CFDP 487, "A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression" (1978) [14pp, abstract]

CFDP 552, "A Model of Output, Employment, Capital Formation and Inflation" (1980) (with R.W. Bailey, V.B. Hall) [85pp] [CFP 701]

CFDP 560, "On a Lemma of Amemiya" (1980) [6pp]

CFDP 561, "The Characteristic Function of the F Distribution" (1980) [8pp, abstract] [CFP 560]

CFDP 562, "Best Uniform Approximation to Probability Densities in Econometrics" (1980) [65pp, abstract] [CFP 557]

CFDP 567, "Characteristic Functions and the Tail Behavior of Probability Distributions" (1980) [10pp, abstract] [CFP 622]

CFDP 568, "On the Behavior of Inconsistent Instrumental Variable Estimators" (1980) (with Esfandiar Maasoumi) [24pp, abstract] [CFP 554]

CFDP 573, "On the Consistency of Non-Linear FIML" (1980) [18pp, abstract] [CFP 549]

CFDP 608, "A New Approach to Small Sample Theory" (1981) [85pp, abstract]

CFDP 609, "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case" (1981) [34pp, abstract] [CFP 582]

CFDP 617, "Small Sample Distribution Theory in Econometric Models of Simultaneous Equations" (1982) [170pp]

CFDP 621, "Exact Small Sample Theory in the Simultaneous Equations Model" (1982) [114pp] [CFP 587]

CFDP 626, "On the Exact Distribution of LIML" (1982) (revised & extended version of CFDP 658)" [14pp, abstract] [CFP 589]

CFDP 637, "The Distribution of Matrix Quotients" (1982) [5pp, abstract] [CFP 608]

CFDP 638, "Failure of the Alternation Theorem in Rational Approximations Over C₀(-infinity,infinity)" (1982) [5pp]

CFDP 645, "ERA's: A New Approach to Small Sample Theory" (1982) [41pp, abstract] [CFP 573]

CFDP 658, "The Exact Distribution of LIML: I" (1982) [22pp, abstract] [CFP 589]

CFDP 663, "The Exact Distribution of LIML: II" (1983) [23pp, abstract] [CFP 618]

CFDP 679, "On University Education in Econometrics: Remarks on an Article by Eric R. Sowey" (1983) [9pp]

CFDP 680, "The Exact Distribution of Zellner's SUR" (1983) [17pp, abstract] [CFP 625]

CFDP 681, "The Exact Distribution of Exogenous Variable Coefficient Estimators" (1983) [15pp, abstract] [CFP 602]

CFDP 682, "The Exact Distribution of the Stein-Rule Estimator" (1983) [11pp] [CFP 594]

CFDP 683, "Finite Sample Econometrics Using ERA's" (1983) [28pp, abstract] [CFP 605]

CFDP 721, "Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Based on ERA's" (1984) (with R.C. Reiss) [59pp, abstract] [CFP 642]

CFDP 722, "The Exact Distribution of the Wald Statistic" (1984) [19pp, abstract] [CFP 654]

CFDP 723R, "An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T₀²" (1986) [17pp, abstract] [CFP 675]

CFDP 731, "The Exact Distribution of the Wald Statistic: The Non-Central Case" (1984) (with Sam Ouliaris) [13pp, abstract]

CFDP 739, "The Distribution of FIML in the Leading Case" (1985) [8pp, abstract] [CFP 638]

CFDP 740, "Time Series Regression with a Unit Root" (1985) [41pp]

CFDP 740R, "Time Series Regression with a Unit Root" (1985) [43pp, abstract]   [CFP 674]

CFDP 757, "Understanding Spurious Regressions in Econometrics" (1985) [38pp, abstract] [CFP 667]

CFDP 765, "Asymptotic Expansions in Nonstationary Vector Autoregressions" (1985) [32pp, abstract] [CFP 679]

CFDP 767, "Fractional Matrix Calculus and the Distribution of Multivariate Tests" (1985) [23pp, abstract] [CFP 664]

CFDP 768, "Multiple Time Series Regression with Integrated Processes" (1985) (with Steven N. Durlauf) [43pp, abstract] [CFP 659]

CFDP 781, "Regression Theory for Near-Integrated Time Series" (1985) [35pp, abstract]

CFDP 781R, "Regression Theory for Near-Integrated Time Series" (1985) [42pp, abstract] [CFP 711]

CFDP 782, "Towards a Unified Asymptotic Theory for Autoregression" (1986) [28pp, abstract]

CFDP 782R, "Towards a Unified Asymptotic Theory for Autoregression" (1986) [28pp, abstract] [CFP 685]

CFDP 786, "Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions" (1986) (with Donald W.K. Andrews) [28pp, abstract] [CFP 690]

CFDP 788, "Trends Versus Random Walks in Time Series Analysis" (1986) (with Steven N. Durlauf) [40pp, abstract] [CFP 744]

CFDP 795R, "Testing for a Unit Root in Time Series Regression" (1987) (with Pierre Perron) [31pp, abstract] [CFP 706]

CFDP 796, "Weak Convergence to the Matrix Stochastic Integral BdB" (1986) [18pp, abstract] [CFP 697]

CFDP 801, "On the Formulation of Wald Tests of Nonlinear Restrictions" (with Joon Y. Park) [33pp, abstract] [CFP 718]

CFDP 802, "Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors" (1986) (with Joon Y. Park) [20pp] [CFP 703]

CFDP 809R, "Testing for Cointegration Using Principal Component Methods" (1987) (with Sam Ouliaris) [38pp, NO p. 2, abstract] [CFP 723]

CFDP 811R, "Statistical Inference in Regressions with Integrated Processes: Part 1" (1987) (with Joon Y. Park) [50pp, abstract]  [CFP 715]

CFDP 819R, "Statistical Inference in Regressions with Integrated Processes: Part 2" (1987) (with Joon Y. Park) [63pp, abstract] [CFP 722]

CFDP 823, "Spherical Matrix Distributions and Cauchy Quotients" (1987) [5pp, abstract] [CFP 729]

CFDP 824R, "Conditional and Unconditional Statistical Independence" (1987) [13pp, abstract] [CFP 705]

CFDP 842, "Bimodal t-Ratios" (1987) (with Vassilis A. Hajivassiliou) [26pp, abstract]

CFDP 845R, "Partially Identified Econometric Models" (1988) [95pp, abstract] [CFP 728]

CFDP 846, "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations" (1987) [9pp, abstract] [CFP 716]

CFDP 847R, "Asymptotic Properties of Residual Based Tests for Cointegration" (1988) (with Sam Ouliaris) [51pp, abstract] [CFP 746]

CFDP 852, "Multiple Regression with Integrated Time Series" (1987) [41pp, abstract] [CFP 720]

CFDP 865, "The Characteristic Function of the Dirichlet and Multivariate F Distributions" (1987) [19pp, abstract]

CFDP 866R, "Optimal Inference in Cointegrated Systems" (1989) [28pp, abstract] [CFP 777]

CFDP 869R, "Statistical Inference in Instrumental Variables" (1989) (with Bruce E. Hansen) [58pp, abstract] [CFP 743]

CFDP 872, "Spectral Regression for Cointegrated Time Series" (1988) [33pp, abstract] [CFP 796]

CFDP 880, "Testing for a Unit Root in the Presence of a Maintained Trend" (1988) (with Sam Ouliaris, Joon Y. Park) [40pp, abstract] [CFP 756]

CFDP 881, "Estimation and Inference in Models of Cointegration: A Simulation Study" (1988) (with Bruce E. Hansen) [38pp, abstract] [CFP 747]

CFDP 882R, "Error Correction and Long Run Equilibrium in Continuous Time" (1989) [40pp, abstract] [CFP 788]

CFDP 886, "A Little Magic with the Cauchy Distribution" (1988) [14pp, abstract]

CFDP 887, "A New Proof of Knight's Theorem on the Cauchy Distribution" (1988) [6pp, abstract]

CFDP 893, "Reflections on Econometric Methodology" (1988) [42pp, abstract] [CFP 727]

CFDP 897R, "Time Series Regression with a Unit Root and Infinite Variance Errors" (1989) [27pp, abstract] [CFP 755]

CFDP 898R, "The Durbin-Watson Ratio Under Infinite Variance Errors" (1989) (with Mico Loretan) [41pp, abstract] [CFP 772]

CFDP 899, "Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains" (1989) (with In Choi) [78pp, abstract] [CFP 850]

CFDP 928, "Estimating Long Run Economic Equilibria" (1989) (with Mico Loretan) [58pp, abstract] [CFP 785]

CFDP 929, "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations" (1989) (with In Choi) [57pp, abstract] [CFP 806]

CFDP 932, "Asymptotics for Linear Processes" (1989) (with Victor Solo) [48pp, abstract] [CFP 815]

CFDP 933, "Testing for a Unit Root in the Presence of Deterministic Trends" (1989) (with Peter Schmidt) [37pp, abstract] [CFP 820]

CFDP 947, "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns" (1990) (with Mico Loretan)[ 77pp, abstract] [CFP 866]

CFDP 948, "Operational Algebra and Regression t-Tests" (1990) [18pp, abstract] [CFP 830]

CFDP 949, "A Shortcut to LAD Estimator Asymptotics" (1990) [20pp, abstract] [CFP 801]

CFDP 950, "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends" (1990) [44pp, abstract] [CFP 798]

CFDP 977, "Vector Autoregression and Causality" (1990) (with Hiro Y. Toda) [51pp, abstract] [CFP 858]

CFDP 978, "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study" (1991) (with Hiro Y. Toda) [30pp] abstract] [CFP 854]

CFDP 979, "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?" (1991) (with Denis Kwiatkowski, Peter Schmidt) [28pp, abstract] [CFP 827]

CFDP 986, "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum" (1991) [52pp, abstract] [CFP 799]

CFDP 980, "Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations" (1991) (with Werner Ploberger) [54pp, abstract]

CFDP 997, "A Reexamination of the Consumption Function Using Frequency Domain Regressors" (1991) (with Dean Corbae, Sam Ouliaris) [18pp, abstract] [CFP 894]

CFDP 998, "Unit Roots" (1991) [10pp, abstract]

CFDP 999, "The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models" (1991) [13pp, abstract]

CFDP 1000, "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence" (1991) [45pp] abstract] [CFP 825]

CFDP 1001, "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study" (1991) (with Hiro Y. Toda) [42pp, abstract] [CFP 890]

CFDP 1002, "A Bayesian Analysis of Trend Determination in Economic Time Series" (1991) (with Eric Zivot) [73pp, abstract] [CFP 891]

CFDP 1003, "Unidentified Components in Reduced Rank Regression Estimation of ECM's" (1991) [11pp, abstract]

CFDP 1017, "Posterior Odds Testing for a Unit Root with Data-Based Model Selection" (1992) (with Werner Ploberger) [35pp, abstract]  [CFP 878]

CFDP 1023, "Bayesian Model Selection and Prediction with Empirical Applications" (1992) [31pp, abstract] [CFP 911]

CFDP 1024, "Bayes Models and Forecasts of Australian Macroeconomic Time Series" (1992) [33pp, abstract] [CFP 897]

CFDP 1025, "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy" (1992) [69pp, abstract]

CFDP 1038, "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics" (1992) (with Werner Ploberger) [66pp, abstract]

CFDP 1039, "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models" (1992) [28pp, abstract] [CFP 864]

CFDP 1040, "Hyper-Consistent Estimation of a Unit Root in Time Series Regression" (1992) [20pp, abstract]

CFDP 1047, "Fully Modified Least Squares and Vector Autoregression" (1993) [79pp, abstract] [CFP 905]

CFDP 1055, "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984" (1993) (with James W. McFarland) [18pp, abstract] [CFP 1068]

CFDP 1064, "Robust Nonstationary Regression" (1993) [49pp, abstract] [CFP 912]

CFDP 1080, "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's" (1994) (with James W. McFarland, Patrick C. McMahon) [32pp, abstract] [CFP 921]

CFDP 1081, "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future" (1994) [15pp, abstract] [CFP 893]

CFDP 1082, "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments" (1994) (with Yuichi Kitamura) [42pp, abstract] [CFP 955]

CFDP 1083, "Model Determination and Macroeconomic Activity" (1994) [90pp, abstract] [CFP 926]

CFDP 1102, "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's" (1995) [38pp, abstract] [CFP 953]

CFDP 1103, "Automated Forecasts of Asia-Pacific Economic Activity" (1995) [15pp, abstract]

CFDP 1104, "Unit Root Tests" (1995) [25pp, abstract] [CFP 944]

CFDP 1134, "Efficiency Gains from Quasi-Differencing Under Nonstationarity" (1996) (with Chin Chin Lee) [14pp, abstract] [CFP 936]

CFDP 1135, "Spurious Regression Unmasked" (1996) [38pp, abstract]

CFDP 1137, "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior" (1996) (with John C. Chao) [36pp, abstract] [CFP 970]

CFDP 1155, "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure" (1997) (with John C. Chao) [47pp, abstract] [CFP 992]

CFDP 1161, "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy" (1997) (with Zhijie Xiao) [18pp, abstract] [CFP 1105]

CFDP 1162, "Regressions for Partially Identified, Cointegrated Simultaneous Equations" (1997) (with In Choi) [33pp, abstract]

CFDP 1163, "Band Spectral Regression with Trending Data" (1997) (with Dean Corbae, Sam Ouliaris) [46pp, abstract] [CFP 1039]

CFDP 1180, "Econometric Analysis of Fisher's Equation" (1998) [38pp, abstract]

CFDP 1181, "Nonstationary Density Estimation and Kernel Autoregression" (1998) (with Joon Y. Park) [27pp, abstract]

CFDP 1182, "Asymptotics for Nonlinear Transformations of Integrated Time Series" (1998) (with Joon Y. Park) [27pp, abstract] [CFP 980]

CFDP 1189, "A Primer on Unit Root Testing" (1998) (with Zhijie Xiao) [51pp, abstract] [CFP 972]

CFDP 1190, "Nonlinear Regressions with Integrated Time Series" (1998) (with Joon Y. Park) [63pp, abstract] [CFP 1016]

CFDP 1191, "How to Estimate Autoregressive Roots Near Unity" (1998) (with Hyungsik Moon, Zhijie Xiao [39pp, abstract] [CFP 1028]

CFDP 1192, "Higher Order Approximations for Wald Statistics in Cointegrating Regressions" (1998) (with Zhijie Xiao) [43pp, abstract] [CFP 968]

CFDP 1196, "New Unit Root Asymptotics in the Presence of Deterministic Trends" (1998) [25pp, abstract] [CFP 1059]

CFDP 1197, "Rissanen's Theorem and Econometric Time Series" (1998) (with Werner Ploberger) [14pp, abstract] [CFP 1037]

CFDP 1198, "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables" (1998) (with John C. Chao) [32pp, abstract] [CFP 1107]

CFDP 1219, "Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations" (1999) [26pp, abstract] [CFP 1023]

CFDP 1220, "Empirical Limits for Time Series Econometric Models" (1999) (with Werner Ploberger) [42pp, abstract] [CFP 1062]

CFDP 1221, "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments" (1999) (with Hyungsik R. Moon) [24pp, abstract] [CFP 1009]

CFDP 1222, "Linear Regression Limit Theory for Nonstationary Panel Data" (1999) (with Hyungsik R. Moon) [77pp, abstract] [CFP 986]

CFDP 1223, "Nonstationary Binary Choice" (1999) (with Joon Y. Park) [35pp, abstract] [CFP 1003]

CFDP 1224, "Estimation of Autoregressive Roots Near Unity Using Panel Data" (1999) (with Hyungsik R. Moon) [63pp, abstract] [CFP 1018]

CFDP 1243, "Discrete Fourier Transforms of Fractional Processes" (1999) [59pp, abstract]

CFDP 1244, "Unit Root Log Periodogram Regression" (1999) [22pp, abstract] [CFP 1197]

CFDP 1245, "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors" (1999) (with Yoosoon Chang, Joon Y. Park) [43pp, abstract] [CFP 1032]

CFDP 1246, "Maximum Likelihood Estimation in Panels with Incidental Trends" (1999) (with Hyungsik R. Moon) [30 pp] abstract] [CFP 999]

CFDP 1264, "Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges" (2000) [7pp, abstract] [CFP 1012]

CFDP 1265, "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case" (2000) (with Katsumi Shimotsu) [54pp, abstract]

CFDP 1266, "Local Whittle Estimation in Nonstationary and Unit Root Cases" (9/2003) (with Katsumi Shimotsu) [33pp, abstract] [CFP 1098]

CFDP 1267, "Pooled Log Periodogram Regression" (8/2002) (with Katsumi Shimotsu) [46pp] abstract] [CFP 1041]

CFDP 1274, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data" (2000) (with Hyungsik Roger Moon) [54pp, abstract] [CFP 1085]

CFDP 1278, "Forecasting New Zealand's Real GDP" (2000) (with Aaron F. Schiff) [32pp] abstract] [CFP 1020]

CFDP 1283, "Structural Change in Tail Behavior and the Asian Financial Crisis" (2000) (with Carmela E. Quintos, Zhenhong Fan) [38pp, abstract] [CFP 1030]

CFDP 1308, "Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter" (2001) (with Offer Lieberman) [13pp, abstract]

CFDP 1309, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate" (2001) (with Jun Yu) [22pp, abstract] [CFP 1124]

CFDP 1310, "Regression with Slowly Varying Regressors" (2001) [45pp, abstract]

CFDP 1311, Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach" (2001) (with Andrew Jeffrey, Oliver Linton, Thong Nguyen) [47pp, abstract] [CFP 1143]

CFDP 1329, "A CUSUM Test for Cointegration Using Regression Residuals" (2001) (with Zhijie Xiao) [22pp, abstract] [CFP 1046]

CFDP 1330, "Bootstrapping Spurious Regression" (2001) [43pp, abstract]

CFDP 1331, "Nonlinear Instrumental Variable Estimation of an Autoregression" (2001) (with Joon Y. Park, Yoosoon Chang) [30pp, abstract]

CFDP 1332, "Fully Nonparametric Estimation of Scalar Diffusion Models" (2001) (with Federico M. Bandi) [48pp, abstract] [CFP 1050]

CFDP 1362, "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence" (2002) (with Donggyu Sul) [56pp, abstract] [CFP 1136]

CFDP 1363, "Efficient Regression in Time Series Partial Linear Models" (2002) (with Binbin Guo, Zhijie Xiao) [46pp, abstract]

CFDP 1364, "Nonstationary Discrete Choice" (2002) (with Ling Hu) [37pp, abstract] [CFP 1103]

CFDP 1365, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach" (2002) (with Ling Hu) [35pp, abstract] [CFP 1112]

CFDP 1366, "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes" (2002) (with Yixiao Sun) [40pp, abstract] [CFP 1077]

CFDP 1367, "Exact Local Whittle Estimation of Fractional Integration" (7/12/04) (with Katsumi Shimotsu) [36pp, abstract] [CFP 1156]

CFDP 1373, "The KPSS Test with Seasonal Dummies" (2002) (with Sainan Jin) [6pp, abstract] [CFP 1132]

CFDP 1374, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra" (2002) (with Offer Lieberman) [22pp, abstract] [CFP 1141]

CFDP 1390, "GMM Estimation of Autoregressive Roots Near Unity with Panel Data" (2003) (with Hyungsik Roger Moon) [62pp, abstract] [CFP 1085]

CFDP 1391, "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process" (2003) (with Victoria Zinde-Walsh) [10pp, abstract] [CFP 1115]

CFDP 1392, "Jackknifing Bond Option Prices" (2003) (with Jun Yu) [51pp, abstract] [CFP 1119]

CFDP 1393, "Vision and Influence in Econometrics: John Denis Sargan" (2003) [19pp, abstract] [CFP 1054]

CFDP 1397, "Laws and Limits of Econometrics" (2003) [32pp, abstract] [CFP 1081]

CFDP 1398, "The Elusive Empirical Shadow of Growth Convergence" (2003) (with Donggyu Sul) [36pp, abstract]

CFDP 1407, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation" (2003) (with Yixiao Sun, Sainan Jin) [50pp, abstract]

CFDP 1435, "Incidental Trends and the Power of Panel Unit Root Tests" (2003) (with Hyungsik R. Moon, Benoit Perron) [43pp, abstract] [CFP 1215]

CFDP 1436, "Prewhitening Bias in HAC Estimation" (2003) (with Donggyu Sul, Chi-Young Choi) [28pp, abstract] [CFP 1161]

CFDP 1437, "Long Run Variance Estimation Using Steep Origin Kernels without Truncation" (2003) (with Yixiao Sun, Sainan Jin) [47pp, abstract]  [CFP 1178]

CFDP 1438, "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence" (updated 6/2004) (with Donggyu Sul) [35pp, abstract] [CFP 1204]

CFDP 1469, "Automated Discovery in Econometrics" (2004) [21pp, abstract] [CFP 1149]

CFDP 1470, "HAC Estimation by Automated Regression" (2004) [24pp, abstract] [CFP 1158]

CFDP 1471. "Limit Theory for Moderate Deviations from a Unit Root" (2004) (with Tassos Magdalinos) [27pp, abstract]

CFDP 1472, "Challenges of Trending Time Series Econometrics" (2004) [20pp, abstract] [CFP 1151]

CFDP 1473, "Regression Asymptotics Using Martingale Convergence Methods" (2004) (with Rustam Ibragimov) [42pp, abstract]

CFDP 1474, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter" (2004) (with Offer Lieberman) [19pp, abstract] [CFP 1157]

CFDP 1475, "Uniform Limit Theory for Stationary Autoregression" (2004) (with Liudas Giraitis) [9pp, abstract] [CFP 1166]

CFDP 1513, "Improved HAR Inference Using Power Kernels Without Truncation" (2005) (with Yixiao Sun, Sainan Jin) [51pp, abstract]

CFDP 1514, "Economic Transition and Growth" (2005) (with Donggyu Sul) [59pp, abstract]

CFDP 1515, "GMM with Many Moment Conditions" (2005) (with Chirok Han) [45pp, abstract] [CFP 1165]

CFDP 1516, "Nonstationary Discrete Choice: A Corrigendum and Addendum" (2005) (with Sainan Jin, Ling Hu) [53pp, abstract] [CFP 1214]

CFDP 1517, "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence" (2005) (with Tassos Magadalinos) [46pp, abstract] [CFP 1202]

CFDP 1522, "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions" (2005) (with Federico M. Bandi) [49pp, abstract]   [CFP 1205]

CFDP 1523, "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations" (2005) (with Jun Yu) [27pp, abstract]

CFDP 1538, "A New Approach to Robust Interence in Cointegration" (2005) (with Sainan Jin, Yixiao Sun) [15pp, abstract] [CFP 1203]

CFDP 1540, "A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation" (2005) [13pp, abstract] [CFP 1171]

CFDP 1541, "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity" (2005) [44pp, abstract] (with Seung Hyun Hong)

CFDP 1545, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing" (2006) (with Yixiao Sun, Sainan Jin) [51pp, abstract] [CFP 1221]

CFDP 1546, "Gaussian Inference in AR(1) Time Series with or without a Unit Root" (2006) (with Chirok Han) [16pp, abstract]

CFDP 1547, "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments" (2006) [44pp, abstract]

CFDP 1548, "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution" (2006) (with Nicholas Z. Muller) [24pp, abstract]

CFDP 1549, "Refined Inference on Long Memory in Realized Volatility" (2006) (with Offer Lieberman) [15pp, abstract]

CFDP 1550, "Indirect Inference for Dynamic Panel Models" (2006) (with Christian Gouriéroux, Jun Yu [20pp, abstract]

CFDP 1585, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances" (2006) (with Ke-Li Xu) [32pp, abstract]

CFDP 1585R, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances" (11/28/2006) (with Ke-Li Xu) [30pp, abstract] [CFP 1219]

CFDP 1586, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process" (2006) (with Offer Lieberman) [22pp, abstract]

CFDP 1587, "Log Periodogram Regression: The Nonstationary Case" (2006) (with Chang Sik Kim) [29pp, abstract]

CFDP 1594, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression" (2006) (with Qiying Wang) [26pp, abstract]

CFDP 1595, "Transition Modeling and Econometric Convergence Tests" (2007) (with Donggyu Sul) [72pp, abstract] [CFP 1216]

CFDP 1596, "Simulation-based Estimation of Contingent-claims Prices" (2007) (with Jun Yu) [30pp, abstract]

CFDP 1597, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance" (2007) (with Jun Yu) [34pp, abstract]

CFDP 1598, "Information Loss in Volatility Measurement with Flat Price Trading" (2007) (with Jun Yu) [27pp, abstract]

CFDP 1599, "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity" (2007) (with Chirok Han) [45pp, abstract]

CFDP 1611, "Long Run Covariance Matrices for Fractionally Integrated Processes" (2007) (with Chang Sik Kim) [14pp, abstract] [CFP 1217]

CFDP 1612, "Tilted Nonparametric Estimation of Volatility Functions" (2007) (with Ke-Li Xu) [22pp, abstract]

CFDP 1613, "Exact Distribution Theory in Structural Estimation with an Identity" (2007) [27pp, abstract]

CFDP 1614, "Limit Theory for Explosively Cointegrated Systems" (2007) (with Tassos Magdalinos) [24pp, abstract]

CFDP 1653, "Unit Root Model Selection" (May 2008) [abstract, 14pp] Reprinted in Journal of the Japan Statistical Society (2008), 38(1): 65-74 [CFP 1231]

CFDP 1654, "Local Limit Theory and Spurious Nonparametric Regression" (May 2008) [abstract, 31pp]

CFDP 1655, "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past" (May 2008) (with Tassos Magdalinos) [abstract, 31pp]

CFDP 1656, "Long Memory and Long Run Variation" (May 2008) [abstract, 23pp]

CFDP 1657, "Structural Nonparametric Cointegrating Regression" (May 2008) (with Qiying Wang) [abstract, 25pp]

CFDP 1658, "Semiparametric Cointegrating Rank Selection" (May 2008) (with Xu Cheng) [abstract, 23pp]

CFDP 1659, "Smoothing Local-to-Moderate Unit Root Theory" (May 2008) (with Tassos Magdalinos, Liudas Giraitis) [abstract, 17pp]

CFDP 1661, "Optimal Bandwidth Choice for Interval Estimation in GMM Regression" (May 2008) (with Yixiao Sun) [abstract, 93pp]

CFP 546, "A Simple Proof of the Latent Root Sensitivity." Economics Letters (1982), 9: 57-59

CFP 549, "On the Consistency of Nonlinear FIML." Econometrica (September 1982), 50(5): 1307-1323 [CFDP 573]

CFP 554, "On the Behavior of Inconsistent Instrumental Variable Estimators." Journal of Econometrics (1982), 19: 183-201 (with Esfandiar Maasdoumi) [CFDP 568]

CFP 557, "Best Uniform and Modified Padé Approximants to Probability Densities in Econometrics." In Werner Hildenbrand, ed., Advances in Econometrics, Cambridge University Press, 1982, pp. 123-167 [CFDP 562]

CFP 560, "The True Characteristic Function of the F Distribution." Biometrika (1982), 69: 261-264 [CFDP 561]

CFP 573, "Era's: A New Approach to Small Sample Theory." Econometrica (September 1983), 51(5): 1506-1525 [CFDP 645]

CFP 582, "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case." In Advances in Econometrics, Vol. 2, JAI Press, 1983, pp. 1-24 [CFDP 609]

CFP 587, "Exact Small Sample Theory in the Simultaneous Equations Model." In Handbook of Econometrics, Vol. 1, North-Holland, 1983, pp. 450-516 [CFDP 621]

CFP 589, "The Exact Distribution of LIML: I." International Economic Review (February 1984), 25(1): 249-261 [CFDP 626]; revised & extended version of CFDP 658]

CFP 594, "The Exact Distribution of the Stein-Rule Estimator." Journal of Econometrics (1984), 25: 123-131 [CFDP 682]]

CFP 602, "The Exact Distribution of Exogenous Variable Coefficient Estimators." Journal of Econometrics (1984), 26: 387-398 [CFDP 681]]

CFP 605, "Finite Sample Econometrics Using ERA's." Journal of Japan Statistical Society (1984), 14(2): 107-124 [CFDP 683]

CFP 608, "The Distribution of Matrix Quotients." Journal of Multivariate Analysis (February 1985), 16(1): 157-161 [CFDP 637]

CFP 618, "The Exact Distribution of LIML: II." International Economic Review (February 1985), 26(1): 21-36 [CFDP 663]

CFP 622, "A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family." Canadian Journal of Economics (February 1985), 1: 58-65 [CFDP 567]

CFP 625, "The Exact Distribution of the SUR Estimator." Econometrica (July 1985), 53(4): 745-756 [CFDP 680]

CFP 638, "The Distribution of FIML in the Leading Case." International Economic Review (February 1968), 27(1): 239-243 [CFDP 739]

CFP 642, "Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Based on Extended Rational Approximants." In Advances in Statistical Analysis and Statistical Computing, 1, JAI Press, 1985, pp. 1-50 (with R.C. Reiss) [CFDP 721]

CFP 654, "The Exact Distribution of the Wald Statistic." Econometrica (July 1986), 54(4): 881-895 [CFDP 722]

CFP 659, "Multiple Time Series Regression with Integrated Processes." Review of Economic Studies (1986), 53: 473-495 (with Steven N. Durlauf) [CFDP 768]

CFP 664, "Fractional Matrix Calculus and the Distribution of Multivariate Tests." In I.B. MacNeill and G.J. Umphrey, eds., Time Series and Econometric Modelling, Reidel Publishing, 1987, pp. 219-234 [CFDP 767]

CFP 667, "Understanding Spurious Regressions in Econometrics." Journal of Econometrics (1986), 33: 311-340 [CFDP 757]

CFP 669, "Large Deviation Expansions in Econometrics." In Advances in Econometrics, Vol. 5, JAI Press, 1986, pp. 199-226

CFP 672, "A Simplified Proof of a Theorem on the Difference of the Moore-Penrose Inverses of Two Positive Semi-Definite Matrices." Communications in Statistics, Theory and Methods (1986), 15(10): 2973-2975 (with Donald W.K. Andrews)

CFP 674, "Time Series Regression with a Unit Root." Econometrica (March 1987), 55(2): 277-301 [CFDP 740R]

CFP 675, "An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T₀²." Journal of Multivariate Analysis (April 1987), 21(2): 238-249 [CFDP 723R]

CFP 679, "Asymptotic Expansions in Nonstationary Vector Autoregressions." Econometric Theory (1987), 3: 45-68 [CFDP 765]

CFP 681, "Does GNP Have a Unit Root?" Economics Letters (1987), 23: 139-145 (with Pierre Perron)

CFP 685, "Towards a Unified Asymptotic Theory for Autoregression." Biometrika (1987), 74: 535-547 [CFDP 782R]

CFP 690, "Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions." Journal of the American Statistical Association (September 1987), 82(399): 886-893 (with Donald W.K. Andrews) [CFDP 786]

CFP 697, "Weak Convergence to the Matrix Stochastic Integral BdB." Journal of Multivariate Analysis (February 1988), 24(2): 252-264 [CFDP 796]

CFP 701, "A Model of Output, Employment, Capital Formation and Inflation." In G. Gandolfo and F. Marzano, eds., Keynesian Theory Planning Models and Quantitative Economics, Essay in Memory of Vittorio Marrama, Vol. 2, 1987, pp. 703-767 (with R.W. Bailey, V.B. Hall) [CFDP 552]

CFP 703, "Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors." Journal of American Statistical Association (1988), 83(401): 111-115, 1988 (with Joon Y. Park) [CFDP 802]

CFP 705, "Conditional and Unconditional Statistical Independence." Journal of Econometrics (1988), 75(2): 341-348 [CFDP 824R]

CFP 706, "Testing for a Unit Root in Time Series Regression." Biometrika (1988), 75(2): 355-346 (with Pierre Perron) [CFDP 795R]

CFP 711, "Regression Theory for Near-Integrated Time Series." Econometrica (September 1988), 56(5): 1021-1043 [CFDP 781R]

CFP 715, "Statistical Inference in Regressions with Integrated Processes: Part 1." Econometric Theory (1988), 4: 468-497 (with Joon Y. Park) [CFDP 811R]

CFP 716, "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations." Econometric Theory (1988), 4: 528-533 [CFDP 846]

CFP 718, "On the Formulation of Wald Tests of Nonlinear Restrictions." Econometrica (September 1988), 56(5): 1065-1083 (with Joon Y. Park) [CFDP 801]

CFP 720, "Multiple Regression with Integrated Time Series." Contemporary Mathematics (1988), 80: 79-105 [CFDP 852]

CFP 722, "Statistical Inference in Regressions with Integrated Processes: Part 2." Econometric Theory (1989), 5: 95-131 (with Joon Y. Park) [CFDP 819R]

CFP 723, "Testing for Cointegration Using Principal Components Methods." Journal of Economic Dynamics and Control (1988), 12: 205-230 (with Sam Ouliaris) [CFDP 809R]

CFP 727, "Reflections on Econometric Methodology." The Economic Record (December 1988), 344-359 [CFDP 893]

CFP 728, "Partially Identified Econometric Models." Econometric Theory (1989), 5: 181-240 [CFDP 845R]

CFP 729, "Spherical Matrix Distributions and Cauchy Quotients." Statistics and Probability Letters (1989), 8: 51-53 [CFDP 823]

CFP 743, "Statistical Inference in Instrumental Variables, Regression with I(1) Processes." Review of Economic Studies (1990), 57: 99-125 (with Bruce E. Hansen) [CFDP 869R]

CFP 744, "Trends Versus Random Walks in Time Series Analysis." Econometrica (November 1988), 56(6): 1333-1354 (with Steven N. Durlauf) [CFDP 788]

CFP 746, "Asymptotic Properties of Residual Based Tests for Cointegration." Econometrica (January 1990), 58(1): 165-193 (with Sam Ouliaris) [CFDP 847R]

CFP 747, "Estimation and Inference in Models of Cointegration: A Simulation Study." In Advances in Econometrics, Vol. 8, JAI Press, 1990, pp. 225-248 (with Bruce E. Hansen) [CFDP 881]

CFP 755, "Time Series Regression with a Unit Root and Infinite-Variance Errors." Econometric Theory (1990), 6: 44-62 [CFDP 897R]

CFP 756, "Testing for a Unit Root in the Presence of a Maintained Trend." In B. Raj, ed., Advances in Econometrics and Modelling, 1989, pp. 7-28 (with Sam Ouliaris, Joon Y. Park) [CFDP 880]

CFP 772, "The Durbin-Watson Ratio Under Infinite-Variance Errors." Journal of Econometrics (1991), 47: 85-114 (with Mico Loretan) [CFDP 898R]

CFP 777, "Optimal Inference in Cointegrated Systems." Econometrica (March 1991), 59(2): 283-306 [CFDP 866R]

CFP 785, "Estimating Long-Run Economic Equilibria." Review of Economic Studies (1991), 58: 407-436 (with Mico Loretan) [CFDP 928]

CFP 788, "Error Correction and Long-Run Equilibrium in Continuous Time." Econometrica (July 1991), 59(4): 967-980 [CFDP 882R]

CFP 796, "Spectral Regression for Cointegrated Time Series." In William A. Barnett, James Powell and George E. Tauchen, eds., Nonparametric And Semiparametric Methods in Econometrics And Statistics: Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, Cambridge University Press, 1991, pp. 413-435 [CFDP 872]

CFP 798, "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends." Journal of Applied Econometrics (1991), 6: 333-364 [CFDP 950]

CFP 799, "Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum." Journal of Applied Econometrics (1991), 6: 435-473 [CFDP 986]

CPF 801, "A Shortcut to LAD Estimator Asymptotics." Econometric Theory (1991), 7: 450-463 [CFDP 949]

CFP 806, "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations." Journal of Econometrics (1992), 51: 113-150 (with In Choi) [CFDP 929]

CPF 815, "Asymptotics for Linear Processes." Annals of Statistics (1992), 20(2): 971-1001 (with Victor Solo) [CFDP 932, 48pp, ]

CFP 820, "LM Tests for a Unit Root in the Presence of Deterministic Trends." Oxford Bulletin of Economics and Statistics (1992), 54(3): 257-287 (with Peter Schmidt) [CFDP 933]

CFP 825, "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Inference." In Colin Hargreaves, eds., Macroeconomic Modelling of the Long Run, 1992, pp.287-322 [CFDP 1000]

CFP 827, "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root." Journal of Econometrics (1992), 54: 159-178 (with Denis Kwiatkowski, Peter Schmidt, Yongcheril Shin) [CFDP 979]

CFP 830, "Operational Algebra and Regression t-Tests." In Peter C.B. Phillips, ed., Models, Methods, and Applications of Econometrics, 1993, pp. 140-151 [CFDP 948]

CFP 850, "Testing for a Unit Root by Frequency Domain Regression." Journal of Econometrics (1993), 59: 263-286 (with In Choi) [CFDP 899]

CFP 854, "The Spurious Effect of Unit Roots on Vector Autoregressions." Oxford Economic Papers (1993), 59: 229-255 (with Hiro Y. Toda) [CFDP 978]

CFP 858, "Vector Autoregression and Causality." Econometrica (November 1993), 61(6): 1367-1393 (with Hiro Y. Toda) [CFDP 977]

CFP 861, "Parameter Constancy in Cointegrating Regressions." Empirical Economics (1993), 18: 675-706 (with Carmela E. Quintos)

CFP 864, "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models." Econometrica (January 1994), 62(1): 73-93 [CFDP 1039]

CFP 866, "Testing the Covariance Stationarity of Heavy-tailed Time Series." Journal of Empirical Finance (1994), 1: 211-248 (with Mico Loretan) [CFDP 947]

CFP 878, "Posterior Odds Testing for a Unit Root with Data-based Model Selection." Econometric Theory (1994), 10: 774-808 (with Werner Ploberger) [CFDP 1017]

CFP 885, "Bayes Methods and Unit Roots." Econometric Theory (1994), 10: 453-460 (with Herman K. van Dijk)

CFP 890, "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study." Econometric Reviews (1994), 13(2): 259-285 (with Hiro Y. Toda) [CFDP 1001]

CFP 891, "A Bayesian Analysis of Trend Determination in Economic Time Series." Econometric Reviews (1994), 13(3): 296-336 (with Eric Zivot) [CFDP 1002]

CFP 893, "Nonstationary Time Series and Cointegration." Journal of Applied Econometrics (1995), 10: 87-94 [CFDP 1081]

CFP 894, "A Reexamination of the Consumption Function Using Frequency Domain Regressions." Empirical Economics (1994), 19: 595-609 (with Dean Corbae, Sam Ouliaris) [CFDP 997]

CFP 897, "Bayes Models and Forecasts of Australian Macroeconomic Time Series." In Colin P. Hargreaves, ed., Nonstationary Time Series Analysis and Cointegration, 1994, pp. 53-86 [CFDP 1024]

CFP 900, "Recession Headline News, Consumer Sentiment, The State of the Economy and Presidential Popularity: A Time Series Analysis 1989–1993." International Journal of Public Opinion Research (1995), 7(1): 2-22 (with Deborah J. Blood)

CFP 903, "On the Theory of Testing Covariance Stationarity Under Moment Condition Failure." In G.S. Maddala, Peter C.B. Phillips and T.N. Srinivasan, eds., Advanced in Econometrics and Quantitative Economics, 1995, pp. 189-233 (with Mico Loretan)

CFP 905, "Fully Modified Least Squares and Vector Autoregression." Econometrica (September 1995), 63(5): 1023-1078 [CFDP 1047]

CFP 908, "Bayesian Prediction: A Response." Journal of Econometrics (1995), 69: 351-365

CFP 911, "Bayesian Model Selection and Prediction with Empirical Applications." Journal of Econometrics (1995), 69: 289-331 [CFDP 1023]

CFP 912, "Robust Nonstationary Regression." Econometric Theory (1995), 11: 912-951 [CFDP 1064]

CFP 913, "Efficient IV Estimation in Nonstationary Regression." Econometric Theory (1995), 11: 1095-1130 (with Yuichi Kitamura)

CFP 914, "Trending Multiple Time Series." Econometric Theory (1995), 11: 811-817

CFP 917, "An Asymptotic Theory of Bayesian Inference for Time Series." Econometrica (March 1996), 64(2): 381-412 (with Werner Ploberger)

CFP 919, "Time Series Regression with Mixtures of Integrated Processes." Econometric Theory (1995), 11: 1033-1094 (with Yoosoon Chang)

CFP 921, "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s." Journal of Applied Econometrics (1996), 11: 1-22 (with James W. McFarland, Patrick C. McMahon) [CFDP 1080]

CFP 926, "Econometric Model Determination." Econometrica (July 1996), 64(4): 763-812 [CFDP 1083]

CFP 936, "Efficiency Gains from Quasi-Differencing Under Nonstationarity." In P.M. Robinson and M. Rosenblatt (eds.), Athens Conference on Applied Probability and Time Series, Vol. II, 1996, pp. 300-314 (with Chin Chin Lee) [CFDP 1134]

CFP 943, "An Empirical Bayesian Approach to Cointegrating Rank Selection and Test of the Present Value Model for Stock Prices." In Jack C. Lee, Wesley O. Johnson and Arnold Zellner, eds., Modelling and Prediction, 1996, pp. 300-314 (with John C. Chao)

CFP 944, "Unit-Root Tests." In Samuel Kotz (ed.), Encyclopedia of Statistical Sciences, Update Vol. 1, 1997, pp. 531-542 [CFDP 1104]

CFP 948, "Economic Headline News on the Agenda: New Approaches to Understanding Causes and Effects." In M. McCombs, D.L. Shaw and D. Weaver, eds., Communication and Democracy, 1997, pp. 97-113 (with Deborah J. Blood)

CFP 953, "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs." Journal of Econometrics (1998), 83: 21-56 [CFDP 1102]

CFP 955, "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressors and Instruments." Journal of Econometrics (1997), 80: 85-123 (with Yuichi Kitamura) [CFDP 1082]

CFP 966, "New Tools for Understanding Spurious Regressions." Econometrica (November 1998), 66(6): 1299-1325

CFP 968, "Higher-Order Approximations for Frequency Domain Time Series Regression." Journal of Econometrics (1998), 86: 297-336 (with Zhijie Xiao) [CFDP 1192]

CFP 970, "Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using Jeffreys Prior." Journal of Economic Surveys (1998), 87:49-86 (with John C. Chao) [CFDP 1137]

CFP 972, "A Primer on Unit Root Testing" Journal of Economic Surveys (1998), 12(5): 423-469 (with Zhijie Xiao) [CFDP 1189]

CFP 980, "Asymptotics for Nonlinear Transformations of Integrated Time Series" Econometric Theory (1999), 15: 260-298 (with Joon Y. Park) [CFDP 1182]

CFP 986, "Linear Regression Limit Theory for Nonstationary Panel Data." Econometrica (September 1999), 67(5): 1057-1111 (with Hyungsik R. Moon) [CFDP 1222]

CFP 992, "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure." Journal of Econometrics (1999), 91: 227-271 (with John C. Chao) [CFDP 1155]

CFP 999, "Maximum Likelihood Estimation in Panels with Incidental Trends." Oxford Bulletin of Economics and Statistics, Special Issue (1999), 711-747 (with Hyungsik R. Moon) [CFDP 1246]

CFP 1003, "Nonstationary Binary Choice." Econometrica (September 2000), 68(5): 1249-1280 (with Joon Y. Park) [CFDP 1223]

CFP 1009, "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments." Econometric Reviews, (2000), 19(3): 263-286 (with Hyungsik R. Moon) [CFDP 1221]

CFP 1012, "Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges." Journal of Econometrics (2001), 100: 21-26 [CFDP 1264]

CFP 1016, "Nonlinear Regressions with Integrated Time Series." Econometrica (2001), 69(1):117-161 (with Joon Y. Park) [CFDP 1190]

CFP 1018, "Estimation of Autoregressive Roots Near Unity Using Panel Data." Econometric Theory (2000), 16: 927-997 [CFDP 1224]

CFP 1020, "Forecasting New Zealand's Real GDP." New Zealand Economic Papers (2000), 34(2): 159-182 (with Aaron F. Schiff) [CFDP 1278]

CFP 1023, "Descriptive Econometrics for Non-Stationary Time Series with Empirical Illustrations." Journal of Applied Econometrics (2001), 16: 389-413 [CFDP 1219]

CFP 1026, "The Bill Phillips Legacy of Continuous Time Modelling and Econometric Model Design" and "Published Papers." In Robert Leeson, ed., A.W.H. Phillips: Collected Works in Contemporary Perspective, 2000

CFP 1028, "How to Estimate Autoregressive Roots Near Unity." Econometric Theory (2001), 17: 29-59 (with Hyungsik Roger Moon, Zhijie Xiao) [CFDP 1191]

CFP 1030, "Structural Change Tests in Tail Behavior and the Asian Crisis." Review of Economic Studies (2001), 68: 633-663 (with Carmela Quintos, Zhenhong Fan) [CFDP 1283]

CFP 1032, "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors." Econometrics Journal (2001), 4: 1-36 (with Yoosoon Chang, Joon Y. Park) [CFDP 1245]

CFP 1035, "Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly." Journal of Applied Econometrics (2001), 16: 671-708 (with Alex Maynard)

CFP 1037, "Rissanen's Theorem and Econometric Time Series." In Arnold Zellner, Hugo A. Keuzenkamp and Michael McAleer (eds.), Simplicity, Inference and Modelling, 2001, pp. 165-180 (with Werner Ploberger) [CFDP 1197]

CFP 1039, "Band Spectral Regression with Trending Data." Econometrica (May 2002), 70(3): 1067-1109 (with Dean Corbae, Sam Ouliaris) [CFDP 1163]

CFP 1041, "Pooled Log Periodogram Regression." Journal of Time Series Analysis (2002), 23(1): 57-93 (with Katsumi Shimotsu) [CFDP 1267]

CFP 1046, "A CUSUM Test for Cointegration Using Regression Residuals." Journal of Econometrics (2002), 108: 43-61 (with Zhijie Xiao) [CFDP 1329]

CFP 1050, "Fully Nonparametric Estimation of Scalar Diffusion Models." Econometrica (January 2003), 71(1): 241-283 (with Federico M. Bandi)  [CFDP 1332]

CFP 1054, "Vision and Influence in Econometrics: John Denis Sargan." Econometric Theory (2003), 19: 495-511 [CFDP 1393]

CFP 1059, "New Unit Root Asymptotics in the Presence of Deterministic Trends," Journal of Econometrics (2002), 111: 323-353 [CFDP 1196]

CFP 1062, "Empirical Limits for Time Series Econometric Models." Econometrica (March 2003), 71(2): 627-673 (with Werner Ploberger) [CFDP 1220]

CFP 1068, "Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984." Journal of International Money and Finance (1997), 16(6): 885-907 (with James W. McFarland) [CFDP 1055]

CFP 1071, "Efficient Detrending in Cointegrating Regression." Econometric Theory, 15, 1999 (with Zhijie Xiao)

CFP 1077, "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes." Journal of Econometrics (2003), 115: 355-389 (with Yixiao Sun) [CFDP 1366]

CFP 1081, "Laws and Limits of Econometrics." The Economic Journal (2003), 113: C26-C52 [CFDP 1397]

CFP 1085, "GMM Estimation of Autoregressive Roots Near Units with Panel Data." Econometrica (March 2004) 72(2): 467-522 (with Hyungsik Roger Moon) [CFDP 1274]

CFP 1087, "Nonlinear Instrumental Variable Estimation of an Autoregression." Journal of Econometrics (2004) 118: 219-246 (with Joon Y. Park, Yoosoon Chang)  [CFDP 1331]

CFP 1094, "Higher Order Approximations for Wald Statistics in Time Series Regressions with Integrated Processes." Journal of Econometrics (2002), 108: 157-198 (with Zhijie Xiao)

CFP 1098, "Local Whittle Estimation in Nonstationary and Unit Root Cases." The Annals of Statistics (2004), 34(2): 656-692 (with Katsumi Shimotsu) [CFDP 1266]

CFP 1101, "Early Development of Econometric Software at the University of Aukland." Journal of Economic and Social Measurement (2004), 29: 127-133 (with Viv B. Hall)

CFP 1103, "Nonstationary Discrete Choice." Journal of Econometrics (2004), 120: 103-138 (with Ling Hu)  [CFDP 1364]

CFP 1005, "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the US Economy." Econometrics Journal, Vol. 1, 1998 (with Zhijie Xiao) [18pp] [CFDP 1161]

CFP 1107, "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n + 1 Endogenous Variables." Journal of Econometrics (2002), 111: 251-283 (with John C. Chao) [CFDP 1198]

CFP 1109, "An Introduction to Best Empirical Models When the Parameter Space is Infinite Dimensional." Oxford Bulletin of Economics and Statistics Supplement (December 2003), 65: 877-878 (with Werner Ploberger)

CFP 1112, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach." Journal of Applied Econometrics (2004), 19: 851-867 (with Ling Hu)  [CFDP 1365]

CFP 1115, "Fractional Brownian Motion as a Differentiable Generalized Gaussian Process." In K. Athreya, M. Majumdar, M. Puri and E. Waymire, eds., Probability, Statistics and Their Applications: Papers in Honor of Rabi Bhattacharya, Vol. 41, 2003, pp. 285-292 (with Victoria Zinde-Walsh) [CFDP 1391]