Econometric Theory and Practice

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Januar 2006



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 state of the art 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.


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.


Dean Corbae is Rex A. and Dorothy B. Sebastian Centennial Professor in the Department of Economics at the University of Texas at Austin. He is an Associate Editor of the International Economic Review, as well as Economic Theory. Professor Corbae's research interests include applied time series analysis in macroeconomics and international finance. Steven N. Durlauf is the Kenneth J. Arrow Professor of Economics at the University of Wisconsin. He is a former Director of the Economics Program at the Santa Fe Institute. A Fellow of the Econometric Society, Professor Durlauf is co-editor of the Journal of Applied Econometrics. His research interests include income inequality, economic growth, and applied econometrics. Bruce Hansen is Professor of Economics at the University of Wisconsin, Madison. He is a current co-editor of Econometric Theory and Associate Editor of Econometrica. Professor Hansen is a Fellow of the Econometric Society and the Journal of Econometrics. He has published widely in the leading econometrics journals.

EAN: 9780521807234
ISBN: 0521807239
Untertitel: New. Sprache: Englisch.
Erscheinungsdatum: Januar 2006
Seitenanzahl: 384 Seiten
Format: gebunden
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