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

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

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

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

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

CFDP 567, "Characteristic Functions and the Tail Behavior of Probability Distributions" (December 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" (December 1980) [18pp, abstract] [CFP 549]

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

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

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

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

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

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

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

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

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

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

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

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

CFDP 681, "The Exact Distribution of Exogenous Variable Coefficient Estimators" (July 1983) [16pp, abstract] [CFP 602]

CFDP 682, "The Exact Distribution of the Stein-Rule Estimator" (November 1983) [14pp, abstract] [CFP 594]

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

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

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

CFDP 723R, "An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T₀²" (September 1984, revised March 1986) [17pp, abstract] [CFP 675]

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

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

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

CFDP 740R, "Time Series Regression with a Unit Root" (Revised February 1986) [43pp, abstract] [CFP 674]

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

CFDP 765, "Asymptotic Expansions in Nonstationary Vector Autoregressions" (August 1985) [34pp, abstract] [CFP 679]

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

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

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

CFDP 781R, "Regression Theory for Near-Integrated Time Series" (Revised January 1987) [42pp, abstract] [CFP 711]

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

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

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

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

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

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

CFDP 801, "On the Formulation of Wald Tests of Nonlinear Restrictions" (September 1986) (with Joon Y. Park) [33pp, abstract] [CFP 718]

CFDP 802, "Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors"(September 1986) (with Joon Y. Park) [21pp, abstract] [CFP 703]

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

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

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

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

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

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

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

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

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

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

CFDP 865, "The Characteristic Function of the Dirichlet and Multivariate F Distributions" (February 1988) [19pp, abstract]

CFDP 866R, "Optimal Inference in Cointegrated Systems" (February 1988, revised August 1989) [28pp, abstract] [CFP 777]

CFDP 869R, "Statistical Inference in Instrumental Variables Regression with I(1) Processes" (Revised April 1989) (with Bruce E. Hansen) [58pp, abstract] [CFP 743]

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

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

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

CFDP 882R, "Error Correction and Long Run Equilibrium in Continuous Time" (June 1988, revised July 1989) [40pp, abstract] [CFP 788]

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

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

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

CFDP 897R, "Time Series Regression with a Unit Root and Infinite Variance Errors" (April 1989, revised August 1989) [29pp, abstract] [CFP 755]

CFDP 898R, "The Durbin-Watson Ratio Under Infinite Variance Errors" (January 1989, revised August 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" (March 1989) (with In Choi) [78pp, abstract] [CFP 850]

CFDP 928, "Estimating Long Run Economic Equilibria" (October 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" (October 1989) (with In Choi) [57pp, abstract] [CFP 806]

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

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

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

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

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

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

CFDP 977, "Vector Autoregression and Causality" (May 1991) (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" (May 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?" (May 1991) (with Denis Kwiatkowski, Peter Schmidt) [28pp, abstract] [CFP 827]

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

CFDP 986, "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum" (July1991) [52pp, abstract] [CFP 799]

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

CFDP 1080, "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's" (September 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" (September 1994) [15pp, abstract] [CFP 893]

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

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

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

CFDP 1103, "Automated Forecasts of Asia-Pacific Economic Activity" (June 1995) [15pp, abstract] Reprinted in Asia Pacific Economic Review (1996), 1: 92-102

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

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

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

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

CFDP 1155, "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure" (July 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" (September 1997) (with Zhijie Xiao) [18pp, abstract] [CFP 1105]

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

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

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

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

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

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

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

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

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

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

CFDP 1197, "Rissanen's Theorem and Econometric Time Series" (October 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" (October 1998) (with John C. Chao) [32pp, abstract] [CFP 1107]

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

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

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

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

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

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

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

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

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

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

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

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

CFDP 1266, "Local Whittle Estimation in Nonstationary and Unit Root Cases" (July 2000, updated June 2003) (with Katsumi Shimotsu) [33pp, abstract] [CFP 1098]

CFDP 1267, "Pooled Log Periodogram Regression" (July 2000) (with Katsumi Shimotsu) [46pp, abstract] [CFP 1041]

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

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

CFDP 1283, "Structural Change in Tail Behavior and the Asian Financial Crisis" (November 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" (July 2001) (with Offer Lieberman) [13pp, abstract]

CFDP 1309, "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate" (July 2001) (with Jun Yu) [22pp, abstract] Reprinted in Econometrics Journal (December 2001), 4(2): 210-224 [CFP 1124]
   "Corrigendum," Econometrics Journal (February 2011), 14(4), 126-129 [CFP 1347]

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

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

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

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

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

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

CFDP 1362, "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence" (May 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" (May 2002) (with Ling Hu) [37pp, abstract] [CFP 1103]

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

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

CFDP 1367, "Exact Local Whittle Estimation of Fractional Integration" (May 2002, updated July 2004) (with Katsumi Shimotsu) [36pp, abstract] [CFP 1156]

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

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

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

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

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

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

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

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

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

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

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

CFDP 1437, "Long Run Variance Estimation Using Steep Origin Kernels without Truncation" (September 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" (September, updated June 2004) (with Donggyu Sul) [35pp, abstract] [CFP 1204]

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

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

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

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

CFDP 1473, "Regression Asymptotics Using Martingale Convergence Methods" (July 2004) (with Rustam Ibragimov) [42pp, abstract] Reprinted in Econometric Theory (August 2008), 24(4): 888-947 [CFP 1245]

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

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

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

CFDP 1514, "Economic Transition and Growth" (June 2005) (with Donggyu Sul) [59pp, abstract] Reprinted in Journal of Applied Econometrics (2009), 24(7): 1153-1185 [doi: 10.1002/jae.1080]

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

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

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

CFDP 1522, "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions" (June 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" (June 2005) (with Jun Yu) [27pp, abstract] Reprinted in Journal of Econometrics (2009), 150(2): 139-150 [doi:10.1016/j.jeconom.2008.12.006]

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

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

CFDP 1541, "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity" (December 2005) [44pp, abstract] (with Seung Hyun Hong) Reprinted in Journal of Business and Economic Statistics (January 2010), 28(1): 96-114 [doi:10.1198/jbes.2009.07182]

CFDP 1545, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing" (January 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" (January 2006) (with Chirok Han) [16pp, abstract] [CFP 1243]

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

CFDP 1548, "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution" (January 2006) (with Nicholas Z. Muller) [24pp, abstract] Reprinted in Environmetrics (2008), 19: 567-581 [CFP 1242]

CFDP 1549, "Refined Inference on Long Memory in Realized Volatility" (January 2006) (with Offer Lieberman) [15pp, abstract] Reprinted in Econometric Reviews (2008), 27(1-3), 254-267 [CFP 1248]

CFDP 1550, "Indirect Inference for Dynamic Panel Models" (January 2006) (with Christian Gouriéroux, Jun Yu [20pp, abstract] Reprinted in Journal of Econometrics (July 2010), 157: 68-77 [CFP 1301]

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

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

CFDP 1586, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process" (October 2006) (with Offer Lieberman) [22pp, abstract] Reprinted in Journal of Econometrics (2008), 147: 99-103 [CFP 1247]

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

CFDP 1594, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression" (December 2006) (with Qiying Wang) [26pp, abstract] Reprinted in Econometric Theory (June 2009), 25(3): 710-738 [CFP 1269]

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

CFDP 1596, "Simulation-based Estimation of Contingent-claims Prices" (January 2007) (with Jun Yu) [30pp, abstract] Reprinted in Review of Financial Studies (March 2009), 22(9): 3669-3705 [CFP 1279]

CFDP 1597, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance" (January 2007) (with Jun Yu) [34pp, abstract] Reprinted in T.G. Andersen, R.A. Davis, J.P. Kreiss, and Mikosch, eds., Handbook of Financial Time Series. Springer, 2009, pp. 497-530

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

CFDP 1599, "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity" (January 2007) (with Chirok Han) [45pp, abstract] Reprinted in Econometric Theory (2009), 26(1): 119-151 [CFP 1290]

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

CFDP 1612, "Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications" (with Ke-Li Xu) (June 2007, revised July 2010) [31pp, abstract] Reprinted in Journal of Business and Economic Statistics (October 2011), 29(4): 518–528 [CFP 1337]

CFDP 1613, "Exact Distribution Theory in Structural Estimation with an Identity" (June 2007) [27pp, abstract] Reprinted in Econometric Theory (August 2009), 25:(4): 958-984 [CFP 1271]

CFDP 1614, "Limit Theory for Explosively Cointegrated Systems" (June 2007) (with Tassos Magdalinos) [24pp, abstract] Reprinted in Econometric Theory (August 2008), 24(4): 865-887 [CFP 1244]

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) [31pp, abstract] Reprinted in Econometric Theory (2009), 25: 1466-1497 [doi:10.1017/S0266466609990223]

CFDP 1655, "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past" (May 2008) (with Tassos Magdalinos) [abstract, 31pp] Reprinted in Econometric Theory (December 2009), 25(6): 1682-1715 [doi:10/10.1017/S0266466609990296]

CFDP 1656, "Long Memory and Long Run Variation" (May 2008) [23pp, abstract] [CFP 1267]

CFDP 1657, "Structural Nonparametric Cointegrating Regression" (May 2008) (with Qiying Wang) [25pp, abstract] Reprinted in Econometrica (November 2009), 77(6): 1901-1948 [CFP 1289]

CFDP 1658, "Semiparametric Cointegrating Rank Selection" (May 2008) (with Xu Cheng) [23pp, abstract] [CFP 1272]

CFDP 1659, "Smoothing Local-to-Moderate Unit Root Theory" (May 2008) (with Tassos Magdalinos, Liudas Giraitis) [abstract, 17pp] Reprinted in Journal of Econometrics (October 2010), 158(2): 274-279 [CFP 1309]

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

CFDP 1687, "Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications" (January 2009) (with Qiying Wang) [26pp, abstract]

CFDP 1688, "Cointegrating Rank Selection in Models with Time-Varying Variance" (January 2009) (with Xu Cheng) [27pp, abstract] Reprinted in Journal of Econometrics (August 2012), 169(2): 155-165 [CFP 1362]

CFDP 1689, "Bootstrapping I(1) Data" (January 2009) [11pp, abstract] Reprinted in Journal of Econometrics (October 2010), 158(2): 280-284 [CFP 1310]

CFDP 1690, "Mean and Autocovariance Function Estimation Near the Boundary of Stationarity" (January 2009) (with Liudas Giraitis) [34pp, abstract] Reprinted in ournal of Econometrics (August 2012), 169(2): 166-178 [CFP 1363]

CFDP 1699, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?" (June 2009) (with Yangru Wu, Jun Yu) [36pp, abstract] Reprinted in International Economic Review   (February 2011), 52(1): 201–226 [CFP 1349]

CFDP 1700, "Dynamic Misspecification in Nonparametric Cointegrating Regression" (June 2009) (with Ioannis Kasparis) [32pp, abstract] Reprinted in Journal of Econometrics (June 2012), 168(2): 270-284 [CFP 1374]

CFDP 1701, "Infinite Density at the Median and the Typical Shape of Stock Return Distributions" (June 2009) (Chirok Han, Jin Seo Cho) [32pp, abstract] Reprinted in Journal of Business and Economic Statistics (April 2011), 29(2): 282-294 [CFP 1338]

CFDP 1702, "Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor" (June 2009) (with Liangjun Su) [42pp, abstract] Reprinted in Econometrics Journal (October 2011), 14(3): 457-486 [CFP 1346]

CFDP 1703, "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities" (June 2009) (with Jin Seo Cho, Chirok Han) [10pp, abstract] Reprinted in Econometric Theory (2010), 26(3): 953-962 [doi:10.1017/S0266466609990703]

CFDP 1704, "A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression" (June 2009) (with Liangjun Su) [31pp, abstract]

CFDP 1746, "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression" (January 2010) (with Chirok Han, Donggyu Sul) [31pp, abstract] Reprinted in Econometric Theory (December 2011), 27(6): 1117-1151 [CFP 1339]

CFDP 1747, "X-Differencing and Dynamic Panel Model Estimation" (January 2010) (with Chirok Han, Donggyu Sul) [61pp, abstract]

CFDP 1748, "Optimal Estimation under Nonstandard Conditions" (January 2010) (with Werner Ploberger) [19pp, abstract] Reprinted in Journal of Econometrics (August 2012), 169(2): 196-210 [CFP 1364]

CFDP 1749, "Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels" (January 2010) (with Yixiao Sun, Sainan Jin) [50pp, abstract] Reprinted in Econometric Theory (December 2011), 27(6): 1320-1368 [CFP 1340]

CFDP 1750, "Two New Zealand Pioneer Econometricians" (January 2010) [36pp, abstract] Reprinted in New Zealand Economic Papers (April 2010), 44(1): 1-26 [CFP 1308]

CFDP 1768, "Nonlinear Cointegrating Regression under Weak Identification" (September 2010) (with Xiaoxi Shi) [46pp, abstract] Reprinted in Econometric Theory (June 2012), 28(3): 509-547 [CFP 1355]

CFDP 1769, "Semiparametric Estimation in Time Series of Simultaneous Equations" (September 2010) (with Jiti Gao) [50pp, abstract]

CFDP 1770, "Dating the Timeline of Financial Bubbles during the subprime Crisis" (September 2010) (with Jun Yu) [abstract, 40pp] Reprinted in Quantitative Economics (November 2010), 1(2): 455-491 [CFP 1348]

CFDP 1771, "The Mysteries of Trend" (September 2010) [12pp, abstract] Reprinted in Macroeconomic Review (October 2010), Special Feature C, 82-89 [CFP 1311]

CFDP 1777, "Inconsistent VAR Regression with Common Explosive Roots" (January 2011) (with Tassos Magdalinos) [32pp, abstract] Reprinted in Econometric Theory (August 2013), 29(4): 808-837 [CFP 1383]

CFDP 1778, "Bias in Estimating Multivariate and Univariate Diffusions" (January 2011) (with Xiaohu Wang, Jun Wu) [37pp, abstract] Reprinted in Journal of Econometrics (2011), 161(2): 228-245 [CFP 1343]

CFDP 1779, "Specification Testing for Nonlinear Cointegrating Regression" (January 2011, revised February 2011) (with Qiying Wang) [66pp, abstract] Reprinted as "A Specification Test for Nonlinear Nonstationary Models," The Annals of Statistics (2012), 40(2): 2, 727–758 [CFP 1359]

CFDP 1780, "First Difference MLE and Dynamic Panel Estimation" (January 2011) (with Chirok Han) [32pp, abstract] Reprinted in Journal of Econometrics (July 2013), 175(1): 35-45 [CFP 1379]

CFDP 1781, "Folklore Theorems, Implicit Maps and New Unit Root Limit Theory" (January 2011) [42pp, abstract] Reprinted as "Folklore Theorems, Implicit Maps, and Indirect Inference," Econometrica (January 2012), 80(1): 425–454; includes Supplement, 1-36 [CFP 1350]

CFDP 1832, "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects" (October 2011) (with Younghui Zhang, Liangjun Su) [42pp, abstract] Reprinted in Econometrics Journal (2012), 15: 56-100 [CFP 1368]

CFDP 1833, "Meritocracy Voting: Measuring the Unmeasurable" (October 2011) [24pp, abstract]

CFDP 1842, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior" (January 2012) (with Peter C.B. Phillips, Shu-Ping Shi, Jun Yu) [31pp, abstract]

CFDP 1843, "Testing for Multiple Bubbles" (January 2012) (with Peter C.B. Phillips, Shu-Ping Shi, Jun Yu) [66pp, abstract]

CFDP 1844, "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility" (January 2012) (with Giuseppe Cavaliere, Peter C.B. Phillips, Stephan Smeekes, A.M. Robert Taylor) [35pp, abstract]

CFDP 1845, "VARs with Mixed Roots Near Unity" (January 2012) (with Ji Hyung Lee) [24pp, abstract]

CFDP 1871, "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications" (September 2012) (with Zhipeng Liao) [52pp, abstract]

CFDP 1872, "Non-linearity Induced Weak Instrumentation" (September 2012) (with Ioannis Kasparis, Tassos Magdalinos) [38pp, abstract]

CFDP 1873, "Automated Estimation of Vector Error Correction Models" (September 2012) (with Zhipeng Liao) [91pp, abstract]

CFDP 1878, "Nonparametric Predictive Regression" (September 2012) (with Ioannis Kasparis, Elena Andreou) [49pp, abstract]

CFDP 1879, "On Confidence Intervals for Autoregressive Roots and Predictive Regression" (September 2012) [27pp, abstract]

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." 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(1): 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 (with Hyungsik R. Moon) [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(3): 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(3): 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): 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(6): 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(2): 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(2): 355-389 (with Yixiao Sun) [CFDP 1366]

CFP 1081, "Laws and Limits of Econometrics." The Economic Journal (2003), 113(4&6): 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(1-2): 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(1): 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(2): 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(7): 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]

CFP 1117, "Understanding the Fisher Equation." Journal of Applied Econometrics (2004), 19(7): 869-866 (with Yixiao Sun)

CFP 1119, "Jackknifing Bond Option Prices," Review of Financial Studies, (2005), 18(2): 707-742 (with Jun Yu) [CFDP 1392]

CFP 1124, "A Gaussian Approach for Continuous Time Models of the Short-term Interest Rate." Econometrics Journal (December 2001), 4(2): 210-224 (with Jun Yu) [CFDP 1309]
   "Corrigendum," Econometrics Journal (February 2011), 14(4), 126-129 [CFP 1347]

CFP 1132, "The KPSS Test with Seasonal Dummies." Economics Letters (2002), 77(2): 239-243 (with Sainan Jin) [CFDP 1373]

CFP 1136, "Dynamic Panel Estimation and Homogeneity Testing under Cross Section Dependence." Econometrics Journal (June 2003), 6(1): 217-259 (with Donggyu Sul) [CFDP 1362]

CFP 1137, "In Memory of John Denis Sargan." Econometric Theory (2003), 19: 417-422

CFP 1141, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra." Journal of Time Series Analysis (2004), 25(5): 733-753 (with Offer Lieberman) [CFDP 1374]

CFP 1143, "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach." Journal of Financial Econometrics (2004), 2(2): 251-289 (with Andrew Jeffrey, Dennis Kristensen, Oliver Linton, Thong Nguyen) [CFDP 1311]

CFP 1149, "Automated Discovery in Econometrics." Econometric Theory (2005), 21(1): 3-20 [CFDP 1469]

CFP 1151, "Challenges of Trending Time Series Econometrics." Mathematics and Computers in Simulation (2005), 68: 401-416 [CFDP 1472]

CFP 1152, "Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics." Statistical Science (2005), 20(4): 338-343 (with Jun Yu)

CFP 1156, "Exact Local Whittle Estimation of Fractional Integration." Annals of Statistics (2005), 33(4): 1890-1933 (with Katsumi Shimotsu) [CFDP 1367]

CFP 1157, "Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter." Econometrics Journal (2005), 8: 367-37 (with Offer Lieberman) [CFDP 1474]

CFP 1158, "HAC Estimation by Automated Regression." Econometric Theory (2005), 21(1): 116-142 [CFDP 1470]

CFP 1159, "Inference in Autoregression under Heteroskedasticity." Journal of Time Series Analysis (2005), 27(2): 289-308 (with Ke-Li Xu)

CFP 1161, "Prewhitening Bias in HAC Estimation." Oxford Bulletin of Economics and Statistics (2005), 67(4): 517-546 (with Donggyu Sul, Chi-Young Choi) [CFDP 1436]

CFP 1165, "GMM with Many Moment Conditions." Econometrica (January 2006), 74(1): 147-192 (with Chirok Han) [CFDP 1515]

CFP 1166, "Uniform Limit Theory for Stationary Autoregression." Journal of Time Series Analysis (2006), 27(1): 51-60 (with Liudas Giraitis) [CFDP 1475]

CFP 1167, "Comment." Journal of Business and Economic Statistics (April 2006), 24(2): 202-208 (with Jun Yu)

CFP 1170, "Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels without Truncation." International Economic Review (August 2006), 47(3): 837-894 (with Yixiao Sun, Sainan Jin)

CFP 1171, "A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation." Econometric Theory (2006), 22: 947-960 [CFDP 1540]

CFP 1172, "Limit Theory for Moderate Deviations from a Unit Root." Journal of Econometrics (2007), 136: 115-130 (with Tassos Magdalinos)

CFP 1173, "Econometric Analysis of Fisher's Equation." American Journal of Economics and Sociology (January 2005), 61(1): 125-168

CFP 1178, "Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation." Journal of Statistical Planning and Inference (2007), 137: 985-1023 (with Yixiao Sun, Sainan Jin) [CFDP 1437]

CFP 1179, "On the Breitung Test for Panel Unit Roots and Local Asymptotic Power." Econometric Theory (2006), 22: 1179-1190 (with H.Roger Moon, Benoit Perron)

CFP 1197, "Unit Root Log Periodogram Regression." Journal of Econometrics (2007), 138(1): 104-124 [CFDP 1244]

CFP 1202, "Limit Theory for Moderate Deviations from Unity under Weak Dependence." In G. D. A. Phillips and E. Tzavalis, eds., The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. Cambridge University, 2007, pp.123-162 (with Tassos Magdalinos) [CFDP 1517]

CFP 1203, "A New Approach to Robust Inference in Cointegration." Economics Letters (May 2006), 91(2): 300-306 (with Sainan Jin, Yixiao Sun) [CFDP 1538]

CFP 1204, "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence." Journal of Econometrics, (March 2007), 137(1): 162-188 (with Donggyu Sul) [CFDP 1438]

CFP 1205, "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions." Journal of Econometrics, (April 2007), 137(2): 354-395 (with Federico M. Bandi) [CFDP 1522]

CFP 1206, "Regression with Slowly Varying Regressors and Nonlinear Trends." Econometric Theory (2007), 23: 557-614

CFP 1210, "Some Empirics on Economic Growth under Heterogeneous Technology." Journal of Macroeconomics (2007) 29(3): 455-469 (with Donggyu Sul)

CFP 1214, "Nonstationary Discrete Choice: A Corrigendum and Addendum." Journal of Econometrics (2007), 141: 115-1130 (with Sainan Jin, Ling Hu) [CFDP 1516]

CFP 1215, "Incidental Trends and the Power of Panel Unit Root Tests." Journal of Econometrics (2007), 141(2): 416-459 (with Hyungsik Roger Moon, Benoit Perron) [CFDP 1435]

CFP 1216, "Transition Modeling and Econometric Convergence Tests." Econometrica, 75(6) (2007), 1771-1855 (with Donggyu Sul) [CFDP 1595]

CFP 1217, "Long-Run Covariance Matrices for Fractionally Integrated Processes." Econometric Theory (December 2007), 23(6): 1233-1247 (with Chang Sik Kim) [CFDP 1611]

CFP 1219, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances." Journal of Econometrics (2008), 142: 265-280 (with Ke-Li Xu) [CFDP 1585R]

CFP 1221, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing." Econometrica (2008), 76(1): 175-194 PLUS 25 pp. Supplement (with Yixiao Sun, Sainan Jin) [CFDP 1545]

CFP 1231, "Unit Root Model Selection." Journal of the Japan Statistical Society (2008), 38(1): 65-74 [CFDP 1653]

CFP 1241, "Albert Rex Bergstrom: 1925-2005." In J. King (ed.), Biographical Dictionary of Australian and New Zealand Economists, Edward Elgar, Cheltenham, 2007

CFP 1242, "Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution." Environmetrics (2008), 19: 567-581 (with Nicholas Z. Muller) [CFDP 1548]

CFP 1243, "Gaussian Inference in AR(1) Time Series with or without a Unit Root." Econometric Theory (June 2008), 24(3): 631-650 (with Chirok Han) [CFDP 1546]

CFP 1244, "Limit Theory for Explosively Cointegrated Systems." Econometric Theory (August 2008), 24(4): 865-887 (with Tassos Magdalinos) [CFDP 1614]

CFP 1245, "Regression Asymptotics using Martingale Convergence Methods." Econometric Theory (August 2008), 24(4): 888-947 (with Rustam Ibragimov) [CFDP 1473]

CFP 1246, "Unit Roots." In S. Durlauf and L. Blume (eds.) New Palgrave Dictionary of Economics. 2nd ed. Macmillan, 2008

CFP 1247, "A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process." Journal of Econometrics (2008), 147: 99-103 (with Offer Lieberman) [CFDP 1586]

CFP 1248, "Refined Inference on Long Memory in Realized Volatility." Econometric Reviews (2008), 27(1-3), 254-267 (with Offer Lieberman) [CFDP 1549]

CFP 1266, "Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors." Econometric Theory (2009), 25(2): 482-526 (with Tassos Magdalinos)

CFP 1267, "Long Memory and Long Run Variation." Journal of Econometrics (2009) 151: 150-158 [CFDP 1656]

CFP 1269, "Econometric Theory and Practice." Econometric Theory (June 2009), 25(3): 583-586

CFP 1270, "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression." Econometric Theory (June 2009), 25(3): 710-738 (with Qiying Wang) [CFDP 1594]

CFP 1271, "Exact Distribution Theory in Structural Estimation with an Identity." Econometric Theory (August 2009), 25:(4): 958-984 [CFDP 1613]

CFP 1272, "Semiparametric Cointegrating Rank Selection." Econometrics Journal (2009), 12: S83-S104 (with Xu Cheng) [CFDP 1658]

CFP 1279, "Simulation-based Estimation of Contingent-claims Prices." Review of Financial Studies (March 2009), 22(9): 3669-3705 (with Jun Yu) [CFDP 1596]

CFP 1280, "Obituary: Clive W.J. Granger." Econometric Theory (2009), 25: 1139-1142 (with David F. Hendry)

CFP 1289, "Structural Nonparametric Cointegrating Regression." Econometrica (November 2009), 77(6): 1901-1948 (with Qiying Wang) [CFDP 1657]

CFP 1290, "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity." Econometric Theory (2009), 26(1): 119-151 (with Chirok Han) [CFDP 1599]

CFP 1301, "Indirect Inference for Dynamic Panel Models" (with Christian Gouriéroux, Jun Yu) Journal of Econometrics (July 2010), 157: 68-77 [CFDP 1550]

CFP 1308, "Two New Zealand Pioneer Econometricians." New Zealand Economic Papers (April 2010), 44(1): 1-26 [CFDP 1750]

CFP 1309, "Smoothing Local-to-Moderate Unit Root Theory." Journal of Econometrics (October 2010), 158(2): 274-279 (with Tassos Magdalinos, Liudas Giraitis) [CFDP 1659]

CFP 1310, "Bootstrapping I(1) Data." Journal of Econometrics (October 2010), 158(2): 280-284 [CFDP 1689]

CFP 1311, "The Mysteries of Trend," Macroeconomic Review (October 2010), Special Feature C, 82-89 [CFDP 1771]

CFP 1319, "Asymptotic Theory for Zero Energy Functionals with Nonparametric Regression Applications." Econometric Theory (2011), 27(2): 235-259  (with Qiying Want) [CFDP 1687]

CFP 1337, "Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications," Journal of Business and Economic Statistics (October 2011), 29(4): 518–528 (with Ke-Li Xu) [CFDP 1612]

CFP 1338, "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business and Economic Statistics (April 2011), 29(2): 282-294 (with Chirok Han, Jin Seo Cho) [CFDP 1701]

CFP 1339, "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," Econometric Theory (December 2011), 27(6): 1117-1151 (with Chirok Han, Donggyu Sul) [CFDP 1746]

CFP 1340, "Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels," Econometric Theory (December 2011), 27(6): 1320-1368 (with Yixiao Sun, Sainan Jin) [CFDP 1749]

CFP 1343, "Bias in Estimating Multivariate and Univariate Diffusions," Journal of Econometrics (2011), 161(2): 228-245 (with Xiaohu Wang, Jun Yu) [CFDP 1778]

CFP 1346, "Non-parametric Regression under Location Shifts." Econometrics Journal (October 2011), 14(3): 457-486 (with Liangjun Su) [CFDP 1702]

CFP 1347, "Corrigendum to ‘A Gaussian Approach for Continuous Time Models of Short-term Interest Rates’, [CFP 1124]" Econometrics Journal (February 2011), 14(4), 126-129 (with Jun Yu) [CFDP 1309]

CFP 1348, "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Quantitative Economics (November 2010), 1(2): 455-491 (with Jun Yu) [CFDP 1770]

CFP 1349, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?" International Economic Review  (February 2011), 52(1): 201–226 (with Yangru Wu, Jun Yu) [CFDP 1699]

CFP 1350, "Folklore Theorems, Implicit Maps, and Indirect Inference," Econometrica (January 2012), 80(1): 425–454; includes Supplement, 1-36 [CFDP 1781]

CFP 1351, "The ET Interview: A Conversation with Eric Ghysels," Econometric Theory (February 2012), 28(1): 207-217 (with Jun Yu)

CFP 1355, "Nonlinear Cointegrating Regression under Weak Identification." Econometric Theory (June 2012), 28(3): 509-547 (with Xiaoxia Shi) [CFDP 1768]

CFP 1359, "A Specification Test for Nonlinear Nonstationary Models," The Annals of Statistics (2012), 40(2): 2, 727–758 (with Qiying Wang) [CFDP 1779]

CFP 1362, "Cointegrating Rank Selection in Models with Time-varying Variance," Journal of Econometrics (August 2012), 169(2): 155-165 (with Xu Cheng) [CFDP 1688]

CFP 1363, "Mean and Autocovariance Function Estimation near the Boundary of Stationarity," Journal of Econometrics (August 2012), 169(2): 166-178 (with Liudas Giraitis) [CFDP 1690]

CFP 1364, "Optimal Estimation under Nonstandard Conditions," Journal of Econometrics (August 2012), 169(2): 258-265 (with Werner Ploberger) [CFDP 1748]

CFP 1368, "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects," Econometrics Journal (2012), 15: 56-100 (with Yonghui Zhang, Liangjun Su) [CFDP 1832]

CFP 1373, "Exploring the Mysteries of Trends and Bubbles," in Anderson, K., Australia’s Economy and its International Context: The Joseph Fisher Lectures, Volume II (1956-2012), Adelaide: University of Adelaide Press, 2012, Ch. 54, pp. 599-616

CFP 1374, "Dynamic Misspecification in Nonparametric Cointegrating Regression. Journal of Econometrics (June 2012), 168(2): 270-284 (with Peter C.B. Phillips) [CFDP 1700]

CFP 1379, "First Difference Maximum Likelihood and Dynamic Panel Estimation," Journal of Econometrics (July 2013), 175(1): 35-45 (with Chirok Han) [CFDP 1780]

CFP 1383, "Inconsistent VAR Regression with Common Explosive Roots," Econometric Theory (August 2013), 29(4): 808-837 (with Tassos Magdalinos) [CFDP 1777]