| Description |
x, 372 pages : illustrations ; 24 cm |
| Contents |
Preface : in praise of a remarkable teacher -- 1. Edgeworth expansions for the wald and GMM statistics for nonlinear restrictions / Bruce E. Hansen -- 2. Movement selection and bias reduction for GMM in conditionally heteroskedastic models / Guido M. Kuersteiner -- 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. Improved inference in weakly identified instrumental variables regression / Eric Zivot, Richard Startz and Charles R. Nelson -- 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 -- 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 -- 12. Combination unit root tests for cross-sectionally correlated panels / In Choi -- 13. Nonlinear IV panel unit root tests / Yoosoon Chang |
| Summary |
"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 several state-of-the-art issues in econometrics, all of which Professor Phillips has directly influenced through his seminal scholarly contribution and remarkable achievements as a teacher. The essays are organized to cover topics in higher-order asymptotics, deficient instruments, nonstationarity, least absolute deviation (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."--BOOK JACKET |
| Notes |
Formerly CIP. Uk |
|
A collection of essays written in honor of Prof. Peter C.B. Phillips of Yale University |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Econometrics.
|
| Genre/Form |
Festschriften.
|
| Author |
Phillips, P. C. B.
|
|
Corbae, Dean.
|
|
Durlauf, Steven N.
|
|
Hansen, Bruce E., 1962-
|
| LC no. |
2005014249 |
| ISBN |
9780521807234 hardback |
|
0521807239 hardback |
|
