CBS Faculty
Professor Garry Phillips
Professor of Econometrics, Distinguished Senior Research Fellow
Office: E42
Cardiff Business School,
Colum Drive,
Cardiff, CF10 3EU.
Tel: +44 (0)29 2087 5338
Fax: +44 (0)29 2087 4419
Email Address: phillipsgd1@cardiff.ac.uk
Teaching:
Msc Financial Economics: Empirical Finance, Economic Forecasting
Phd Course: Topics in Time Series Econometrics.
Research Interests
Major fields: Econometric Theory, Time Series Econometrics.
Some Recent Publications
"Bias Assessment and Reduction in Linear Error-Correction Models" (with J.F. Kiviet) Journal of Econometrics 63 (1994). p.215-243.
"The Bias of OLS, GLS and ZEF estimators in dynamic seemingly unrelated regression models" (with J.F. Kiviet and B Schipp) Journal of Econometrics 69 (1995) p.241-266.
"The Bias of the Ordinary Least Squares Estimator in Simultaneous Equation Models"(with J.F Kiviet) in Economics Letters 53 (1996) 161-167.
"Degrees of Freedom Adjustment for Disturbance Estimators in Dynamic Regression Models" (with J.F Kiviet) in Econometrics Journal 1,(1998) 44-70.
"The Non-Monotonicity of the Bias and Mean Squared Error of the Two Stage Least Squares Estimators of Exogenous Variable Coefficients" (with W.C. Ip).Economics Letters 60 (1998), No 3, 8303-310.
"Alternative Bias Approximations in Dynamic Reduced Form Models" (with J.F Kiviet and B.Schipp). Journal of Economic Dynamics and Control, 23 (1999), 909-928.
"The Accuracy of the Higher-Order Bias Approximation for the 2SLS Estimator" (with K.Hadri) in Economics Letters 62 (1999), 167-174.
"The Bias of the 2SLS Variance Estimator"(with J.F Kiviet), Economics Letters 66 (2000), 7- 15.
"An Alternative Approach to Obtaining Nagar-Type moment Approximations in Simultaneous Equation models". Journal of Econometrics (97) 2, (2000), 345-364.
"Reconsidering the Gains in Efficiency from ML Estimation versus OLS in ARCH Models", (with E.M Iglesias) Economics Letters 74, 1(2001), 21-24.
"Another look at the Evolution of the Risk Premium: a Var-Garch-M Model" (with E.M Iglesias). Economic Modelling 20 ( 2002), 777-789.
"Analysing 1 month Euro-market Interest Rates by Fractionally Integrated Models", (with E.M Iglesias). Applied Financial Economics (2004),15, 95-106.
"Bivariate ARCH Models: Finite Sample Properties of QML Estimators and an Application to an LM-Type test.".(with E.M.Iglesias), Econometric Theory 21, No 6,(2005), 1058-1086.
"Moment Approximations for Least Squares Estimators in Dynamic Regression Models With a Unit Root",(with J.F Kiviet). Econometrics Journal 8, No 2, (2005), 115-142.
“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.
Emma M. Iglesias and Garry D.A. Phillips “ Finite Sample Theory of QMLE in ARCH Models With Dynamics in the Mean Equation”. Journal of Time Series Analysis Vol 29 (2008) No4. 719-737.
Emma M. Iglesias and Garry D.A.Phillips “Asymptotic Bias Of GMM And GEL Under possible Nonstationary Spatial Dependence”.Economics Letters 99 (2008). 393-397.
Emma M. Iglesias and Garry D.A.Phillips”Small Sample Estimation Bias in GARCH Models with any Number of Exogenous Variables in the Mean Equation”. Forthcoming in Econometric Reviews.
Papers Currently Being Refereed/Revised etc
IGLESIAS, E. M. and G.D.A. PHILLIPS (2008), “The Bias to order T for the General k-Class Estimator in a Simultaneous Equation Model”. Submitted to the Journal of Econometric Theory.
IGLESIAS, E. M. and G.D.A. PHILLIPS (2006), "Estimation, Testing and Finite Sample Properties of QMLEs in GARCH-M Models ". Submitted to Journal of Business and Economic Statistics. October 2006.
IGLESIAS, E. M. and G.D.A. PHILLIPS (2006), "Finite Sample Theory of QMLEs in Models With Exogenous Variables in the Conditional Variance Equation".Submitted to the Journal of Applied Econometrics. December 2006.
IGLESIAS, E. M. and G.D.A. PHILLIPS (2008), "Simultaneous Equation Estimation with Conditionally Heteroscedastic Disturbances". Submitted to the Journal of Applied Econometrics.
KIVIET, J.F and G.D.A PHILLIPS “Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models”, Under revision.
KIVIET,J.F and G.D.A.PHILLIPS “Higher-order Expansions of the Least Squares Estimation Bias in First- Order Dynamic Regression Models”. Under revision.
IGLESIAS,E.M and G.D.A.PHILLIPS “ Almost Unbiased Estimation in Simultaneous Equation Models with Weak and Strong Instruments”. Under revision.