Essays in honor of Peter C.B. Phillips /:
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 -Baye...
Gespeichert in:
| Weitere Verfasser: | , , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bingley :
Emerald,
2014.
|
| Schriftenreihe: | Advances in econometrics ;
v. 33. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 resource (xxii, 749 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781784411824 1784411825 |
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| 520 | |a 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. | ||
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| contents | 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. |
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-11-26T14:49:17Z |
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| oclc_num | 898070361 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxii, 749 pages) |
| psigel | ZDB-4-EBU |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Emerald, |
| record_format | marc |
| series | Advances in econometrics ; |
| series2 | Advances in econometrics ; |
| spelling | Essays in honor of Peter C.B. Phillips / edited by Yoosoon Chang, Thomas B. Fomby, Joon Y. Park. Bingley : Emerald, 2014. 1 online resource (xxii, 749 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier data file Advances in econometrics ; Volume 33 Includes bibliographical references. Print version record. 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. 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. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Economic forecasting Statistical methods. Panel analysis Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Économétrie. Prévision économique Méthodes statistiques. Panels Modèles économétriques. Série chronologique. Econometrics. bicssc BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Econometrics fast Economic forecasting Statistical methods fast Time-series analysis fast Phillips, P. C. B. http://id.loc.gov/authorities/names/n78011811 Chang, Yoosoon. http://id.loc.gov/authorities/names/nb2014028353 Fomby, Thomas B. http://id.loc.gov/authorities/names/n83189178 Park, Joon Y. http://id.loc.gov/authorities/names/nb2014028358 has work: Essays in honor of Peter C.B. Phillips (Text) https://id.oclc.org/worldcat/entity/E39PCFxwq7hDwvghTxQQbBrtTd https://id.oclc.org/worldcat/ontology/hasWork Print version: Essays in honor of Peter C.B. Phillips 1784411833 (OCoLC)881438015 Advances in econometrics ; v. 33. http://id.loc.gov/authorities/names/no98010995 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=924747 Volltext |
| spellingShingle | Essays in honor of Peter C.B. Phillips / Advances in econometrics ; 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. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Economic forecasting Statistical methods. Panel analysis Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Économétrie. Prévision économique Méthodes statistiques. Panels Modèles économétriques. Série chronologique. Econometrics. bicssc BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Econometrics fast Economic forecasting Statistical methods fast Time-series analysis fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040763 http://id.loc.gov/authorities/subjects/sh85135430 |
| title | Essays in honor of Peter C.B. Phillips / |
| title_auth | Essays in honor of Peter C.B. Phillips / |
| title_exact_search | Essays in honor of Peter C.B. Phillips / |
| title_full | Essays in honor of Peter C.B. Phillips / edited by Yoosoon Chang, Thomas B. Fomby, Joon Y. Park. |
| title_fullStr | Essays in honor of Peter C.B. Phillips / edited by Yoosoon Chang, Thomas B. Fomby, Joon Y. Park. |
| title_full_unstemmed | Essays in honor of Peter C.B. Phillips / edited by Yoosoon Chang, Thomas B. Fomby, Joon Y. Park. |
| title_short | Essays in honor of Peter C.B. Phillips / |
| title_sort | essays in honor of peter c b phillips |
| topic | Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Economic forecasting Statistical methods. Panel analysis Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Économétrie. Prévision économique Méthodes statistiques. Panels Modèles économétriques. Série chronologique. Econometrics. bicssc BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Econometrics fast Economic forecasting Statistical methods fast Time-series analysis fast |
| topic_facet | Econometrics. Economic forecasting Statistical methods. Panel analysis Econometric models. Time-series analysis. Économétrie. Prévision économique Méthodes statistiques. Panels Modèles économétriques. Série chronologique. BUSINESS & ECONOMICS Economics General. BUSINESS & ECONOMICS Reference. Econometrics Economic forecasting Statistical methods Time-series analysis |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=924747 |
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