In this paper, we derive the asymptotic distributions of Augmented-Dickey-Fuller (ADF) tests under very mild conditions. The tests were originally proposed and investigated by Said and Dickey (1984) for testing unit roots in finite-order ARMA models with i.i.d. innovations, and are based on a...

This paper proposes a fully nonparametric model to investigate the dynamics of intergenerational income mobility for discrete outcomes. In our model, an individual's income class probabilities depend on parental income in a manner that accommodates nonlinearities and interactions among various...

These essays honor Professor Peter C.B. Phillips of Yale University and his many contributions to the field of econometrics. Professor Phillips's research spans many topics in econometrics including: -non-stationary time series and panel models -partial identification and weak instruments...