1. Peter C.B. Phillips, 1986. "Regression Theory for Near-Integrated Time Series," Cowles Foundation Discussion Papers 781R, Cowles Foundation, Yale University, revised Jan 1987. [Downloadable!]
   Other versions:
   • Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, vol. 56(5), pages 1021-43, September. [Downloadable!] (restricted)
2. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group. [Downloadable!]
   Other versions:
   • Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS. [Downloadable!]
   • E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics, Finance and Accounting Department Working Paper Series n1500205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
3. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec.. [Downloadable!] (restricted)
4. Helmut LUETKEPOHL & Petti SAIKKONON, . "Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference," Sonderforschungsbereich 373 1994-5, Humboldt Universitaet Berlin.
5. P. Saikkonen & H. L"Utkepohl, . "Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes," Sonderforschungsbereich 373 1995-66, Humboldt Universitaet Berlin.
6. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation, Yale University. [Downloadable!]
7. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Peter C.B. Phillips & Hyungsik R. Moon, . "Linear Regression Limit Theory for Nonstationary Panel Data," University of California Santa Barbara - Department of Economics 18-98, California Santa Barbara - Department of Economics.
   • Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
8. M. McAleer & J. M. Sequeira, 2004. "Efficient estimation and testing of oil futures contracts in a mutual offset system," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 953-962, September. [Downloadable!] (restricted)
9. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Working Papers 0506, Department of Economics, Vanderbilt University. [Downloadable!]
10. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation, Yale University, revised Aug 1989. [Downloadable!]
    Other versions:
    • Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
11. Hyungsik Roger Moon, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometric Society World Congress 2000 Contributed Papers 0913, Econometric Society. [Downloadable!]
    Other versions:
    • Hyungsik Roger Moon & Peter C.B. Phillips, 2003. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1390, Cowles Foundation, Yale University. [Downloadable!]
    • Hyungsik Roger Moon & Peter C.B. Phillips, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1274, Cowles Foundation, Yale University. [Downloadable!]
    • Hyungsik Roger Moon & Peter C. B. Phillips, 2004. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, vol. 72(2), pages 467-522, 03. [Downloadable!] (restricted)
12. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
13. H. Herwartz & M. Neumann, . "Bootstrap Inference in Single Equation Error Correction Models," Sonderforschungsbereich 373 2000-87, Humboldt Universitaet Berlin.
14. Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Public Policy Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
    • Steve Lawford & Michalis P. Stamatogiannis, 2004. "The Finite-Sample Effects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators: Purely Nonstationary Case," Economics and Finance Discussion Papers 04-05, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
15. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
    Other versions:
    • Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
16. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September. [Downloadable!] (restricted)
17. Peter C.B. Phillips & Werner Ploberger, 1992. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Cowles Foundation Discussion Papers 1017, Cowles Foundation, Yale University. [Downloadable!]
18. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
    • David Hendry, 1995. "On the interactions of unit roots and exogeneity," Econometric Reviews, Taylor and Francis Journals, vol. 14(4), pages 383-419. [Downloadable!] (restricted)
19. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation, Yale University. [Downloadable!]
20. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
21. Peter C.B. Phillips, 1987. "Conditional and Unconditional Statistical Independence," Cowles Foundation Discussion Papers 824R, Cowles Foundation, Yale University, revised Dec 1987. [Downloadable!]
    Other versions:
    • Phillips, Peter C. B., 1988. "Conditional and unconditional statistical independence," Journal of Econometrics, Elsevier, vol. 38(3), pages 341-348, July. [Downloadable!] (restricted)
22. Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
23. Peter C.B. Phillips, 1987. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations," Cowles Foundation Discussion Papers 846, Cowles Foundation, Yale University. [Downloadable!]
24. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics. [Downloadable!]
    • Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," Review of Economic Studies, Blackwell Publishing, vol. 72(3), pages 797-820, 07. [Downloadable!] (restricted)
25. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Phillips, P C B, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(187), pages 344-59, December.
26. Peter C.B. Phillips & Werner Ploberger, 1999. "Empirical Limits for Time Series Econometric Models," Cowles Foundation Discussion Papers 1220, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, vol. 71(2), pages 627-673, March. [Downloadable!] (restricted)
27. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society. [Downloadable!]
28. Ghazi Shukur, Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(8), pages 1021-1031, November. [Downloadable!] (restricted)
29. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328. [Downloadable!] (restricted)
30. Adda, Jérôme & Robin, Jean-Marc, 1998. "Estimation from cross-sections of integrated time-series," CEPREMAP Working Papers (Couverture Orange) 9802, CEPREMAP. [Downloadable!]
31. Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001. "Nonlinear econometric models with cointegrated and deterministically trending regressors," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
32. Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
    • Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 853-880, August. [Downloadable!] (restricted)
33. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, EconWPA, revised 08 Nov 1994. [Downloadable!]
34. Juan J. DOLADO & Helmut LUETKEPOHL, . "Making Wald Tests Work for Cointegrated Var Systems," Sonderforschungsbereich 373 1994-44, Humboldt Universitaet Berlin.
    Other versions:
    • Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
    • Juan Dolado & Helmut Lütkepohl, 1996. "Making wald tests work for cointegrated VAR systems," Econometric Reviews, Taylor and Francis Journals, vol. 15(4), pages 369-386. [Downloadable!] (restricted)
35. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August. [Downloadable!] (restricted)
36. Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers 1191, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Peter Phillips & Hyungsik Moon, 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series wp9-99, Department of Economics, UC Santa Barbara. [Downloadable!]
    • Peter C.B. Phillips & Hyungsik Roger Moon & Zhijie Xiao, . "How to Estimate Autoregressive Roots Near Unity," University of California Santa Barbara - Department of Economics 9-99, California Santa Barbara - Department of Economics. [Downloadable!]
    • Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie, 2001. "How To Estimate Autoregressive Roots Near Unity," Econometric Theory, Cambridge University Press, vol. 17(01), pages 29-69, February. [Downloadable!]
37. Bernard, André & Warren, Paul & Yan, Beiling, 2005. "Integration and Co-integration: Do Canada-U.S. Manufacturing Prices Obey the Law of One Price?," Economic Analysis (EA) Research Paper Series 2005029e, Statistics Canada, Analytical Studies Branch. [Downloadable!]
38. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
39. Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation, Yale University. [Downloadable!]
40. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation, Yale University. [Downloadable!]
41. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
    Other versions:
    • DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    • Jean-Marie Dufour & Denis Pelletier & Éric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO. [Downloadable!]
    • Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June. [Downloadable!] (restricted)
42. Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56. [Downloadable!] (restricted)
43. Edith Madsen, 2004. "Estimating Cointegrating Relations from a Cross Section," CAM Working Papers 2004-21, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
44. Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation, Yale University. [Downloadable!]
45. Taku Yamamoto & Eiji Kurozumi, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Hi-Stat Discussion Paper Series d03-01, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
46. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation, Yale University. [Downloadable!]
47. Peter C.B. Phillips & In Choi, 1989. "Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains," Cowles Foundation Discussion Papers CFP 899, Cowles Foundation, Yale University. [Downloadable!]
48. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics. [Downloadable!]
49. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
50. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    • Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
51. Peter C.B. Phillips, 1989. "Time Series Regression with a Unit Root and Infinite Variance Errors," Cowles Foundation Discussion Papers 897R, Cowles Foundation, Yale University, revised Aug 1989. [Downloadable!]
52. Hiroaki Chigira & Taku Yamamoto, 2003. "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Hi-Stat Discussion Paper Series d03-07, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
53. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Peter C.B. Phillips & Hyungsik R. Moon, . "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," University of California Santa Barbara - Department of Economics 17-98, California Santa Barbara - Department of Economics.
    • Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor and Francis Journals, vol. 19(3), pages 263-286. [Downloadable!] (restricted)
54. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation, Yale University. [Downloadable!]
55. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    • Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
56. Bernard, André & Warren, Paul & Yan, Beiling, 2005. "Intégration et coïntégration : les prix dans les secteurs canadien et américain de la fabrication obéissent-ils à la loi du prix unique?," Série de documents de recherche sur l'analyse économique (AE) 2005029f, Statistics Canada, Direction des études analytiques. [Downloadable!]
57. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies. [Downloadable!]
58. In Choi & Peter C.B. Phillips, 1997. "Regressions for Partially Identified, Cointegrated Simultaneous Equations," Cowles Foundation Discussion Papers 1162, Cowles Foundation, Yale University. [Downloadable!]
59. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    • Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
60. Rossen Valkanov, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management 1099, Anderson Graduate School of Management, UCLA. [Downloadable!]
61. Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Joon Y. Park & Peter C. B. Phillips, 1999. "Nonlinear Regressions with Integrated Time Series," Working Paper Series no6, Institute of Economic Research, Seoul National University. [Downloadable!]
    • Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-61, January.

This page was last updated on 2008-8-18.