Events at the Richard B. Johnson Center

The 14th Advances in Econometrics Conference

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Essays in Honor of Peter C. B. Phillips

By Mike Fulmer - 11/7/2013

The 14th Advances in Econometrics Conference, convened at Southern Methodist University in Dallas, Texas, brought together top-flight econometricians from all over the world to honor and celebrate the work of a man held in the highest regard within the economics profession: Peter C.B. Phillips, the Sterling Professor of Economics and Professor of Statistics at Yale University.

Phillips' contribution to the discipline has been two-fold. The body of his published work is astonishing - he has published over 260 journal articles, placing him fifth overall in the 'Number of Works Published' category in the Research Papers in Economics (RePEc) bibliographic database. He is the 34th most cited author in the RePEc bibliographic database, and has the fifth-best average rank score, placing him in the company of several Nobel laureates in economics. Indeed, recently on October 1, 2013, Phillips was selected as a 2013 Thomson Reuters Citation Laureate for contributions to the field of economics. This award is given by Thomson Reuters to individuals of distinction within the fields of chemistry, physics, physiology, medicine, or economics, whom they believe will be future winners of the Nobel Prize.

The focus of Phillips' research spans both econometrics and applied macroeconomics. Though perhaps most well-known for his contributions to the field of time series econometrics, in addressing the problem of time series with unit roots, he has also published important articles on stationary and nonstationary time series econometrics, Bayesian methods, econometric model determination, nonparametric and semi-parametric techniques, panel data asymptotics and modeling, dynamic nonlinear modeling, financial econometrics; and in the field of applied macroeconomics, forecasting and policy analysis of Asia-Pacific countries using automated econometric techniques, discrete choice modeling of Fed monetary policy intervention, and web site development of econometric model determination methodology.

Phillips' is a special mind. As related by many of his former students on hand at the conference, his approach to addressing new problems is a humble one; to endeavor forward with what he calls "a beginner's mind." In his own estimation, Phillips has felt that this has been one of the single, most important factors contributing to his on-going success in tackling difficult problems across many fields. It is an intellectual curiosity spared the encumbrance of an indoctrinated viewpoint, allowing him to see each problem in a new light; not focusing on the (already established) difficulties of the problem, but finding solutions in novel, untried approaches, in the process of - as a beginner - wrapping his mind around the problem for himself.

It is this skill - to see potential where the establishment might not think to look - which has given Phillips the reputation as having, in Bruce Hansen's words, spoken in jest during playful banter made between speakers, "an ability to find diamonds in the rough." In prepared remarks made at the dinner held in Phillips' honor Saturday evening, Hansen spoke to how grateful he was of Phillips; that Peter brought him to Yale to study under him when he lacked training in both statistics and mathematics, having graduated from Occidental College with a dual degree in economics and philosophy. But the econometrics profession knows that Hansen was himself one of those diamonds in the rough, with an inner potential that Phillips recognized, and sought to develop; which has led Hansen to become an eminent econometrician in the field.

And therein lies Phillips' second contribution to the field of econometrics. While his body of work has been vast, what is equally astonishing is the legacy he has in his former students. Phillips has supervised the dissertations of over 75 students since 1982, and like Bruce Hansen, many in this extended family of Phillips' have gone on to become prominent econometricians in their own right. It was two of these former students, Yoosoon Chang and Joon Park, both of Indiana University, working in conjunction with the Richard B. Johnson Center's Thomas Fomby, who organized this assemblage of former students, colleagues, collaborators, and friends, to honor the man who has touched their lives, and contributed so much to the econometrics discipline.

Fomby, a senior co-editor of the Advances in Econometrics Volume, published by Emerald Group Publishing Limited, suggested that the 33rd volume of the series, Essays in Honor of Peter C. B. Phillips, should be dedicated in honor of Phillips, and that the Advances in Econometrics Conference could be used as a vehicle to help facilitate a homecoming of sorts for those who have become members of Peter's extended family.

This familial warmth permeated throughout the duration of the conference, beginning on Friday afternoon, when Phillips provided a talk for the SMU community entitled, "Pitfalls and Possibilities in Predictive Regression," and continuing through Saturday and Sunday, as conference participants provided discussions of the papers they had chosen to contribute to the Advances in Econometrics volume. A listing of these papers is provided in the event schedule detailed below.

Phillips currently has four university affiliations - at Yale, Aukland, Southampton, and Singapore Management University - and is an elected fellow of nine academic societies, including the Econometric Society and the British Academy. He is an editor of four academic journals - Econometric Theory, Themes in Modern Econometrics, New Zealand Economic Papers, and the Annals of Computational and Financial Econometrics - and currently has forthcoming papers within the subjects of cointegrated systems, dynamic panel model estimation, stochastic processes, nonlinearity-induced weak instruments, nonstationary volatility, predictive regression, VARs with mixed roots, specification sensitivity, unit roots, meritocracy voting, point optimal panel unit root tests, and confidence intervals for autoregressive roots. This research load has not inhibited Phillips from passing on his knowledge to the next generation of young econometricians though, as he has already (in 2013 alone) served as the committee chairperson for three graduating Ph.D. students.

Cheng Hsiao, of the University of Southern California, perhaps said it best, as he prepared to give a discussion of his contributed paper entitled, "Panel Macroeconomic Modeling." He joked that he was eager to take part in the event honoring a man who was one of the foremost econometricians of the 20th, and 21st centuries. It is not hard to see why Phillips is held in such high regard in the econometrics discipline; and with the caliber of papers he continues to publish today, it certainly looks like he has no intentions of slowing down.

A complete schedule of the conference, as well as links to information about the presenters and the papers they discussed, is provided below.

Event Schedule

Friday, November 1

2:00 p.m.: Pitfalls and Possibilities in Predictive Regression

Peter C.B. Phillips*, Yale University

Saturday, November 2

8:45 a.m.: Fixed-smoothing Asymptotics in the Presence of Strong Autocorrelation

Yixiao Sun, University of California, San Diego

9:15 a.m.: The Wage Gap between Incumbent and Newly Hired Employees: A Distributional Analysis

Esfandiar (Essie) Maasoumi, Emory University

9:45 a.m.: Tests of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances

Badi H. Baltagi, Syracuse University

10:30 a.m.: Stable Limit Theory for the Variance Targeting Estimator

Brendan K. Beare, University of California, San Diego

11:00 a.m.: Model Averaging Estimation of Dynamic Panel Models with Nonstationary Initial Condition

Myungsup Kim, University of North Texas

11:30 a.m.: Testing the Equality of Two Positive-Definite Matrices With Application to Information Matrix Testing

Jin Seo Cho, Yonsei Univesity

1:00 p.m.: Aymptotic Moments of Autoregressive Estimates with a Near Unit Root and Minimax

Bruce Hansen, University of Wisconsin-Madison

1:30 p.m.: A CUSUM test for common trends for partial linear models in large panel data sets

Javier Hidalgo, London School of Economics

2:00 p.m.: Panel Macroeconometric Modeling

Cheng Hsiao, University of Southern California

2:45 p.m.: Specification Testing in Parametric Trending Models with unknown errors

Jiti Gao, Monash University of Business and Economics

3:15 p.m.: On the Size Distortion from Linearly Interpolating Low Frequency Series for Cointegration Tests

Zack Miller, University of Missouri

3:45 p.m.: Local Asymptotic Minimax Estimation of Nondifferentiable Transforms of Regular Parameters

Kyungchul Song, The University of British Columbia

4:15 p.m.: Deviation Information Criterion for Comparing VAR Models

Jun Yu, Singapore Management University

7:00 p.m.: A Dinner Presentation in Honor of Peter C. B. Phillips

Thomas Fomby, Southern Methodist University

Sunday, November 3

8:45 a.m.: Application Of X-Differencing To Panel Data Models With Fixed Effects And Serial Correlation

Donggyu Sul, University of Texas at Dallas

9:15 a.m.: Finite Sample Properties for Estimators in Unit Root Models

Yong Bao, Purdue University

9:45 a.m.: Limit Theory for Kernel Estimators of Conditional Distributions and Densities

Victoria Zinde-Walsh, McGill University

10:30 a.m.: Testing for Cointegration in Markov Switching Error Correction Models

Liang Hu, Wayne State University

11:00 a.m.: Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns

Zhijie Xiao, Boston College

11:30 a.m.: The Power of Long Horizon Predictive Tests in Models of Bull and Bear Markets

Alex Maynard, University of Guelph

*Presenter Listed