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Look Inside Econometric Theory and Practice

Econometric Theory and Practice
Frontiers of Analysis and Applied Research


Bruce E. Hansen, Guido M. Kuersteiner; Yuichi Kitamura, John. C. Chao, Norman R. Swanson, Eric Zivot, Dean Corbae, Sam Ouliaris, Joon Y. Park, Jushan Bai, Pierre Perron, Douglas J. Hodgson, Zhijie Xiao, Yoon-Jae Whang, In Choi, Yoosoon Chang
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  • Date Published: January 2011
  • availability: Available
  • format: Paperback
  • isbn: 9780521184304

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About the Authors
  • 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.

    • Coeditors and contributors are uniformly among the leading mid-career scholars in econometrics
    • Covers both theory and practice, usable by graduate students
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    Product details

    • Date Published: January 2011
    • format: Paperback
    • isbn: 9780521184304
    • length: 384 pages
    • dimensions: 229 x 152 x 20 mm
    • weight: 0.51kg
    • availability: Available
  • Table of Contents

    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.

  • Editors

    Dean Corbae, University of Texas, Austin

    Steven N. Durlauf, University of Wisconsin, Madison

    Bruce E. Hansen, University of Wisconsin, Madison


    Bruce E. Hansen, Guido M. Kuersteiner; Yuichi Kitamura, John. C. Chao, Norman R. Swanson, Eric Zivot, Dean Corbae, Sam Ouliaris, Joon Y. Park, Jushan Bai, Pierre Perron, Douglas J. Hodgson, Zhijie Xiao, Yoon-Jae Whang, In Choi, Yoosoon Chang

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