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Full Description
These essays honor Professor Peter C.B. Phillips of Yale University and his many contributions to the field of econometrics. Professor Phillips's research spans many topics in econometrics including: non-stationary time series and panel models partial identification and weak instruments Bayesian model evaluation and prediction financial econometrics and finite-sample statistical methods and results. The papers in this volume reflect additions to and amplifications of many of Professor Phillips' research contributions. Some of the topics discussed in the volume include panel macro-econometric modeling, efficient estimation and inference in difference-in-difference models, limiting and empirical distributions of IV estimates when some of the instruments are endogenous, the use of stochastic dominance techniques to examine conditional wage distributions of incumbents and newly hired employees, long-horizon predictive tests in financial markets, new developments in information matrix testing, testing for co-integration in Markov switching error correction models, and deviation information criteria for comparing vector autoregressive models.
Contents
Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk.
Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation.
Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors.
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests.
Testing for Cointegration in Markov Switching Error Correction Models.
Specification Testing in Parametric Trending Models with Unknown Errors.
Panel Macroeconometric Modeling.
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition.
Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors.
A CUSUM Test for Common Trends in Large Heterogeneous Panels.
Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances.
Limit Theory and Inference About Conditional Distributions.
On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous.
Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing.
Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk.
The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering.
Deviance Information Criterion for Comparing VAR Models.
Stable Limit Theory for the Variance Targeting Estimator.
Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets.
Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns.
Copyright page.
Dedication.
Essays in Honor of Peter C. B. Phillips.
Introduction.
List of Contributors.
Advances in Econometrics.
Essays in Honor of Peter C. B. Phillips.
