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Essays in Honor of Peter C. B. Phillips, vol 33

Edited by Yoosoon Chang (), Thomas Fomby and Joon Y. Park

in Advances in Econometrics from Emerald Publishing Ltd, currently edited by Thomas B. Fomby, R. Carter Hill, Ivan Jeliazkov, Juan Carlos Escanciano and Eric Hillebrand

Date: 2014
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Chapters in this book:

Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk , pp 3-21 Downloads
Bruce Hansen
Fixed-smoothing Asymptotics and Asymptotic: F: and: t: Tests in the Presence of Strong Autocorrelation , pp 23-63 Downloads
Yixiao Sun
Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors , pp 65-92 Downloads
Yong Bao, Aman Ullah and Ru Zhang
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests , pp 93-122 Downloads
Eric Ghysels and J. Miller
Testing for Cointegration in Markov Switching Error Correction Models , pp 123-150 Downloads
Liang Hu and Yongcheol Shin
Specification Testing in Parametric Trending Models with Unknown Errors , pp 151-202 Downloads
Jiti Gao and Maxwell King
Panel Macroeconometric Modeling: This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics , pp 205-239 Downloads
Cheng Hsiao
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition , pp 241-279 Downloads
John Chao, Myungsup Kim and Donggyu Sul
Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors , pp 281-302 Downloads
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul
A CUSUM Test for Common Trends in Large Heterogeneous Panels , pp 303-345 Downloads
Javier Hidalgo and Jungyoon Lee
Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances , pp 347-394 Downloads
Badi Baltagi, Chihwa Kao and Long Liu
Limit Theory and Inference About Conditional Distributions , pp 397-423 Downloads
Purevdorj Tuvaandorj and Victoria Zinde-Walsh
On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous , pp 425-490 Downloads
Jan Kiviet and Jerzy Niemczyk
Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing: A glossary of notation and the program codes written in GAUSS for our simulations are available at:: , pp 491-556 Downloads
Jin Seo Cho and Halbert White
Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk , pp 557-585 Downloads
Kyungchul Song
The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering , pp 587-612 Downloads
Esfandiar Maasoumi, Melinda Pitts and Ke Wu
Deviance Information Criterion for Comparing VAR Models , pp 615-637 Downloads
Tao Zeng, Yong Li and Jun Yu
Stable Limit Theory for the Variance Targeting Estimator , pp 639-672 Downloads
Igor Vaynman and Brendan Beare
Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets , pp 673-711 Downloads
Alex Maynard and Dongmeng Ren
Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns , pp 713-749 Downloads
Chi Wan and Zhijie Xiao

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