theory · 1 citations
LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*
published 1992 · Oxford Bulletin of Economics and Statistics · 830 citations
with Peter Schmidt
Asymptotics for Linear Processes
published 1992 · The Annals of Statistics · 914 citations · first circulated 1989
with Victor Solo
Partitioned Regression with Rank-Deficient Regressions
published 1992 · Econometric Theory
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
published 1992 · Journal of Econometrics · 102 citations · first circulated 1989
with In Choi
To criticize the critics: An objective bayesian analysis of stochastic trends
published 1991 · Journal of Applied Econometrics · 323 citations · first circulated 1990
Estimating Long-Run Economic Equilibria
published 1991 · The Review of Economic Studies · 860 citations · first circulated 1989
with Mico Loretan
Optimal Inference in Cointegrated Systems
published 1991 · Econometrica · 1119 citations · first circulated 1989
Testing Causality in an Autoregression with Cointegrated Regressors
published 1990 · Econometric Theory
with Hiro Y. Toda
Joint Estimation of Equilibrium Coefficients and Short-Run Dynamics
published 1990 · Econometric Theory
Statistical Inference in Instrumental Variables Regression with I(1) Processes
published 1990 · The Review of Economic Studies · 4823 citations · first circulated 1989
Lectures on advanced econometric theory, Denis Sargan (edited by Meghnad Desai). basil Blackwell, Oxford, 1988. Price (cloth): £25, pp. xi + 176
published 1989 · Journal of Applied Econometrics
Partially Identified Econometric Models
published 1989 · Econometric Theory · 344 citations · first circulated 1988
Statistical Inference in Regressions with Integrated Processes: Part 1
published 1988 · Econometric Theory · 756 citations · first circulated 1986
Reflections on Econometric Methodology*
published 1988 · Economic Record · 3 citations
Trends versus Random Walks in Time Series Analysis
published 1988 · Econometrica · 265 citations · first circulated 1986
with Steven N. Durlauf
Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors
published 1988 · Journal of the American Statistical Association · 72 citations
Testing for a unit root in time series regression
published 1988 · Biometrika · 18031 citations · first circulated 1986
Time Series Regression with Mixtures of Integrated Processes
published 1988 · Contemporary mathematics - American Mathematical Society · 103 citations · first circulated 1985
Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
published 1987 · Journal of the American Statistical Association · 16 citations
Does GNP have a unit root?
published 1987 · Economics Letters · 135 citations · first circulated 1986
Understanding spurious regressions in econometrics
published 1986 · Journal of Econometrics · 1801 citations · first circulated 1985
Distribution of F-Ratio
published 1986 · Econometric Theory · 22 citations
with Aman Ullah
The Exact Distribution of LIML: II
published 1985 · International Economic Review · 59 citations · first circulated 1983
FINITE SAMPLE ECONOMETRICS USING ERA'S
published 1984 · Nihon Tōkei Gakkaishi/Nihon Tokei Gakkaishi · 7 citations · first circulated 1983
On the Consistency of Nonlinear FIML
published 1982 · Econometrica · 10 citations
On the behavior of inconsistent instrumental variable estimators
published 1982 · Journal of Econometrics · 108 citations · first circulated 1980
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
published 1980 · The Review of Economic Studies · 96 citations
Exercises in Econometrics, Volumes 1 and 2.
published 1980 · Journal of the Royal Statistical Society Series A (General)
with Andrew Harvey, Michael Wickens
The sampling distribution of forecasts from a first-order autoregression
published 1979 · Journal of Econometrics · 105 citations
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