Details about Garry David Alan Phillips

Access statistics for papers by Garry David Alan Phillips.

Last updated 2015-08-04. Update your information in the RePEc Author Service.

Short-id: pph80

Working Papers

2016

1. Almost Unbiased Variance Estimation in Simultaneous Equation Models
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2012

2. Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models
   Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre View citations (1)

2011

3. Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
   See also Journal Article Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (7) (2012)
4. The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)

2004

5. MULTIVARIATE ARCH MODELS: FINITE SAMPLE PROPERTIES OF ML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
6. Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances
   Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
7. The estimation of simultaneous equation models under conditional heteroscedasticity
   Econometric Society 2004 Latin American Meetings, Econometric Society

2000

8. Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)

1999

9. A Survey of Total Factor Productivity and Technical Change in the Chinese Economy 1979-1996
   Discussion Papers, University of Exeter, Department of Economics
10. An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous Equation Models
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models, Journal of Econometrics, Elsevier (2000) View citations (12) (2000)
11. Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models
    Discussion Papers, University of Exeter, Department of Economics View citations (3)
    See also Journal Article Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (14) (2012)
12. The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator
    Discussion Papers, University of Exeter, Department of Economics View citations (4)
    See also Journal Article The accuracy of the higher order bias approximation for the 2SLS estimator, Economics Letters, Elsevier (1999) View citations (5) (1999)
13. The Bias of the 2SLS Variance Estimator
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1998

14. Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root
    Discussion Papers, University of Exeter, Department of Economics View citations (4)

1988

15. BIAS REDUCTION IN A DYNAMIC REGRESSION MODEL: A COMPARISON OF JACKNIFED AND BIAS CORRECTED LEAST SQUARES ESTIMATORS
    Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics

Journal Articles

2012

1. Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments
   Journal of Business & Economic Statistics, 2012, 30, (4), 505-520 View citations (7)
   See also Working Paper Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments, Cardiff Economics Working Papers (2011) View citations (2) (2011)
2. Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models
   Journal of Time Series Econometrics, 2012, 4, (2), 35 View citations (3)
3. Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models
   Econometric Reviews, 2012, 31, (5), 532-557 View citations (4)
4. Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
   Computational Statistics & Data Analysis, 2012, 56, (11), 3705-3729 View citations (14)
   See also Working Paper Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models, Discussion Papers (1999) View citations (3) (1999)
5. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances
   Journal of Applied Econometrics, 2012, 27, (3), 474-499 View citations (10)

2011

6. Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
   Econometric Reviews, 2011, 30, (3), 303-336 View citations (8)

2010

7. The bias to order T-Â 2 for the general k-class estimator in a simultaneous equation model
   Economics Letters, 2010, 109, (1), 42-45 View citations (5)

2008

8. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence
   Economics Letters, 2008, 99, (2), 393-397 View citations (3)
9. Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
   Journal of Time Series Analysis, 2008, 29, (4), 719-737 View citations (7)

2005

10. Analysing one-month Euro-market interest rates by fractionally integrated models
    Applied Financial Economics, 2005, 15, (2), 95-106 View citations (7)
11. BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
    Econometric Theory, 2005, 21, (6), 1058-1086 View citations (3)
12. Moment approximation for least-squares estimators in dynamic regression models with a unit root &ast
    Econometrics Journal, 2005, 8, (2), 115-142 View citations (12)

2003

13. Another look about the evolution of the risk premium: a VAR-GARCH-M model
    Economic Modelling, 2003, 20, (4), 777-789 View citations (6)

2001

14. Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
    Economics Letters, 2001, 74, (1), 21-24 View citations (1)

2000

15. An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
    Journal of Econometrics, 2000, 97, (2), 345-364 View citations (12)
    See also Working Paper An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous Equation Models, Discussion Papers (1999) (1999)

1999

16. Alternative bias approximations in first-order dynamic reduced form models
    Journal of Economic Dynamics and Control, 1999, 23, (7), 909-928 View citations (4)
17. The accuracy of the higher order bias approximation for the 2SLS estimator
    Economics Letters, 1999, 62, (2), 167-174 View citations (5)
    See also Working Paper The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator, Discussion Papers (1999) View citations (4) (1999)

1998

18. Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
    Econometrics Journal, 1998, 1, (RegularPapers), 44-70 View citations (7)
19. The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients
    Economics Letters, 1998, 60, (3), 303-310 View citations (2)

1996

20. The bias of the ordinary least squares estimator in simultaneous equation models
    Economics Letters, 1996, 53, (2), 161-167 View citations (9)

1995

21. The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
    Journal of Econometrics, 1995, 69, (1), 241-266 View citations (11)

1994

22. Bias assessment and reduction in linear error-correction models
    Journal of Econometrics, 1994, 63, (1), 215-243 View citations (23)

1993

23. Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
    Econometric Theory, 1993, 9, (1), 62-80 View citations (40)

1992

24. Exact Similar Tests for Unit Roots and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 349-67 View citations (22)

1989

25. A Sequential Approach to Testing for Structural Change in Econometric Models
    Empirical Economics, 1989, 14, (2), 151-65

1988

26. Testing for Serial Correlation after Three Stage Least Squares Estimation
    Bulletin of Economic Research, 1988, 40, (2), 145-51

1984

27. A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
    Economics Letters, 1984, 15, (3-4), 301-307 View citations (2)

1983

28. The independence of tests for structural change in regression models
    Economics Letters, 1983, 12, (3-4), 283-287 View citations (8)

1982

29. Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations
    Bulletin of Economic Research, 1982, 34, (2), 79-91 View citations (11)

1981

30. Testing for heteroscedasticity in simultaneous equation models
    Journal of Econometrics, 1981, 15, (3), 311-340 View citations (3)
31. Testing for serial correlation in simultaneous equation models: Some further results
    Journal of Econometrics, 1981, 17, (1), 99-105

1980

32. Testing for Serial Correlation in Simultaneous Equation Models
    Econometrica, 1980, 48, (3), 747-59 View citations (5)

1977

33. Recursions for the two-stage least-squares estimators
    Journal of Econometrics, 1977, 6, (1), 65-77 View citations (2)
34. The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
    International Economic Review, 1977, 18, (1), 219-28 View citations (47)

1974

35. A comparison of the power of some tests for heteroskedasticity in the general linear model
    Journal of Econometrics, 1974, 2, (4), 307-316 View citations (10)

Edited books

2012

1. The Refinement of Econometric Estimation and Test Procedures
   Cambridge Books, Cambridge University Press

2007

2. The Refinement of Econometric Estimation and Test Procedures
   Cambridge Books, Cambridge University Press View citations (80)