Econometric Theory and Practice
Frontiers of Analysis and Applied Research
Published on 23. December 2010
Book
Paperback/Softback
384 pages
978-0-521-18430-4 (ISBN)
Description
This book is a collection of essays written in honor of Professor Peter C. B. Phillips of Yale University by some of his former students. The essays analyze a number of important issues in econometrics, all of which Professor Phillips has directly influenced through his seminal scholarly contribution as well as through his remarkable achievements as a teacher. The essays are organized to cover topics in higher-order asymptotics, deficient instruments, nonstationary, LAD and quantile regression, and nonstationary panels. These topics span both theoretical and applied approaches and are intended for use by professionals and advanced graduate students.
More details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Product notice
Paperback (trade)
Illustrations
Worked examples or Exercises
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 21 mm
Weight
555 gr
ISBN-13
978-0-521-18430-4 (9780521184304)
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Schweitzer Classification
Other editions
Additional editions
Dean Corbae | Steven N. Durlauf | Bruce E. Hansen
Econometric Theory and Practice
Frontiers of Analysis and Applied Research
Book
01/2006
Cambridge University Press
€76.30
Shipment within 15-20 days
Persons
Content
Part I. Higher-Order Asymptotics: 1. Edgeworth expansions for the wald and GMM statistics for nonlinear restrictions Bruce E. Hansen; 2. Moment selection and bias reduction for GMM in conditionally heteroskedastic models Guido M. Kuersteiner; Part II. Deficient Instruments: 3. Specification tests with instrumental variables and rank deficiency Yuichi Kitamura; 4. Asymptotic normality of single-equation estimators for the case with a large number of weak instruments John C. Chao and Norman R. Swanson; 5. Inference in partially identified instrumental variables regression with weak instruments Eric Zivot; Part III. Nonstationarity: 6. Extracting cycles from nonstationary data Dean Corbae and Sam Ouliaris; 7. Nonstationary nonlinearity: an outlook for new opportunities Joon Y. Park; 8. Multiple structural change models: a simulation analysis Jushan Bai and Pierre Perron; Part IV. LAD and Quantile Regression: 9. On efficient, robust and adaptive estimation in cointegrated models Douglas J. Hodgson; 10. Testing stationarity using m-estimation Roger Koenker and Zhijie Xiao; 11. Consistent specification testing for quantile regression models Yoon-Jae Whang; Part V. Nonstationary Panels: 12. Combination unit root tests for cross-sectionally correlated panels In Choi; 13. Nonlinear IV panel unit root tests Yoosoon Chang.