Buch, Englisch, 384 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 555 g
Frontiers of Analysis and Applied Research
Buch, Englisch, 384 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 555 g
ISBN: 978-0-521-18430-4
Verlag: Cambridge University Press
• Coeditors and contributors are uniformly among the leading mid-career scholars in econometrics
• Covers both theory and practice, usable by graduate students
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, which were originally publishedin 2006, 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.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
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.
