Econometric Theory and Practice: Frontiers of Analysis and Applied Research

by Edited by Dean Corbae , Steven N. Durlauf , Bruce E. Hansen

• ISBN13: 9780521807234
• ISBN10: 0521807239
• Format: Hardcover
• Copyright: 2006-01-09
• Publisher: Cambridge University Press

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 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 and are intended for use by professionals and advanced graduate students.

Table of Contents

Preface: In Praise of a Remarkable Teacher	vii
Contributors	ix
Introduction	1	(8)
PART I. HIGHER-ORDER ASYMPTOTICS
1 . Edgeworth Expansions for the Wald and GMM Statistics for Nonlinear Restrictions	9	(27)
Bruce E. Hansen
2. Moment Selection and Bias Reduction for GMM in Conditionally Heteroskedastic Models	36	(23)
Guido M. Kuersteiner
PART II. IV SPECIFICATION TESTS
3. Specification Tests with Instrumental Variables and Rank Deficiency	59	(23)
Yuichi Kitamura
4. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments	82	(43)
John C. Chao and Norman R. Swanson
5. Improved Inference in Weakly Identified Instrumental Variables Regression	125	(42)
Eric Zivot, Richard Startz, and Charles R. Nelson
PART III. NONSTATIONARITY
6. Extracting Cycles from Nonstationary Data	167	(11)
Dean Corbae and Sam Ouliaris
7. Nonstationary Nonlinearity: An Outlook for New Opportunities	178	(34)
Joon Y. Park
8. Multiple Structural Change Models: A Simulation Analysis	212	(29)
Jushan Bai and Pierre Perron
PART IV. LAD AND QUANTILE REGRESSION
9. On Efficient, Robust, and Adaptive Estimation in Cointegrated Models	241	(25)
Douglas J. Hodgson
10. Testing Stationarity Using M-Estimation	266	(22)
Roger Koenker and Zhijie Xiao
11. Consistent Specification Testing for Quantile Regression Models	288	(23)
Yoon-Jae Whang
PART V. NONSTATIONARY PANELS
12. Combination Unit Root Tests for Cross-Sectionally Correlated Panels	311	(23)
In Choi
13. Nonlinear IV Panel Unit Root Tests	334	(25)
Yoosoon Chang
Index	359