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User profiles for author:"Peter Phillips"

Peter WB Phillips

University of Saskatchewan
Verified email at usask.ca
Cited by 1096

Testing the null hypothesis of stationarity against the alternative of a unit root* 1:: How sure are we that economic time series have a unit root?

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D Kwiatkowski, PCB Phillips, P Schmidt… - Journal of econometrics, 1992 - Elsevier
Cited by 5043 - Related articles - All 31 versions

Time series regression with a unit root

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1987 - JSTOR
Page 1. Econometrica, Vol. 55, No. 2 (March, 1987), 277-301 TIME SERIES
REGRESSION WITH A UNIT ROOT BY PCB PHILLIPS1 This paper studies the
random walk, in a general time series setting that allows for weakly ...
Cited by 2355 - Related articles - Get it from MIT Libraries - Library Search - All 27 versions

Statistical inference in instrumental variables regression with I (1) processes

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PCB Phillips… - The Review of Economic …, 1990 - restud.oxfordjournals.org
Page 1. Review of Economic Studies (1990) 57, 99-125 © 1990 The Review of
Economic Studies Limited 0034-6527/90/00060099$02.00 Statistical Inference in
Instrumental Variables Regression with I(1) Processes PETER ...
Cited by 1749 - Related articles - Library Search - All 18 versions

Understanding spurious regressions in econometrics

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PCB Phillips - Journal of econometrics, 1986 - Elsevier
Cited by 1289 - Related articles - All 24 versions

Asymptotic properties of residual based tests for cointegration

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PCB Phillips… - Econometrica: Journal of the Econometric Society, 1990 - JSTOR
Page 1. Econometrica, Vol. 58, No. 1 (January, 1990), 165-193 ASYMPTOTIC PROPERTIES
OF RESIDUAL BASED TESTS FOR COINTEGRATION BY PCB PHILLIPS AND S. OULIARIS1
This paper develops an asymptotic theory for residual based tests for cointegration. ...
Cited by 1217 - Related articles - Get it from MIT Libraries - All 20 versions

Optimal inference in cointegrated systems

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
Page 1. Econometrica, Vol. 59, No. 2 (March, 1991), 283-306 OPTIMAL INFERENCE
IN COINTEGRATED SYSTEMS BY PCB PHILLIPSI This paper studies the properties
of maximum likelihood estimates of cointegrated systems. ...
Cited by 865 - Related articles - Get it from MIT Libraries - Library Search - All 17 versions

Linear regression limit theory for nonstationary panel data

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PCB Phillips… - Econometrica, 1999 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 67, No. 5 September, 1999 , 10571111 LINEAR
REGRESSION LIMIT THEORY FOR NONSTATIONARY PANEL DATA1 BY PETER
CB PHILLIPS AND HYUNGSIK R. MOON 2 This paper develops ...
Cited by 656 - Related articles - Library Search - BL Direct - All 22 versions

Multiple time series regression with integrated processes

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PCB Phillips… - The Review of Economic …, 1986 - restud.oxfordjournals.org
Page 1. Review of Economic Studies (1986) LIII, 473-495 © 1986 The Society for
Economic Analysis Limited 0034-6527/86/00330473$02.00 Multiple Time Series
Regression with Integrated Processes PCB PHILLIPS and SN ...
Cited by 650 - Related articles - All 15 versions

Estimating long-run economic equilibria

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PCB Phillips… - The Review of Economic …, 1991 - restud.oxfordjournals.org
Page 1. Review of Economic Studies (1991) 58,407-436 © 1991 The Review of
Economic Studies Limited 0034·6527/91/00260407$02.00 Estimating Long-run
Economic Equilibria PETER CB PHILLIPS and MICO LORETAN ...
Cited by 613 - Related articles - Library Search - All 17 versions

Vector autoregressions and causality

HY Toda… - Econometrica: Journal of the Econometric Society, 1993 - JSTOR
Page 1. Econometrica, Vol. 61, No. 6 (November, 1993), 1367-1393 VECTOR
AUTOREGRESSIONS AND CAUSALITY BY HIRO Y. TODA AND PETER C. B.
PHILLIPS1 This paper develops a limit theory for Wald tests of Granger ...
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LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*

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P Schmidt… - Oxford Bulletin of Economics and …, 1992 - Wiley Online Library
Page 1. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 54.3 ( I 992) 0305-9049
$3.00 LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*
Peter Schmidt and Peter C. B. Phillips 1. INTRODUCTION ...
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Towards a unified asymptotic theory for autoregression

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PCB Phillips - Biometrika, 1987 - Biometrika Trust
Page 1. Biometrika (1987), 74, 3, pp. 535-47 Printed in Great Britain Towards a unified asymptotic
theory for autoregression BY PCB PHILLIPS Cowles Foundation for Research in Economics, Yale
University, Yale Station, New Haven, Connecticut 06520-2125, USA ...
Cited by 463 - Related articles - All 23 versions

PROCESSES: PART

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JY Park… - Econometric Theory, 1988 - Cambridge Univ Press
Page 1. Econometric Theory, 4, 1988, 468-497. Printed in the United States of America.
PROCESSES: PART 1 JOON Y. PARK AND PETER CB PHILLIPS Cowles Foundation,
Yale University This paper develops a rnultivariate ...
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Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

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M Loretan… - Journal of empirical finance, 1994 - Elsevier
Cited by 414 - Related articles - Library Search - All 15 versions

Dynamic panel estimation and homogeneity testing under cross section dependence*

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PCB Phillips… - The Econometrics Journal, 2003 - Wiley Online Library
... The Econometrics Journal, 6: 217–259. doi: 10.1111/1368-423X.00108. Author Information. 1
Cowles Foundation for Research in Economics, Yale University, New Haven, CT 06520-8281,
USA; University of Auckland & University of York peter.phillips@yale.edu. 2 ...
Cited by 386 - Related articles - Library Search - BL Direct - All 38 versions

STATISTICAL INFERENCE REGRESSIONS WITH INTEGRATED

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JY PARK… - Econometric Theory, 1989 - Cambridge Univ Press
Page 1. Econometric Theory, 5, 1989, 95-131. Printed in the United States of America.
STATISTICAL INFERENCE REGRESSIONS WITH INTEGRATED JOON Yo PARK AND PETER
CB PHILLIPS Cowles Foundation for Research in Economics, Yaie University ...
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Fully modified least squares and vector autoregression

PCB Phillips - Econometrica: Journal of the Econometric Society, 1995 - JSTOR
Page 1. Econometrica, Vol. 63, No. 5 (September, 1995), 1023-1078 FULLY
MODIFIED LEAST SQUARES AND VECTOR AUTOREGRESSION BY PETER CB
PHILLIPS1 Fully modified least squares (FM-OLS) regression was ...
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To criticize the critics: An objective Bayesian analysis of stochastic trends

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PCB Phillips - Journal of Applied Econometrics, 1991 - Wiley Online Library
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 6, 333-364 (1991) TO CRITICIZE THE
CRITICS: AN OBJECTIVE BAYESIAN ANALYSIS OF STOCHASTIC TRENDS P. C. B. PHILLIPS
Cowles Foundation for Research in Economics, Yale University, USA ...
Cited by 241 - Related articles - All 15 versions

Partially identified econometric models

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PCB Phillips - Econometric Theory, 1989 - Cambridge Univ Press
Page 1. Econometric Theory, 5, 1989, 181-240. Printed in the United States of
America. ECONOMETRIC MODELS PCB, PHILLIPS Cowles Foundation for Research
in Economics Yale University This paper studies a class of ...
Cited by 239 - Related articles - All 13 versions

A primer on unit root testing

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PCB Phillips… - Journal of Economic Surveys, 1998 - Wiley Online Library
Page 1. A PRIMER ON UNIT ROOT TESTING Peter CB Phillips Yale University Zhijie
Xiao University of Illinois at Urbana-Champaign Abstract. The immense literature
and diversity of unit root tests can at times be confusing even ...
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Nonlinear regressions with integrated time series

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JY Park… - Econometrica, 2001 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 69, No. 1 January, 2001 , 117161 NONLINEAR REGRESSIONS
WITH INTEGRATED TIME SERIES BY JOON Y. PARK AND PETER CB PHILLIPS 1 An asymptotic
theory is developed for nonlinear regression with integrated processes. ...
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Regression theory for near-integrated time series

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1988 - JSTOR
Page 1. Econometrica, Vol. 56, No. 5 (September, 1988), 1021-1043 REGRESSION
THEORY FOR NEAR-INTEGRATED TIME SERIES BY PCB PHILLIPS' The concept
of a near-integrated vector random process is introduced. ...
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Asymptotics for nonlinear transformations of integrated time series

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JY Park… - Econometric Theory, 1999 - Cambridge Univ Press
... Phillips thanks the NSF for research support under grant SBR 94-22922+ Address correspondence
to: Peter C+B+ Phillips, Cowles Foundation for Research in Economics, Yale University, Box
208281, New Haven, CT 06520-8281, USA; e-mail: peter+phillips@yale+edu+ ...
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Fully nonparametric estimation of scalar diffusion models

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FM Bandi… - Econometrica, 2003 - Wiley Online Library
Page 1. Econometrica, Vol. 71, No. 1 (January, 2003), 241–283 FULLY
NONPARAMETRIC ESTIMATION OF SCALAR DIFFUSION MODELS By Federico M.
Bandi and Peter CB Phillips1 We propose a functional estimation procedure ...
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[PDF] Exact small sample theory in the simultaneous equations model

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PCB Phillips - Handbook of Econometrics, 1983 - 128.36.236.35
Page 1. Cowles Foundation Paper 587 Chapter 8 EXACT SMALL SAMPLE THEORY
IN THE SIMULTANEOUS EQUATIONS MODEL P C. B PHILLIPS' Yale Umversm
Contents 1. Introduction 2. Simple mechanics of distribution ...
Cited by 188 - Related articles - All 16 versions

Impulse response and forecast error variance asymptotics in nonstationary VARs

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PCB Phillips - Journal of Econometrics, 1998 - Elsevier
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Exact local Whittle estimation of fractional integration

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K Shimotsu… - The Annals of Statistics, 2005 - projecteuclid.org
Page 1. The Annals of Statistics 2005, Vol. 33, No. 4, 1890–1933 DOI 10.1214/
009053605000000309 © Institute of Mathematical Statistics, 2005 EXACT LOCAL WHITTLE
ESTIMATION OF FRACTIONAL INTEGRATION BY KATSUMI SHIMOTSU 1 AND PETER CB ...
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Vector autoregression and causality: a theoretical overview and simulation study

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HY Toda… - Econometric reviews, 1994 - Taylor & Francis
Page 1. ECONOMETRIC REVIEWS, 13(2), 259-285 (1994) VECTOR AUTOREGRESSION AND
CAUSALITY: A THEORETICAL OVERVIEW AND SIMULATION STUDY Hiro Y. Toda Institute
of Socio-Economic Planning University of Tsukuba Tsukuba-shi, Ibaraki 305 Japan ...
Cited by 180 - Related articles - Library Search - All 8 versions

Trends versus random walks in time series analysis

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SN Durlauf… - Econometrica: Journal of the Econometric …, 1988 - JSTOR
Page 1. Econometrica, Vol. 56, No. 6 (November, 1988), 1333-1354 TRENDS VERSUS RANDOM
WALKS IN TIME SERIES ANALYSIS BY STEVEN N. DURLAUF AND PETER CB PHILLIPS1
This paper studies the effects of spurious detrending in regression. ...
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Approximations to some finite sample distributions associated with a first-order stochastic difference equation

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1977 - JSTOR
Page 1. Econometrica, Vol. 45, No. 2 (March, 1977) APPROXIMATIONS TO SOME
FINITE SAMPLE DISTRIBUTIONS ASSOCIATED WITH A FIRST-ORDER STOCHASTIC
DIFFERENCE EQUATION BY PCB PHILLIPS' Edgeworth ...
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Econometric model determination

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1996 - JSTOR
Page 1. Econometrica, Vol. 64, No. 4 (July, 1996), 763-812 ECONOMETRIC MODEL
DETERMINATION BY PETER CB PHILLIPS 1 Our general subject is model determination
methods and their use in the prediction of economic time series. ...
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Nonstationary panel data analysis: An overview of some recent developments

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PCB Phillips… - Econometric Reviews, 2000 - Taylor & Francis
Page 1. ECONOMETRIC REVIEWS, 19(3), 263-286 (2000) Nonstationary Panel
Data Analysis: An Overview of Some Recent Developments* Peter CB Phillips
Cowles Foundation for Research in Economics Yale University ...
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Testing for cointegration using principal components methods

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PCB Phillips… - Journal of Economic Dynamics and Control, 1988 - Elsevier
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Posterior odds testing for a unit root with data-based model selection

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PCB Phillips… - Econometric Theory, 1994 - Cambridge Univ Press
Page 1. Econometric Theory, 10, 1994, 774-808. Printed in the United States of America.
POSTERIOR ODDS TESTING FOR A UNIT ROOT WITH DATA-BASED MODEL SELECTION
PETER CB PHILLIPS Yale University WERNER PLOBERGER Technical University of Vienna ...
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An Asymtotic Theory of Bayesian Inference for Time Series

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PCB Phillips… - Econometrica: Journal of the Econometric …, 1996 - JSTOR
Page 1. Econometrica, Vol. 64, No. 2 (March, 1996), 381-412 AN ASYMPTOTIC THEORY OF
BAYESIAN INFERENCE FOR TIME SERIES BY PETER CB PHILLIPS AND WERNER
PLOBERGER' This paper develops an asymptotic theory of Bayesian inference for time series. ...
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On the formulation of Wald tests of nonlinear restrictions

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PCB Phillips… - Econometrica: Journal of the Econometric Society, 1988 - JSTOR
Page 1. Econometrica, Vol. 56, No. 5 (September, 1988),1065-1083 ON THE
FORMULATION OF WALD TESTS OF NONLINEAR RESTRICTIONS BY PCB PHILLIPS
AND JOON Y. PARK1 This paper utilizes asymptotic expansions ...
Cited by 119 - Related articles - Get it from MIT Libraries - All 15 versions

Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1994 - JSTOR
Page 1. Econometrica, Vol. 62, No. 1 (January, 1994), 73-93 SOME EXACT DISTRIBUTION
THEORY FOR MAXIMUM LIKELIHOOD ESTIMATORS OF COINTEGRATING COEFFICIENTS
IN ERROR CORRECTION MODELS BY PETER CB PHILLIPS1 ...
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Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly

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A Maynard… - Journal of applied econometrics, 2001 - Wiley Online Library
Skip to Main Content. ...
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Prewhitening Bias in HAC Estimation*

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D Sul, PCB Phillips… - Oxford Bulletin of Economics …, 2005 - Wiley Online Library
... Author Information. 1 Department of Economics, University of Auckland, Auckland, New Zealand
(e-mail: d.sul@auckland.ac.nz). 2 Cowles Foundation, Yale University, University of Auckland
& University of York, New Haven, CT, USA (e-mail: peter.phillips@yale.edu). 3 ...
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Does GNP have a unit root?:: A re-evaluation

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P Perron… - Economics Letters, 1987 - Elsevier
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Parameter constancy in cointegrating regressions

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CE Quintos… - Empirical Economics, 1993 - Springer
Page 1. Empirical Economics (1993) 18:675-706 |mEIIIIEM PIRI CAL MBRIII/
ECONOMICS Parameter Constancy in Cointegrating Regressions 1 CARMELA E.
QUINTOS Department of Economics, Yale University, PO Box 2125 ...
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[CITATION] The problem of identification in finite parameter continuous time models

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PCB Phillips - Journal of Econometrics, 1973 - ideas.repec.org
Downloadable (with restrictions)! No abstract is available for this item.
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GMM with many moment conditions

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C Han… - Econometrica, 2006 - Wiley Online Library
Page 1. Econometrica, Vol. 74, No. 1 (January, 2006), 147–192 GMM WITH MANY
MOMENT CONDITIONS BY CHIROK HAN AND PETER CB PHILLIPS1 This paper
provides a first order asymptotic theory for generalized method ...
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New tools for understanding spurious regressions

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PCB Phillips - Econometrica, 1998 - JSTOR
Page 1. Econometrica, Vol. 66, No. 6 (November, 1998), 1299-1325 NEW TOOLS
FOR UNDERSTANDING SPURIOUS REGRESSIONS' BY PETER CB PHILLIPS Some
new tools for analyzing spurious regressions are presented. ...
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Time series regression with a unit root and infinite-variance errors

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PCB Phillips - Econometric Theory, 1990 - Cambridge Univ Press
Page 1. Econometric Theory, 6, 1990, 44-62. Printed in the United States of America. TIME
SERIES REGRESSION WITH A UNIT ROOT AND INFINITE-VARIANCE ERRORS PCB
PHILLIPS Cowles Foundation for Research in Economics Yale University ...
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Error correction and long-run equilibrium in continuous time

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
Page 1. Econometrica, Vol. 59, No. 4 (July, 1991), 967-980 ERROR CORRECTION
AND LONG-RUN EQUILIBRIUM IN CONTINUOUS TIME BY PCB PHILLIPS1 This paper
deals with error correction models (ECM's) and cointegrated ...
Cited by 91 - Related articles - Get it from MIT Libraries - All 20 versions

Local Whittle estimation in nonstationary and unit root cases

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PCB Phillips… - The Annals of Statistics, 2004 - projecteuclid.org
Page 1. The Annals of Statistics 2004, Vol. 32, No. 2, 656–692 © Institute of Mathematical
Statistics, 2004 LOCAL WHITTLE ESTIMATION IN NONSTATIONARY AND UNIT ROOT
CASES BY PETER CB PHILLIPS 1 AND KATSUMI SHIMOTSU 2 ...
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Reflections on Econometric Methodology*

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PCB Phillips - Economic Record, 1988 - Wiley Online Library
Page 1. Reflections on Econometric Methodology* PCB PHILLIPS Cowles
Fowrdation for Rcseaxh in Eonomics YaL?? university Geneml hues about the
mcrhodology of empiriccll cconommic resemh are &us.ud It is argued ...
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[PDF] Testing for a unit root in the presence of a maintained trend

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S Ouliaris, JY Park… - Advances in econometrics and …, 1989 - 128.36.236.35
... However. if a macroeconomic Page 2. 8 SAM OULIARIS, JOON PARK, PETER PHILLIPS variable
is difierence stationary, then short-run shocks affect the level of the variable permanently. This is
more compatible with real business cycle models of equilibrium Olltpul. ...
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The structural estimation of a stochastic differential equation system

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1972 - JSTOR
Page 1. Econometrica, Vol. 40, No. 6 (November, 1972) THE STRUCTURAL ESTIMATION
OF A STOCHASTIC DIFFERENTIAL EQUATION SYSTEM BY PCB PHILLIPS' It is now
popular to construct economic models in differential equation form. ...
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Nonlinear econometric models with cointegrated and deterministically trending regressors

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Y Chang, JY Park… - The Econometrics Journal, 2001 - Wiley Online Library
Page 1. Econometrics Journal (2001), volume 4, pp. 1–36. Nonlinear econometric
models with cointegrated and deterministically trending regressors YOOSOON CHANG †,
JOON Y. PARK ‡ AND PETER CB PHILLIPS § †Department ...
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Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

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JC Chao… - Journal of Econometrics, 1999 - Elsevier
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Transition modeling and econometric convergence tests

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PCB Phillips… - Econometrica, 2007 - Wiley Online Library
Page 1. Econometrica, Vol. 75, No. 6 (November, 2007), 1771–1855 TRANSITION
MODELING AND ECONOMETRIC CONVERGENCE TESTS BY PETER CB PHILLIPS
AND DONGGYU SUL1 A new panel data model is proposed ...
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Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations

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I Choi… - Journal of Econometrics, 1992 - Elsevier
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Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

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PCB Phillips… - Journal of Econometrics, 2007 - Elsevier
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Adjustment in childhood brain tumor survival: Child, mother, and teacher report

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J Radcliffe, D Bennett, AE Kazak… - Journal of Pediatric …, 1996 - Soc Ped Psychology
Page 1. Journal of Pediatric Psychology, Vol. 21, So. 4. 1996. pp. 529-539 Adjustment in
Childhood Brain Tumor Survival: Child, Mother, and Teacher Report1 Jerilynn Radcliffe,2
David Bennett,3 Anne E. Kazak, Bernadette Foley, and Peter C. Phillips ...
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[PDF] Estimation and inference in models of cointegration: a simulation study

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BE Hansen… - Advances in Econometrics, 1990 - dido.econ.yale.edu
Page 1. Cowles Foundation Paper 747 ESTIMATION AND INFERENCE IN MODELS
OF COINTEGRATION: A SIMULATION STUDY Bruce E. Hansen and Peter CB Phillips
ABSTRACT This paper studies the finite sample distributions ...
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A general theorem in the theory of asymptotic expansions as approximations to the finite sample distributions of econometric estimators

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1977 - JSTOR
Page 1. Econometrica, Vol. 45, No. 6 (September, 1977) A GENERAL THEOREM IN THE
THEORY OF ASYMPTOTIC EXPANSIONS AS APPROXIMATIONS TO THE FINITE SAMPLE
DISTRIBUTIONS OF ECONOMETRIC ESTIMATORS BY PCB PHILLIPSI ...
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A shortcut to LAD estimator asymptotics

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PCB Phillips - Econometric Theory, 1991 - Cambridge Univ Press
Page 1. Econometric Theory, 7, 1991, 450-463. Printed in the United States of America.
A SHORTCUT TO LAD ESTIMATOR ASYMPTOTICS PCB PHILLIPS Yale University
Using generalized functions of random variables and ...
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Jackknifing bond option prices

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PCB Phillips… - Review of Financial Studies, 2005 - Soc Financial Studies
Skip Navigation. ...
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Nonstationary binary choice

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JY Park… - Econometrica, 2000 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 68, No. 5 September, 2000 , 12491280
NONSTATIONARY BINARY CHOICE BY JOON Y. PARK AND PETER CB PHILLIPS
1 This paper develops an asymptotic theory for time series binary choice ...
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The estimation of some continuous time models

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1974 - JSTOR
Page 1. Econometrica, Vol. 42; No. 5 (September, 1974) THE ESTIMATION OF SOME
CONTINUOUS TIME MODELS1 BY PCB PHILLIPS When a continuous time model
is estimated from its non-recursive discrete approxi- mation ...
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Nonlinear log-periodogram regression for perturbed fractional processes

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Y Sun… - Journal of Econometrics, 2003 - Elsevier
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[PDF] Robust tests of forward exchange market efficiency with empirical evidence from the 1920s

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PCB Phillips, JW McFarland… - Journal of Applied …, 1996 - cowles.econ.yale.edu
Page 1. Cowles Foundation Paper 921 JOURNAL OF APPLIED ECONOMETRICS, VOL.
11, 1-22 (1996) ROBUST TESTS OF FORWARD EXCHANGE MARKET EFFICIENCY
WITH EMPIRICAL EVIDENCE FROM THE 1920s PETER С. В. ...
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Limit theory for moderate deviations from a unit root

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PCB Phillips… - Journal of Econometrics, 2007 - Elsevier
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Recession headline news, consumer sentiment, the state of the economy and presidential popularity: A time series analysis 1989–1993

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DJ Blood… - International Journal of Public Opinion Research, 1995 - WAPOR
Page 1. International Journal of Public Opinion Research Vol. y No. i 0954—2892/95 S3.00
RECESSION HEADLINE NEWS, CONSUMER SENTIMENT, THE STATE OF THE ECONOMY
AND PRESIDENTIAL POPULARITY: A TIME SERIES ANALYSIS 1989-1993 ...
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The exact distribution of LIML: II

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PCB Phillips - International Economic Review, 1985 - JSTOR
Page 1. INTERNATIONAL ECONOMIC REVIEW Vol. 26, No. 1, February, 1985 THE
EXACT DISTRIBUTION OF LIML: II* BY PCB PHILLIPS1 1. INTRODUCTION In recent
years there has been a renewed interest in the limited ...
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The sampling distribution of forecasts from a first-order autoregression

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PCB Phillips - Journal of Econometrics, 1979 - Elsevier
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Asymptotic theory for local time density estimation and nonparametric cointegrating regression

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Q Wang… - Econometric Theory, 2010 - Cambridge Univ Press
... Wang can be contacted at qiying@ maths.usyd.edu.au. Address correspondence to
Peter CB Phillips, Department of Economics, Yale University, PO Box 208268, New
Haven, CT 06520-8268, USA; e-mail: peter.phillips@yale.edu. ...
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[PDF] Unit root log periodogram regression

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PCB Phillips… - COWLES …, 1999 - Citeseer
Page 1. COWLES FOUNDATION FOR RESEARCH IN ECONOMICS AT YALE
UNIVERSITY Box 2125, Yale Station New Haven, Connecticut 06520 COWLES
FOUNDATION DISCUSSION PAPER NO. 1244 Note: Cowles Foundation ...
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Log periodogram regression: the nonstationary case

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CS Kim… - 2006 - papers.ssrn.com
Abstract: Estimation of the memory parameter (d) is considered for models of nonstationary
fractionally integrated time series with d>(1/2). It is shown that the log periodogram
regression estimator of d is inconsistent when 1< d< 2 and is consistent when (1/2)< d= 1. ...
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The exact distribution of instrumental variable estimators in an equation containing n+ 1 endogenous variables

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1980 - JSTOR
Page 1. Econometrica, Vol. 48, No. 4 (May, 1980) THE EXACT DISTRIBUTION OF
INSTRUMENTAL VARIABLE ESTIMATORS IN AN EQUATION CONTAINING n +1
ENDOGENOUS VARIABLES BY PCB PHILLIPS1 This paper ...
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Asymptotic expansions in nonstationary vector autoregressions

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PCB Phillips - Econometric Theory, 1987 - Cambridge Univ Press
Page 1. Econometric Theory, 3, 1987, 45-68. Printed in the United States of America.
ASYMPTOTIC EXPANSIONS IN NONSTATIONARY VECTOR AUTOREGRESSIONS
PCB PHILLIPS Cowles Foundation, Yale University This ...
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EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*

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PCB Phillips, Y Wu… - International economic review, 2011 - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 3
Mar from 10-13 GMT for monthly maintenance. ...
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Robust nonstationary regression

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PCB Phillips - Econometric Theory, 1995 - Cambridge Univ Press
Page 1. Econometric Theory, 11, 1995, 912-951. Printed in the United States of
America. ROBUST NONSTATIONARY REGRESSION PETER CB PHILLIPS Cowles
Foundation for Research in Economics Yale University This ...
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[CITATION] Fully modified estimation of fractional cointegration models

CS Kim… - Preprint, Yale University, 2001
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Dynamics of the Federal Funds target rate: A nonstationary discrete choice approach

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L Hu… - Journal of Applied Econometrics, 2004 - Wiley Online Library
... 2 Cowles Foundation, Yale University, USA. Email: Professor Peter CB Phillips (peter.phillips@
yale.edu). ... Ling Hu thanks the Cowles Foundation for the support of a Cowles Fellowship. Peter
Phillips thanks the NSF for support under Grant Nos. SBR 97-30295 and SES 0092509. ...
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Evaluation of a social-skills training group intervention with children treated for brain tumors: A pilot study

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LP Barakat, JD Hetzke, B Foley… - Journal of pediatric …, 2003 - Soc Ped Psychology
Skip Navigation. ...
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Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

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JC Chao… - Journal of Econometrics, 1998 - Elsevier
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[CITATION] Exercises in econometrics

PCB Phillips… - 1978 - getcited.org
An academic directory and search engine.
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[BOOK] Econometric analysis of Fisher's equation

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PCB Phillips… - 1998 - 128.36.236.35
Page 1. COWLES FOUNDATION FOR RESEARCH IN ECONOMICS AT YALE
UNIVERSITY Box 2125, Yale Station New Haven, Connecticut 06520 COWLES
FOUNDATION DISCUSSION PAPER NO. 1180 Note: Cowles Foundation ...
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20 Labelling for CM Foods: Theory and Practice

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PWB Phillips… - Market development for genetically …, 2002 - books.google.com
Page 257. 20 Labelling for CM Foods: Theory and Practice Peter WB. Phillips and
Heather McNeill Department of Agricultural Economics, University of Saskatchewan,
Saskatoon, Saskatchewan, Canada Introduction Genetically ...
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[HTML] GMO labeling: threat or opportunity?

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PWB Phillips… - 1998 - agbioforum.org
© 1998 Peter Phillips & Grant Isaac | Design and support provided by Express
Academic Services | Contact ABF: editor@agbioforum.org.
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Structural nonparametric cointegrating regression

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Q Wang… - Econometrica, 2009 - Wiley Online Library
Page 1. Econometrica, Vol. 77, No. 6 (November, 2009), 1901–1948 STRUCTURAL
NONPARAMETRIC COINTEGRATING REGRESSION BY QIYING WANG AND PETER CB
PHILLIPS1 Nonparametric estimation of a structural cointegrating regression model is stud- ied. ...
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Incidental trends and the power of panel unit root tests

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HR Moon, B Perron… - Journal of Econometrics, 2007 - Elsevier
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Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments

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Y Kitamura… - Journal of Econometrics, 1997 - Elsevier
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Band spectral regression with trending data

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D Corbae, S Ouliaris… - Econometrica, 2002 - Wiley Online Library
Page 1. Econometrica, Vol. 70, No. 3 (May, 2002), 1067–1109 BAND SPECTRAL REGRESSION
WITH TRENDING DATA By Dean Corbae, Sam Ouliaris, and Peter CB Phillips1 Band spectral
regression with both deterministic and stochastic trends is considered. ...
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ERA's: A new approach to small sample theory

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PCB Phillips - Econometrica: Journal of the Econometric Society, 1983 - JSTOR
Page 1. Econometrica, Vol. 51, No. 5 (September, 1983) ERA'S: A NEW APPROACH
TO SMALL SAMPLE THEORY BY PCB PHILLIPS1 This article proposes a new
approach to small sample theory that achieves a meaningful ...
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Understanding the Fisher equation

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Y Sun… - Journal of Applied Econometrics, 2004 - Wiley Online Library
Skip to Main Content. ...
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Finite sample theory and the distributions of alternative estimators of the marginal propensity to consume

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PCB Phillips - The Review of Economic Studies, 1980 - JSTOR
Page 1. Review of Economic Studies (1980) XLVII, 183-224 0034-6527/80/00090183 $02.00 ?
The Society for Economic Analysis Limited Finite Sample Theory and the Distributions of
Alternative Estimators of the Marginal Propensity to Consume ...
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Bayesian routes and unit roots: de rebus prioribus semper est disputandum

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PCB Phillips - Journal of Applied Econometrics, 1991 - Wiley Online Library
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 6, 435-473 (1991)
BAYESIAN ROUTES AND UNIT ROOTS: DE REBUS PRIORIBUS SEMPER EST
DISPUTANDUM PCB PHILLIPS Cowles Foundation for Research ...
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[BOOK] The biotechnology revolution in global agriculture: innovation, invention and investment in the canola industry.

PWB Phillips, GG Khachatourians - 2001 - cabdirect.org
This book reviews the global canola sector in order to identify fundamental trends resulting from
the adoption of biotechnology. It examines the sector over an extended period, looking at its local
origins, regional growth and international expansion; analyses public policy affecting ...
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Vector autoregression and causality

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HY Toda… - Econometrica, 1993 - en.scientificcommons.org
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Bayesian model selection and prediction with empirical applications

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PCB Phillips - Journal of Econometrics, 1995 - Elsevier
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Local Whittle estimation of fractional integration and some of its variants

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K Shimotsu… - Journal of Econometrics, 2006 - Elsevier
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[BOOK] Regional systems of innovation as a modern R&D entrepot: the case of the Saskatoon biotechnology cluster

P Phillips - 2002 - books.google.com
Economics examines innovation from the perspective of the incentives for, and impacts ofi
research at the microeconomic or jirm level, while the national systems of innovation (NSI)
literature examines clusters of innovation within states or regions. This paper offers a ...
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Effects of belief and logic on syllogistic reasoning

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LJ Ball, P Phillips, CN Wade… - … (formerly Zeitschrift für …, 2006 - Hogrefe & Huber
Studies of syllogistic reasoning have demonstrated a nonlogical tendency for people to
endorse more believable conclusions than unbelievable ones. This belief bias effect is more
dominant on invalid syllogisms than valid ones, giving rise to a logic by belief interaction. ...
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A Gaussian approach for continuous time models of the short‐term interest rate

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J Yu… - The Econometrics Journal, 2001 - Wiley Online Library
... of Economics, University of Auckland, Private Bag 92019, Auckland, New Zealand E-mail:
j.yu@auckland.ac.nz ‡Cowles Foundation for Research in Economics, Yale University, University
of Auckland, New Zealand and University of York, UK E-mail: peter.phillips@yale.edu ...
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On the behavior of inconsistent instrumental variable estimators

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E Maasoumi… - Journal of Econometrics, 1982 - Elsevier
Some theoretical results published recently in Hendry (1979) for the limiting distribution
of inconsistent instrumental variable estimators in misspecified dyna.
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Laws and Limits of Econometrics*

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PCB Phillips - The Economic Journal, 2003 - Wiley Online Library
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