Advances in Econometrics, Volume 33: Essays in Honor of Peter C.B. Phillips

Editors: Yoosoon Chang (Indiana U), Thomas B. Fomby (SMU), Joon Park (Indiana U)

DOI 10.1108/S0731-9053201433
Publication date 2014-11-21
Series copyright holder: Emerald Publishing
Book series ISSN 0731-9053

Introduction, Yoosoon Chang, Thomas B. Fomby and Joon Y. Park
Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk, Bruce E. Hansen.
Fixed-Smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation, Yixiao Sun.
Moment Approximations for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors, Yong Bao, Aman Ullah, and Ru Zhang.
On the Size Distortion from Linearly Interpolating Low-Frequency Series for Cointegration Tests, Eric Ghysels and J. Isaac Miller.
Testing for Cointegration in Markov Switching Error Correction Models, Liang Hu and Yongcheol Shin.
Specification Testing in Parametric Trending Models with Unknown Errors, Jiti Gao and Maxwell King.
Panel Macroeconometric Modeling, Cheng Hsiao.
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition, John Chao, Myungsup Kim, and Donggyu Sul.
Efficient Estimation and Inference for Difference-in-Difference Regression with Persistent Errors, Ryan Greenaway-McGrevy, Chirok Han, and Donggyu Sul.
A CUSUM Test for Common Trends in Large Heterogeneous Panels, Javier Hidalgo and Jungyoon Lee.
Tests of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances, Badi H. Baltagi, Chihwa Kao, and Long Liu.
Limit Theory and Inference About Conditional Distributions, Purevdorj Tuvaandorj and Victoria Zinde-Walsh.
On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous, Jan F. Kiviet and Jerzy Niemczyk.
Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing, Jin Seo Cho and Halbert White.
Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk, Kyungchul Song.
The Gap Between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering, Esfandiar Maasoumi, Melinda Pitts, and Ke Wu.
Deviance Information Criterion for Comparing VAR Models, Tao Zeng, Yong Li, and Jun Yu.
Stable Limit Theory for the Variance Targeting Estimator, Igor Vaynman and Brendan K. Beare.
Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets, Alex Maynard and Dongmeng Ren.
Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns, Chi Wan and Zhijie Xiao.

Emerald Literati Outstanding Author Contribution Award: Fixed-Smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation, Yixiao Sun.

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