Econometric Theory and Practice: Frontiers of Analysis and Applied Research

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

• ISBN13: 9780521184304
• ISBN10: 0521184304
• Format: Paperback
• Copyright: 2010-12-23
• Publisher: Cambridge University Press

Summary

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.

Table of Contents

Higher-Order Asymptotics:

Edgeworth expansions for the wald and GMM statistics for nonlinear restrictions

Moment selection and bias reduction for GMM in conditionally heteroskedastic models

Deficient Instruments:

Specification tests with instrumental variables and rank deficiency

Asymptotic normality of single-equation estimators for the case with a large number of weak instruments

Inference in partially identified instrumental variables regression with weak instruments

Nonstationarity:

Extracting cycles from nonstationary data

Nonstationary nonlinearity: an outlook for new opportunities

Multiple structural change models: a simulation analysis

LAD and Quantile Regression:

On efficient, robust and adaptive estimation in cointegrated models

Testing stationarity using m-estimation

Consistent specification testing for quantile regression models

Nonstationary Panels:

Combination unit root tests for cross-sectionally correlated panels

Nonlinear IV panel unit root tests

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