These essays honor Professor Peter C.B. Phillips of Yale University
and his many contributions to the field of econometrics. Professor
Phillips's research spans many topics in econometrics including:
non-stationary time series and panel models partial identification
and weak instruments Bayesian model evaluation and prediction
financial econometrics and finite-sample statistical methods and
results. The papers in this volume reflect additions to and
amplifications of many of Professor Phillips' research
contributions. Some of the topics discussed in the volume include
panel macro-econometric modeling, efficient estimation and
inference in difference-in-difference models, limiting and
empirical distributions of IV estimates when some of the
instruments are endogenous, the use of stochastic dominance
techniques to examine conditional wage distributions of incumbents
and newly hired employees, long-horizon predictive tests in
financial markets, new developments in information matrix testing,
testing for co-integration in Markov switching error correction
models, and deviation information criteria for comparing vector
autoregressive models.
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