Econometric Theory and Practice: Frontiers of Analysis and Applied Research

doi:10.1017/CBO9781139164863

Econometric Theory and Practice

Frontiers of Analysis and Applied Research

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Edited by Dean Corbae, University of Texas, Austin, Steven N. Durlauf, University of Wisconsin, Madison, Bruce E. Hansen, University of Wisconsin, Madison

Publisher:: Cambridge University Press
Online publication date:: June 2012
Print publication year:: 2006
Online ISBN:: 9781139164863
DOI:: https://doi.org/10.1017/CBO9781139164863

Subjects:: Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability

39.99 (GBP)

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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.

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Econometric Theory and Practice

Frontiers of Analysis and Applied Research

This Book has been cited by the following publications. This list is generated based on data provided by Crossref.

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Frontmatter
pp i-iv

Contents
pp v-vi

Preface: In Praise of a Remarkable Teacher
pp vii-viii

Contributors
pp ix-x

Introduction
pp 1-6

PART I - HIGHER-ORDER ASYMPTOTICS
pp 7-8

1 - Edgeworth Expansions for the Wald and GMM Statistics for Nonlinear Restrictions
pp 9-35

2 - Moment Selection and Bias Reduction for GMM in Conditionally Heteroskedastic Models
pp 36-56

PART II - IV SPECIFICATION TESTS
pp 57-58

3 - Specification Tests with Instrumental Variables and Rank Deficiency
pp 59-81

4 - Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments
pp 82-124

5 - Improved Inference in Weakly Identified Instrumental Variables Regression
pp 125-164

PART III - NONSTATIONARITY
pp 165-166

6 - Extracting Cycles from Nonstationary Data
pp 167-177

7 - Nonstationary Nonlinearity: An Outlook for New Opportunities
pp 178-211

8 - Multiple Structural Change Models: A Simulation Analysis
pp 212-238

PART IV - LAD AND QUANTILE REGRESSION
pp 239-240

9 - On Efficient, Robust, and Adaptive Estimation in Cointegrated Models
pp 241-265

10 - Testing Stationarity Using M-Estimation
pp 266-287

11 - Consistent Specification Testing for Quantile Regression Models
pp 288-308

PART V - NONSTATIONARY PANELS
pp 309-310

12 - Combination Unit Root Tests for Cross-Sectionally Correlated Panels
pp 311-333

13 - Nonlinear IV Panel Unit Root Tests
pp 334-358

Index
pp 359-372

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Econometric Theory and Practice

Frontiers of Analysis and Applied Research

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