Peter C.B. Phillips
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View article: Large-Scale Curve Time Series with Common Stochastic Trends
Large-Scale Curve Time Series with Common Stochastic Trends Open
This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for the observed curve time series and a low-dimensional factor m…
View article: Testing Mean Stability of Heteroskedastic Time Series
Testing Mean Stability of Heteroskedastic Time Series Open
Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may r…
View article: Assessing the robustness and implications of econometric estimates of climate sensitivity
Assessing the robustness and implications of econometric estimates of climate sensitivity Open
Earth’s transient climate response (TCR) quantifies the global mean surface air temperature change due to a doubling of atmospheric concentration after 70 years of a compounding 1% per year increase. TCR is highly correlated with nea…
View article: Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments
Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments Open
View article: Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven *
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven * Open
View article: Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference *
Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference * Open
View article: Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects
Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects Open
View article: A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES
A GENERAL LIMIT THEORY FOR NONLINEAR FUNCTIONALS OF NONSTATIONARY TIME SERIES Open
New limit theory is provided for a wide class of sample variance and covariance functionals involving both nonstationary and stationary time series. Sample functionals of this type commonly appear in regression applications and the asympto…
View article: The boosted Hodrick‐Prescott filter is more general than you might think
The boosted Hodrick‐Prescott filter is more general than you might think Open
Summary The global financial crisis and Covid‐19 recession have renewed discussion concerning trend‐cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick‐Prescott filter to a modern machine learning …
View article: HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION Open
Spatial autoregressive (SAR) and related models offer flexible yet parsimonious ways to model spatial and network interactions. SAR specifications typically rely on a particular parametric functional form and an exogenous choice of the so-…
View article: THE <i>ECONOMETRIC THEORY</i> AWARDS 2024
THE <i>ECONOMETRIC THEORY</i> AWARDS 2024 Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the 'Save PDF' action button.
View article: Robust inference on correlation under general heterogeneity
Robust inference on correlation under general heterogeneity Open
Considerable evidence in past research shows size distortion in standard tests for zero autocorrelation or zero cross-correlation when time series are not independent identically distributed random variables, pointing to the need for more …
View article: Limit Theory and Inference in Non-Cointegrated Functional Coefficient Regression
Limit Theory and Inference in Non-Cointegrated Functional Coefficient Regression Open
View article: Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments
Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments Open
View article: GMM Estimation with Brownian Kernels Applied To Income Inequality Measurement
GMM Estimation with Brownian Kernels Applied To Income Inequality Measurement Open
View article: Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data
Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data Open
View article: Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer Open
Australian housing markets experienced widespread and, in some cases, extraordinary growth in prices between 2020 and 2023. Using recently developed methodology that accounts for fundamental economic drivers, we assess the existence and de…
View article: Panel Data Models with Time-Varying Latent Group Structures
Panel Data Models with Time-Varying Latent Group Structures Open
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
View article: THE <i>ECONOMETRIC THEORY</i> AWARDS 2023
THE <i>ECONOMETRIC THEORY</i> AWARDS 2023 Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
View article: NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY
NEW CONTROL FUNCTION APPROACHES IN THRESHOLD REGRESSION WITH ENDOGENEITY Open
This paper studies control function (CF) approaches in endogenous threshold regression where the threshold variable is allowed to be endogenous. We first use a simple example to show that the structural threshold regression (STR) estimator…
View article: Social Representations and Symbolic Coping: A Cross-Cultural Discourse Analysis of the COVID-19 Pandemic in Newspapers
Social Representations and Symbolic Coping: A Cross-Cultural Discourse Analysis of the COVID-19 Pandemic in Newspapers Open
This study used a framework grounded in social representations theory to investigate cross-cultural variation and consistency in the discursive construction of the COVID-19 pandemic by the mass media, in the week following WHO's declaratio…
View article: Compositions and method of use of constructed microbial mats
Compositions and method of use of constructed microbial mats Open
Compositions and methods of use of constructed microbial mats, comprising cyanobacteria and purple autotrophic bacteria and an organic nutrient source, in a laminated structure, are described. The constructed microbial mat is used for bior…
View article: Compositions of constructed microbial mats
Compositions of constructed microbial mats Open
Compositions and methods of use of constructed microbial mats, comprising cyanobacteria and purple autotrophic bacteria and an organic nutrient source, in a laminated structure, are described. The constructed microbial mat is used for bior…
View article: Compositions and methods of use of constructed microbial mats
Compositions and methods of use of constructed microbial mats Open
Compositions, methods and devices for bioremediation that comprise components of constructed microbial mats with organic and inorganic materials are described. The compositions, methods and devices can be used for bioremediation of differe…
View article: ECT volume 38 issue 6 Cover and Back matter
ECT volume 38 issue 6 Cover and Back matter Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
View article: The boosted HP filter is more general than you might think
The boosted HP filter is more general than you might think Open
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-ric…
View article: ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS Open
New methods are developed for identifying, estimating, and performing inference with nonstationary time series that have autoregressive roots near unity. The approach subsumes unit-root (UR), local unit-root (LUR), mildly integrated (MI), …
View article: LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION Open
Functional coefficient (FC) regressions allow for systematic flexibility in the responsiveness of a dependent variable to movements in the regressors, making them attractive in applications where marginal effects may depend on covariates. …
View article: THE <i>ECONOMETRIC THEORY</i> AWARDS 2022
THE <i>ECONOMETRIC THEORY</i> AWARDS 2022 Open
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
View article: High-sensitivity Earth System Models Most Consistent with Observations
High-sensitivity Earth System Models Most Consistent with Observations Open
<p>Earth’s transient climate response (TCR) quantifies the global mean surface air temperature change due to a doubling of atmospheric CO<sub>2</sub><sub>,</sub> at the time of doubling. TCR is highl…