Professor Garry Phillips

Teaching profile

Msc Financial Economics: Empirical Finance, Economic Forecasting

Phd Course: Macroeconometric Practice

Research interests

Major fields: Econometric Theory, Time Series Econometrics

Selected publications

The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. GDA Phillips and E.Tzavalis.eds. Cambridge University Press. January 2007.

“Moment Approximations in Simultaneous Equation Models: Some Further Results”. Chapter 3 in The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. GDA Phillips and E.Tzavalis.eds. Cambridge University Press. January 2007.

“Finite Sample Theory of QMLE in ARCH Models With Dynamics in the Mean Equation”. (with Emma M. Iglesias) Journal of Time Series Analysis Vol 29 (2008) No4. 719-737.

“Asymptotic Bias Of GMM And GEL Under possible Nonstationary Spatial Dependence”. (with Emma M. Iglesias) Economics Letters 99 (2008). 393-397.

“The Bias to order T-2 for the General k-Class Estimator in a Simultaneous Equation Model” (with Emma M Iglesias). Economics Letters 109 (2010) 42-49 .

“Small Sample Estimation Bias in GARCH Models with any Number of Exogenous Variables in the Mean Equation”. (with Emma M. Iglesias) Econometric Reviews 30 (2011) Vol 3. 303-336.

"Improved Instrumental variables Estimation Of Simultaneous Equations Under Conditionally Heteroscedastic Disturbances". (with Emma M. Iglesias.) Forthcoming in Journal of Applied Econometrics 2011

“Higher-order asymptotic espansions of the least squares estimation bias in first-order dynamic regression models” (with Jan. F Kiviet). Forthcoming in Computational Statistics and Data Analysis, 6th Special issue in Comptational Econometrics 2011.

“Estimation, Testing and Finite Sample Properties of QMLES in GARCH-M Models” (with E.M.Iglesias). Forthcoming in Econometric Reviews 2011.

Papers Currently Being Refereed/Revised etc

KIVIET, J.F and G.D.A PHILLIPS “Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models”, Submitted to the Journal of Econometrics 2010

IGLESIAS,E.M and G.D.A.PHILLIPS “Almost Unbiased Estimation in Simultaneous Equation Models with Weak and Strong Instruments”. Submitted to Econometrica 2010.

G.D.A.PHILLIPS and GARETH LIU-EVANS “The Robustness of the 2SLS Moment Approximations to Non-Normal Disturbances.” Under Revision.

GARETH LIU-EVANS and G.D.A.PHILLIPS. “Bootstrap, j Jackknife and COLS: bias and mean squared error in estimating ARX models". Under revision.