Econometric Theory and Practice(ISBN=9780521807234) 下载 pdf 百度网盘 epub 免费 2025 电子书 mobi 在线

This book is a collection of essays written in honor of

Professor Peter C. B. Phillips of Yale University by some of his

former students. The essays, which were originally publishedin

2006, analyze a number of important issues in econometrics, all of

which Professor Phillips has directly influenced through his

seminal scholarly contribution as well as through his remarkable

achievements as a teacher. The essays are organized to cover topics

in higher-order asymptotics, deficient instruments, nonstationary,

LAD and quantile regression, and nonstationary panels. These topics

span both theoretical and applied approaches and are intended for

use by professionals and advanced graduate students.

Part I. Higher-Order Asymptotics:

1. Edgeworth expansions for the wald and GMM statistics for

nonlinear restrictions Bruce E. Hansen

2. Moment selection and bias reduction for GMM in conditionally

heteroskedastic models Guido M. Kuersteiner

Part II. Deficient Instruments:

3. Specification tests with instrumental variables and rank

deficiency Yuichi Kitamura

4. Asymptotic normality of single-equation estimators for the case

with a large number of weak instruments John C. Chao and Norman R.

Swanson

5. Inference in partially identified instrumental variables

regression with weak instruments Eric Zivot

Part III. Nonstationarity:

6. Extracting cycles from nonstationary data Dean Corbae and Sam

Ouliaris

7. Nonstationary nonlinearity: an outlook for new opportunities

Joon Y. Park

8. Multiple structural change models: a simulation analysis Jushan

Bai and Pierre Perron

Part IV. LAD and Quantile Regression:

. On efficient, robust and adaptive estimation in cointegrated

models Douglas J. Hodgson

10. Testing stationarity using m-estimation Roger Koenker and

Zhijie Xiao

11. Consistent specification testing for quantile regression models

Yoon-Jae Whang

Part V. Nonstationary Panels:

12. Combination unit root tests for cross-sectionally correlated

panels In Choi

13. Nonlinear IV panel unit root tests Yoosoon Chang

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书籍介绍

This book is a collection of essays written in honor of Professor Peter C. B. Phillips of Yale University by some of his former students. The essays, which were originally publishedin 2006, analyze a number of important issues in econometrics, all of which Professor Phillips has directly influenced through his seminal scholarly contribution as well as through his remarkable achievements as a teacher. The essays are organized to cover topics in higher-order asymptotics, deficient instruments, nonstationary, LAD and quantile regression, and nonstationary panels. These topics span both theoretical and applied approaches and are intended for use by professionals and advanced graduate students.