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Contents Preface: In Praise of a Remarkable Teacher Introduction Part I. Higher-Order Asymptotics 1. Edgeworth Expansions for the Wald and GMM Statistics for Nonlinear Restrictions Bruce E. Hansen 2. Moment Selection and Bias Reduction for GMM in Conditionally Heteroskedastic Models Guido M. Kuersteiner Part II. Deficient Instruments 3. Specification Tests with Instrumental Variables and Rank Deficiency Yuichi Kitamura 4. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments John C. Chao and Norman R. Swanson 5. Improved Inference in Weakly Identified Instrumental Variables Regression Eric Zivot, Richard Startz, and Charles R. Nelson Part III. Nonstationarity 6. Extracting CyCles from Nonstationary Data Dean Corbae and Sam Quliaris 7. Nonstationary Nonlinearity : An Outlook for New Opportunities Joon Y. Park 8. Multiple Structural Change Models: A Simulation Analysis Jushan Bai and Pierre Perron Part IV. LAD and Quantile Regression 9. On Efficient, Robust, And Adaptive Estimation in Cointegrated Models Douglas J. Hodgson. 10. Testing Stationarity Using M-EstimAtion Roger Koenkar and Zhijie Xiao 11. Consistent Specification Testing for Quantile Regression Models Yoon-Jae Whang Part V. Nonstationary Panels 12. Combination Unit Root Tests for Cross-Sectionally Correlated Panels In Choi 13. Nonlinear IV Panel Unit Root Tests Yoosoon Chang
Library of Congress Subject Headings for this publication:
Econometrics.