Peter C.B. Phillips

Testing for a unit root in time series regression

This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters an...

Testing for a Unit Root in the Presence of a Maintained Trend

Testing the null hypothesis of stationarity against the alternative of a unit root

Linear Regression Limit Theory for Nonstationary Panel Data

This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The limit theory allows for ...

Understanding spurious regressions in econometrics

Dynamic panel estimation and homogeneity testing under cross section dependence *

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a pane...

Asymptotics for Linear Processes

A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The technique is closely related to Gord...

Statistical Inference in Regressions with Integrated Processes: Part 1

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certai...

Nonstationary panel data analysis: an overview of some recent developments

This paper overviews some recent developments in panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual effects....