Essays in Honor of Peter C. B. Phillips

ISBN: 978-1-78441-183-1

ISSN: 0731-9053

Publication date: 21 November 2014


(2014), "Dedication", Essays in Honor of Peter C. B. Phillips (Advances in Econometrics, Vol. 33), Emerald Group Publishing Limited, Leeds, pp. ix-xi.



Emerald Group Publishing Limited

Copyright © 2014 Emerald Group Publishing Limited

This 33rd volume of Advances in Econometrics is dedicated to Professor Peter C. B. Phillips, one of the most respected scholars and teachers of econometrics in our time. Professor Phillips stands out universally in his scholarly work in terms of quality, quantity, and breadth. It is not an exaggeration to say that he has done foundational research in virtually all areas of econometrics including continuous time models, finite sample distributions, stationary and nonstationary time series, panel data models, Bayesian methods, and various issues in financial econometrics. In particular, his research has laid foundations for many important topics in the econometrics of time series and panel models. For example, the extensive existing literature on the asymptotic theory of time series and panel models with variables involving stochastic trends is all built upon his innovative theoretical contributions on the topics of unit roots and cointegrated models in one way or another. The editors of this volume are pleased to dedicate this volume to Professor Phillips in honor of the unprecedented contributions and everlasting intellectual impact of his research on our profession.

The majority of the research articles contained in this volume were presented at the 14th Advances in Econometrics Conference held at Southern Methodist University in Dallas, Texas, November 1–3, 2013. On Saturday, November 2, the conference honored Professor Phillips with a special recognition dinner in the beautiful Jones Great Hall in the Meadows Museum of Art on the SMU campus. The first picture below is of Professor Phillips giving an after dinner speech on his research and reflections on his students and his various professional pursuits. The second picture is of Professor Thomas Fomby, Senior Co-editor of the Advances in Econometrics series awarding Professor Phillips the Advances in Econometrics Lifetime Achievement Award given to him by the Editorial Board of Advances in Econometrics and Emerald Publishing Limited, the publisher of the Advances in Econometrics series. A facsimile of the inscription on Professor Phillips’ Advances in Econometrics Lifetime Achievement Award is in the third frame below. The videos of Professor Phillips’ dinner speech and an informal interview of Professor Phillips during the conference are available online at the Richard B. Johnson Center for Economics Studies website at under “Recent Multimedia.”

Yoosoon Chang, Thomas B. Fomby, and Joon Y. Park


Essays in Honor of Peter C. B. Phillips
Advances in Econometrics
Essays in Honor of Peter C. B. Phillips
Copyright Page
List of Contributors
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 ☆ This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics.
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 ☆ A glossary of notation and the program codes written in GAUSS for our simulations are available at:
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