Professor Garry Phillips

2016

• Phillips, G. D. A. and Liu-Evans, G. 2016. Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models. Computational Statistics and Data Analysis 100, pp. 734-762. (10.1016/j.csda.2015.11.011)

2012

• Iglesias, E. M. and Phillips, G. D. A. 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, J. and Phillips, G. D. A. 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, E. and Phillips, G. D. A. 2012. Estimation, testing and finite sample properties in ARCH/GARCH models. Econometric Reviews 31(5), pp. 532-535.
• Iglesias, E. M. and Phillips, G. D. A. 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)

2011

• Phillips, G. and Liu-Evans, G. 2011. The robustness of the higher-order 2SLS and general k-class bias approximations to non-normal disturbances. Working paper. Cardiff: Cardiff University.
• Iglesias, E. and Phillips, G. D. A. 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)

2010

• Iglesias, E. M. and Phillips, G. D. A. 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)

2008

• Iglesias, E. M. and Phillips, G. D. A. 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, E. M. and Phillips, G. D. A. 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)

2005

• Phillips, G. D. A. 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)
• Phillips, G. D. A. 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)

2000

• Kiviet, J. and Phillips, G. D. A. 2000. Improved coefficient and variance estimation in stable first-order dynamic regression models. Journal of Computational Statistics and Data Analysis, pp. 424-448.