Essays in Honor of Peter C. B. Phillips

Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk.
Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation.
Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors.
On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests.
Testing for Cointegration in Markov Switching Error Correction Models.
Specification Testing in Parametric Trending Models with Unknown Errors.
Panel Macroeconometric Modeling.
Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition.
Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors.
A CUSUM Test for Common Trends in Large Heterogeneous Panels.
Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances.
Limit Theory and Inference About Conditional Distributions.
On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous.
Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing.
Minimax Estimation of Nonregular Parameters and Discontinuity in Minimax Risk.
The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering.
Deviance Information Criterion for Comparing VAR Models.
Stable Limit Theory for the Variance Targeting Estimator.
Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets.
Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns.
Copyright page.
Dedication.
Essays in Honor of Peter C. B. Phillips.
Introduction.
List of Contributors.
Advances in Econometrics.
Essays in Honor of Peter C. B. Phillips.