Details about Robert Phillips

Access statistics for papers by Robert Phillips.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pph56

Working Papers

2024

1. A Simple Interactive Fixed Effects Estimator for Short Panels
   Papers, arXiv.org
2. Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias
   Papers, arXiv.org

2019

3. A Comparison of First-Difference and Forward Orthogonal Deviations GMM
   Papers, arXiv.org View citations (8)

2018

4. Quantifying the Computational Advantage of Forward Orthogonal Deviations
   Papers, arXiv.org View citations (2)

2014

5. QUASI MAXIMUM-LIKELIHOOD ESTIMATION OF DYNAMIC PANEL DATA MODELS FOR SHORT TIME SERIES
   Working Papers, The George Washington University, The Center for Economic Research View citations (2)

Journal Articles

2020

1. Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series
   Computational Economics, 2020, 55, (2), 653-672 View citations (6)
2. The equivalence of two-step first difference and forward orthogonal deviations GMM
   Economics Bulletin, 2020, 40, (4), 2865-2871

2019

3. A numerical equivalence result for generalized method of moments
   Economics Letters, 2019, 179, (C), 13-15 View citations (4)

2018

4. Quasi maximum likelihood estimation of dynamic panel data models
   Communications in Statistics - Theory and Methods, 2018, 47, (16), 3970-3986
   Also in Economics Letters, 2015, 137, (C), 91-94 (2015) View citations (5)

2012

5. On computing generalized least squares and maximum-likelihood estimates of error-components models with incomplete panels and correlated disturbances
   Economics Bulletin, 2012, 32, (4), 3017-3024

2010

6. Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models
   Journal of Business & Economic Statistics, 2010, 28, (3), 410-422 View citations (11)

2008

7. On calculating estimates of stratified error-components models
   Economics Bulletin, 2008, 3, (75), 1-10

2004

8. Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence
   Journal of Economic Dynamics and Control, 2004, 28, (9), 1801-1824 View citations (1)

2003

9. Estimation of a Stratified Error-Components Model
   International Economic Review, 2003, 44, (2), 501-521 View citations (14)
10. Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances
    Economics Bulletin, 2003, 3, (15), 1-4
11. Specifying and Diagnostically Testing Econometric Models,: Houston H. Stokes, Quorum Books, Westport, Conn (2nd ed.), 1997, 445 pp., $79.50, ISBN 1-56720-069-9
    International Journal of Forecasting, 2003, 19, (3), 523-524

1999

12. A Model of Return Volatility with Application to Estimating Relative Risk Aversion
    Review of Quantitative Finance and Accounting, 1999, 13, (3), 249-60 View citations (1)
13. Partially adaptive estimation of nonlinear models via a normal mixture
    Econometric Reviews, 1999, 18, (2), 141-167

1997

14. On the robustness of two alternatives to least squares: A Monte Carlo study
    Economics Letters, 1997, 56, (1), 21-26 View citations (1)

1996

15. Forecasting in the presence of large shocks
    Journal of Economic Dynamics and Control, 1996, 20, (9-10), 1581-1608 View citations (5)
16. Self-Selection and Tests for Bias and Risk in Mortgage Lending: Can You Price the Mortgage If You Don't Know the Process?
    Journal of Real Estate Research, 1996, 11, (1), 87-102 View citations (9)
    Also in Journal of Real Estate Research, 1996, 11, (1), 87-102 (1996)

1995

17. Learning and practicing econometrics: W.E. Griffiths, R.C. Hill and G.G. Judge, (Wiley, New York) 1993
    International Journal of Forecasting, 1995, 11, (2), 331-333

1994

18. Bias in Estimates of Discrimination and Default in Mortgage Lending: The Effects of Simultaneity and Self-Selection
    The Journal of Real Estate Finance and Economics, 1994, 9, (3), 197-215 View citations (52)
    Also in Proceedings, 1994, 197-222 (1994) View citations (50)
19. Partially adaptive estimation via a normal mixture
    Journal of Econometrics, 1994, 64, (1-2), 123-144 View citations (12)

1991

20. A constrained maximum-likelihood approach to estimating switching regressions
    Journal of Econometrics, 1991, 48, (1-2), 241-262 View citations (13)
21. A note on testing for switching regressions
    Economics Letters, 1991, 35, (1), 31-33 View citations (1)

1987

22. Composite Forecasting: An Integrated Approach and Optimality Reconsidered
    Journal of Business & Economic Statistics, 1987, 5, (3), 389-95 View citations (2)