Econometric Theory and Practice
Frontiers of Analysis and Applied Research

The essays in this book explore important theoretical and applied advances in econometrics.

Dean Corbae (Edited by), Steven N. Durlauf (Edited by), Bruce E. Hansen (Edited by)

9780521807234, Cambridge University Press

Hardback, published 9 January 2006

384 pages
22.9 x 15.2 x 2.5 cm, 0.73 kg

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.

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.

Subject Areas: Economic statistics [KCHS], Econometrics [KCH]