Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Browse by All Cardiff Authors

Up a level
Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Number of items: 13.

Phillips, Garry David Alan and Liu-Evans, Gareth 2016. Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models. Computational Statistics & Data Analysis 100 , pp. 734-762. 10.1016/j.csda.2015.11.011

Iglesias, Emma M. and Phillips, Garry David Alan 2012. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances. Journal of Applied Econometrics 27 (3) , pp. 474-499. 10.1002/jae.1203

Kiviet, Jan and Phillips, Garry David Alan 2012. Higher-Order aymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. Journal of Computational Statistics and Data Analysis 56 (11) , pp. 3706-3729. 10.1016/j.csda.2010.07.013

Iglesias, Emma and Phillips, Garry David Alan 2012. Estimation, testing and finite sample properties in ARCH/GARCH models. Econometric Reviews 31 (5) , pp. 532-535.

Iglesias, Emma M. and Phillips, Garry David Alan 2012. Almost unbiased estimation in simultaneous equation models with strong and/or weak instruments. Journal of Business & Economic Statistics 30 (4) , pp. 505-520. 10.1080/07350015.2012.715959

Phillips, Garry and Liu-Evans, Gareth 2011. The robustness of the higher-order 2SLS and general k-class bias approximations to non-normal disturbances. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.
file

Iglesias, Emma and Phillips, Garry David Alan 2011. Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation. Econometric Reviews 30 (3) , pp. 306-336. 10.1080/07474930903562551

Iglesias, Emma M. and Phillips, Garry David Alan 2010. The bias to order T−2 for the general k-class estimator in a simultaneous equation model. Economics Letters 109 (1) , pp. 42-45. 10.1016/j.econlet.2010.07.011

Iglesias, Emma M. and Phillips, Garry David Alan 2008. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence? Economic Letters 99 (2) , pp. 393-397. 10.1016/j.econlet.2007.09.015

Iglesias, Emma M. and Phillips, Garry David Alan 2008. Finite sample theory of QMLE in ARCH models with dynamics in the mean equation. Journal of Time Series Analysis 29 (4) , pp. 719-737. 10.1111/j.1467-9892.2008.00582.x

Phillips, Garry David Alan and Iglesias, E. M. 2005. Bivariate ARCH Models: Finite-Sample Properties of QML Estimators and an Application to an LM-type test. Econometric Theory 21 (6) , pp. 1058-1086. 10.1017/S026646660505053X
file

Phillips, Garry David Alan and Kiviet, J F 2005. Moment approximation for least-squares estimators in dynamic regression models with a unit root. The Econometrics Journal 8 (2) , pp. 115-142. 10.1111/j.1368-423X.2005.00156.x

Kiviet, Jan and Phillips, Garry David Allan 2000. Improved coefficient and variance estimation in stable first-order dynamic regression models. Journal of Computational Statistics and Data Analysis , pp. 424-448.
file

This list was generated on Wed Dec 11 08:23:52 2019 GMT.