Essays in Honor of Joon Y. Park: Econometric Theory

by Yoosoon Chang (Editor), Sokbae Lee (Editor), J. Isaac Miller (Editor)

Overview

Volumes 45a and 45b of Advances in Econometrics honor Joon Y. Park, Wisnewsky Professor of Human Studies and Professor of Economics at Indiana University. Professor Park has made numerous and substantive contributions to the field of econometrics since beginning his academic career in the mid-1980s and has held positions at Cornell University, University of Toronto, Seoul National University, Rice University, Texas A&M University, and Sungkyunkwan University.

This first volume, Essays in Honor of Joon Y. Park: Econometric Theory, features contributions to econometric theory related to Professor Park’s analysis of time series and particularly related to the research of the first two or so decades of his career.

Product Details

ISBN-13:	9781837532094
Publisher:	Emerald Publishing Limited
Publication date:	04/24/2023
Series:	Advances in Econometrics , #45
Pages:	408
Product dimensions:	5.98(w) x 9.02(h) x 1.05(d)

About the Author

Yoosoon Chang is Professor of Economics at Indiana University, USA, with a Ph.D. in Economics from Yale University. Professor Chang's current research interests include the application of various econometric time series, panel data, and machine learning models.

Sokbae Lee is Professor of Economics at Columbia University, USA, with a PhD in Economics from the University of Iowa. Professor Lee’s current research focuses on theoretical and applied econometrics.

J. Isaac Miller is Professor of Economics and Associate Chair of the Department of Economics at the University of Missouri, USA, with a PhD in Economics from Rice University. Professor Miller’s current research focuses on econometric time series and panel data models of energy and climate change.

Table of Contents

Introduction; Yoosoon Chang, Sokbae Lee, and J. Isaac Miller
Part I: Nonstationarity, Unit Roots, and Fractional Noise
Chapter 1. Discrete Fourier Transforms of Fractional Processes with Econometric Applications; Peter C.B. Phillips
Chapter 2. Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise; Xiaohu Wang, Weilin Xiao, and Jun Yu
Chapter 3. Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root; Uwe Hassler and Mehdi Hosseinkouchack
Chapter 4. A sequential Test for a Unit Root in Monitoring a p-th Order Autoregressive Process; Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao
Part II: Nonlinearity
Chapter 5. Functional-Coefficient Cointegrating Regression with Endogeneity; Han-Ying Liang, Yu Shen, and Qiying Wang
Chapter 6. A Specification Test Based on Convolution-Type Distribution Function Estimates for Non-Linear Autoregressive Processes; Kun Ho Kim, Kira L. Koul, and Jiwoong Kim
Chapter 7. Transformation Models with Cointegrated and Deterministically Trending Regressors; Yingqian Lin and Yundong Tu
Chapter 8. Minimax Risk in Estimating Kink Threshold and Testing Continuity; Javier Hidalgo, Heejun Lee, Jungyoon Lee, and Myung Hwan Seo
Part III: Inference and Prediction using Models with Trending Series
Chapter 9. Semiparametric Independence Tests Between Two Infinite-Order Cointegrated series; Chafik Bouhaddioui, Jean-Marie Dufour, and Masaya Takano
Chapter 10. Inference in Conditional Vector Error-Correction Models with a Small Signal-To-Noise Ratio; Nikolay Gospodinov, Alex Maynard, and Elena Pesavento
Chapter 11. Some Extensions of Asymptotic F and t Theory in Nonstationary Regressions; Yixiao Sun
Chapter 12. Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies; Ying Zhou, Hsein Kew, and Jiti Gao
Chapter 13. Best Linear Prediction in Cointegrated Systems; Yun-Yeong Kim