Econometric Theory and Practice: Frontiers of

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 analyze a number of state of the art 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.

Preface: In Praise of a Remarkable Teacher

vii

Contributors

ix

Introduction

1

(8)

PART I. HIGHER-ORDER ASYMPTOTICS

1 . Edgeworth Expansions for the Wald and GMM Statistics for Nonlinear Restrictions

9

(27)

Bruce E. Hansen

2. Moment Selection and Bias Reduction for GMM in Conditionally Heteroskedastic Models

36

(23)

Guido M. Kuersteiner

PART II. IV SPECIFICATION TESTS

3. Specification Tests with Instrumental Variables and Rank Deficiency

59

(23)

Yuichi Kitamura

4. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

82

(43)

John C. Chao and Norman R. Swanson

5. Improved Inference in Weakly Identified Instrumental Variables Regression

125

(42)

Eric Zivot, Richard Startz, and Charles R. Nelson

PART III. NONSTATIONARITY

6. Extracting Cycles from Nonstationary Data

167

(11)

Dean Corbae and Sam Ouliaris

7. Nonstationary Nonlinearity: An Outlook for New Opportunities

178

(34)

Joon Y. Park

8. Multiple Structural Change Models: A Simulation Analysis

212

(29)

Jushan Bai and Pierre Perron

PART IV. LAD AND QUANTILE REGRESSION

9. On Efficient, Robust, and Adaptive Estimation in Cointegrated Models

241

(25)

Douglas J. Hodgson

10. Testing Stationarity Using M-Estimation

266

(22)

Roger Koenker and Zhijie Xiao

11. Consistent Specification Testing for Quantile Regression Models

288

(23)

Yoon-Jae Whang

PART V. NONSTATIONARY PANELS

12. Combination Unit Root Tests for Cross-Sectionally Correlated Panels

311

(23)

In Choi

13. Nonlinear IV Panel Unit Root Tests

334

(25)

Yoosoon Chang

Index

359

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Econometric Theory and Practice: Frontiers of Analysis and Applied Research

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