Asymptotic moments of autoregressive estimators with a near unit root and minimax risk / Bruce E. Hansen -- Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation / Yixiao Sun -- Moment approximation for least-squares estimator in first-order regression mo...

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Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Bingley, U.K. Emerald 2014
Schriftenreihe:	Advances in econometrics v. 33
Schlagworte:	bisacsh Political Science / Public Policy / Economic Policy Econometrics Economic forecasting / Statistical methods Panel analysis / Econometric models Time-series analysis Festschrift
Online-Zugang:	FHN01 FWS01 FWS02 UEI01 UER01 URL des Erstveröffentlichers
Zusammenfassung:	Asymptotic moments of autoregressive estimators with a near unit root and minimax risk / Bruce E. Hansen -- Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation / Yixiao Sun -- Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors / Yong Bao, Aman Ullah, Ru Zhang -- On the size distortion from linearly interpolating low-frequency series for cointegration tests / Eric Ghysels, J. Isaac Miller -- Testing for cointegration in Markov switching error correction models / Liang Hu, Yongcheol Shin -- Specification testing in parametric trending models with unknown errors / Jiti Gao, Maxwell King -- Panel macroeconometric modeling / Cheng Hsiao -- Mean average estimation of dynamic panel models with nonstationary initial condition / John Chao, Myungsup Kim, Donggyu Sul -- Efficient estimation and inference for difference-in-difference regressions with persistent errors / Ryan Greenaway-McGrevy, Chirok Han, Donggyu Sul -- A CUSUM test for common trends in large heterogeneous panels / Javier Hidalgo, Jungyoon Lee -- Test of hypotheses in a time trend panel data model with serially correlated error component disturbances / Badi H. Baltagi, Chihwa Kao, Long Liu -- Limit theory and inference about conditional distributions / Purevdorj Tuvaandorj, Victoria Zinde-Walsh -- On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous / Jan F. Kiviet, Jerzy Niemczyk -- Testing the equality of two positive-definite matrices with application to information matrix testing / Jin Seo Cho, Halbert White -- Minimax estimation of nonregular parameters and discontinuity in minimax risk / Kyungchul Song -- The gap between the conditional wage distributions of incumbents and the newly hired employees : decomposition and uniform ordering / Esfandiar Maasoumi, Melinda Pitts, Ke Wu -- Deviance information criterion for comparing VAR Models / Tao Zeng, Yong Li, Jun Yu -- Stable limit theory for the variance targeting estimator / Igor Vaynman, Brendan K. Beare -- Assessing the power of long-horizon predictive tests in models of bull and bear markets / Alex Maynard, Dongmeng Ren -- Idiosyncratic volatility, expected windfall, and the cross-section of stock returns / Chi Wan, Zhijie Xiao
Beschreibung:	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
Beschreibung:	1 Online-Ressource (xxii, 749 p.)
ISBN:	9781784411824