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Essays in honor of Peter C.B. Phillips /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Bingley :
Emerald,
2014.
|
| Colección: | Advances in econometrics ;
v. 33. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.