Dist Prof Peter Charles Bonest Phillips
FBA, FRSNZ, BA, MA, Ph.D (London)
Since 1992, Peter has held a part-time position in the Department of Economics at the University of Auckland and visits the Department two or three times a year. He is currently Sterling Professor of Economics and Professor of Statistics at Yale University, where he has been since 1979. He held previous positions at the University of Essex (1972-1976) and the University of Birmingham (1976-1979), where he was Head of the Department of Econometrics and Social Statistics.
Peter's main research interests are in econometrics, time series, financial econometrics, panel data models, multivariate analysis and empirical macroeconomics. His work on finite sample theory, continuous time, trending time series, unit roots and cointegration, spurious regression, financial bubble detection, and partially identified models have subsequently developed into major fields of scientific inquiry and influenced applied research in economics, finance and more widely in the social sciences. His most widely cited articles deal with general methods of unit root testing and cointegration estimation in time series. He has developed powerful methods for testing for the presence of bubbles in asset prices and real time bubble detection methods which are now widely used by central banks.
Peter is the Founding Editor of the Cambridge Journal, Econometric Theory and Founding Editor of the Cambridge Advanced Texbook Series, Themes in Modern Econometrics. He has an extended family fellowship of some 90 Ph.D students many of whom are now prominent econometricians.
Research | Current
Peter is currently working on econometric modeling of climate change, functional data analysis with nonstationary time series and panels, panel data modeling with random coefficients, and trend determination by machine learning methods.
D.Univ (York, Hon); D.Phil (Cyprus, Hon)
Fellow: Econometric Society, American Statistical Association, American Academy of Arts and Sciences, Institute of Mathematical Statistics, Society of Financial Econometrics, International Association of Applied Econometrics, Modeling and Simulation Society of Australia and New Zealand.
Distinguished Fellow: New Zealand Association of Economists
Corresponding Fellow: British Academy
New Zealand Medal in Science and Technology
New Zealand Economist of the Year (2000)
Thomson Reuters Citation Laureate (2013)
Areas of expertise
Econometrics, Applied economics, Financial econometrics, Time series analysis, Applied macroeconomics
Selected publications and creative works (Research Outputs)
- Shi, S., Hurn, S., & Phillips, P. C. B. (2020). Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship. JOURNAL OF FINANCIAL ECONOMETRICS, 18 (1), 158-180. 10.1093/jjfinec/nbz004
- Phillips, P. C. B. (2020). Dynamic panel modeling of climate change. Econometrics, 8 (3), 1-28. 10.3390/econometrics8030030
- Sabzikar, F., Wang, Q., & Phillips, P. C. B. (2020). Asymptotic theory for near integrated processes driven by tempered linear processes. JOURNAL OF ECONOMETRICS, 216 (1), 192-202. 10.1016/j.jeconom.2020.01.013
- Li, D., Phillips, P. C. B., & Gao, J. (2020). Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression. Journal of Econometrics, 215 (2), 607-632. 10.1016/j.jeconom.2019.10.005
- Lieberman, O., & Phillips, P. C. B. (2020). Hybrid stochastic local unit roots. Journal of Econometrics, 215 (1), 257-285. 10.1016/j.jeconom.2019.05.023
- Lieberman, O., & Phillips, P. C. B. (2020). Understanding temporal aggregation effects on kurtosis in financial indices. Journal of Econometrics10.1016/j.jeconom.2020.07.035
- Huang, W., Jin, S., Phillips, P. C. B., & Su, L. (2020). Nonstationary panel models with latent group structures and cross-section dependence. Journal of Econometrics10.1016/j.jeconom.2020.05.003
- Bykhovskaya, A., & Phillips, P. C. B. (2020). Point optimal testing with roots that are functionally local to unity. Journal of Econometrics10.1016/j.jeconom.2020.03.003
Primary office location
SIR OWEN G GLENN BUILDING - Bldg 260
Level 6, Room 637
12 GRAFTON RD