Econometric Theory and Practice: Frontiers of Analysis and Applied Research

ISBN-13: 9780521807234 / Angielski / Twarda / 2006 / 384 str.

P. Dean Corbae; Steven N. Durlauf; Bruce E. Hansen

Opis

Written in honor of Peter C.B. Phillips of Yale University by some of his former students, these essays analyze a number of state of the art issues in econometrics, all of which Professor Phillips has directly influenced through his 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.

Spis treści

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.