There are 9 books by Peter C. B. Phillips on BookOrb. A strong starting point is Models, Methods, and Applications of Econometrics (1993). The bibliography below is in publication order, with series grouped in reading order.
Standalone books
Frequently asked questions
How many books has Peter C. B. Phillips written?
BookOrb lists 9 books by Peter C. B. Phillips.
Where should I start with Peter C. B. Phillips?
A good starting point is Models, Methods, and Applications of Econometrics (1993).
What is the Peter C. B. Phillips books in order list?
In publication order: 1. Lectures on stationary and nonstationary time series (1989), 2. Econometrics 3 (1991), 3. Bayes methods for trending multiple time eries with an empirical application to the U. S. economy (1992), 4. Bayes models and forecasts of Australian macroeconomic time series (1992), 5. Bayesian model selection and prediction with empirical applications (1992), 6. Models, Methods, and Applications of Econometrics (1993), 7. Lectures on unit roots, cointegration and nonstationarity (1995), 8. Econometric analysis of nonstationary data (1998), 9. Financial Econometric Modeling (2020).