245 citations · 338 across the 7 of their papers we have counts for
7 papers
Panel Data Models with Time-Varying Latent Group Structures
Yiren Wang, Peter C B Phillips, Liangjun Su
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an…
The boosted HP filter is more general than you might think
Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP fi…
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
Igor L. Kheifets, Peter C. B. Phillips
Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrati…
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
Liang Jiang, Xiaobin Liu, Peter C. B. Phillips +1
This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). Standard multiplier bootstrap inf…
Boosting: Why You Can Use the HP Filter
Peter C. B. Phillips, Zhentao Shi
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. Like all nonparametric methods, the HP filter depends critica…
A specification test for nonlinear nonstationary models
Qiying Wang, Peter C. B. Phillips
We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test…