Econometric Theory and Practice
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Publication:5489668
DOI10.1017/CBO9781139164863zbMATH Open1100.62624MaRDI QIDQ5489668FDOQ5489668
Authors:
Publication date: 28 September 2006
Recommendations
quantile regressioncointegration\(M\)-estimationtime series decompositionpanel unit root testsGMM modelsIV regressions and testing
Applications of statistics to economics (62P20) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)
Cited In (40)
- The econometrics of economic policy. Papers from the conference held in Fiesole, Italy, October 1995
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Testing for Changes in Forecasting Performance
- Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician
- Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
- The error-in-rejection probability of meta-analytic panel tests
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Title not available (Why is that?)
- Confidence sets for the date of a single break in linear time series regressions
- Localized level crossing random walk test robust to the presence of structural breaks
- Panel cointegration with global stochastic trends
- Specification analysis of linear quantile models
- Testing for parameter instability and structural change in persistent predictive regressions
- On the least squares estimation of multiple-regime threshold autoregressive models
- Essays in honor of M. Hashem Pesaran. Prediction and macro modeling
- Title not available (Why is that?)
- Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya
- Subset hypotheses testing and instrument exclusion in the linear IV regression
- Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications
- Nonparametric inference for quantile cointegrations with stationary covariates
- Contributions to mathematics, statistics, econometrics, and finance. Essays in honor of Professor Seppo Pynnönen on the occasion of his 60th birthday
- The creative mind in econometrics: studies in celebration of Robert Basmann's 90th year on causation, identification and structural equation estimation
- Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
- A regularization approach to the many instruments problem
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- Essays in honor of Cheng Hsiao
- Testing overidentifying restrictions with a restricted parameter space
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Linear nonstationary models -- a review of the work of Professor P.C.B. Phillips
- Peter C. B. Phillips's contributions to panel data methods
- Estimation and inference in unstable nonlinear least squares models
- Local GMM estimation of time series models with conditional moment restrictions
- Recent advances in panel data, nonlinear and nonparametric models: a festschrift in honor of Peter C.B. Phillips
- Recent advances in nonstationary time series: a festschrift in honor of Peter C.B. Phillips
- Taking a new contour: a novel approach to panel unit root tests
- Notation in econometrics: a proposal for a standard
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