Essays in honor of Peter C.B. Phillips

• Other Authors: Phillips, P. C. B., Park, Joon Y., Chang, Yoosoon, Fomby, Thomas B.
• Format: Electronic eBook
• Language: English
• Published: Bingley, U.K. : Emerald, 2014.
• Series: Advances in econometrics ; v. 33.
• Subjects: Political Science > Public Policy > Economic Policy.; Econometrics.; Economic forecasting > Statistical methods.; Panel analysis > Econometric models.; Time-series analysis.

These essays honor Professor Peter C.B. Phillips of Yale University and his many contributions to the field of econometrics. Professor Phillips's research spans many topics in econometrics including: -non-stationary time series and panel models -partial identification and weak instruments -Baye...

Table of Contents:

• Asymptotic moments of autoregressive estimators with a near unit root and minimax risk / Bruce E. Hansen
• Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation / Yixiao Sun
• Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors / Yong Bao, Aman Ullah, Ru Zhang
• On the size distortion from linearly interpolating low-frequency series for cointegration tests / Eric Ghysels, J. Isaac Miller
• Testing for cointegration in Markov switching error correction models / Liang Hu, Yongcheol Shin
• Specification testing in parametric trending models with unknown errors / Jiti Gao, Maxwell King
• Panel macroeconometric modeling / Cheng Hsiao
• Mean average estimation of dynamic panel models with nonstationary initial condition / John Chao, Myungsup Kim, Donggyu Sul
• Efficient estimation and inference for difference-in-difference regressions with persistent errors / Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul
• A CUSUM test for common trends in large heterogeneous panels / Javier Hidalgo, Jungyoon Lee
• Test of hypotheses in a time trend panel data model with serially correlated error component disturbances / Badi H. Baltagi, Chihwa Kao, Long Liu
• Limit theory and inference about conditional distributions / Purevdorj Tuvaandorj, Victoria Zinde-Walsh
• On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous / Jan F. Kiviet, Jerzy Niemczyk
• Testing the equality of two positive-definite matrices with application to information matrix testing / Jin Seo Cho, Halbert White
• Minimax estimation of nonregular parameters and discontinuity in minimax risk / Kyungchul Song
• The gap between the conditional wage distributions of incumbents and the newly hired employees : decomposition and uniform ordering / Esfandiar Maasoumi, Melinda Pitts, Ke Wu
• Deviance information criterion for comparing VAR Models / Tao Zeng, Yong Li, Jun Yu
• Stable limit theory for the variance targeting estimator / Igor Vaynman, Brendan K. Beare
• Assessing the power of long-horizon predictive tests in models of bull and bear markets / Alex Maynard, Dongmeng Ren
• Idiosyncratic volatility, expected windfall, and the cross-section of stock returns / Chi Wan, Zhijie Xiao.