Robert F. Phillips

Office: 303 Hall of Government

Phone: 202-994-8619

e-mail: rphil at gwu dot edu

Areas of Expertise:

• Panel Data Estimation Methods

• Computational Methods

• Partially Adaptive Estimation

• Switching Regressions

• Estimation of Mixtures

Experience:

• Professor of Economics (2000--present), George Washington University.

• Associate Professor of Economics (1991--2000), George Washington University.

• Consultant (1997--1998), DRI/McGraw-Hill.

• Assistant Professor of Economics (1985--1991), George Washington University.

• Consultant (1987), World Bank.

• Consultant (1985--1986), United States Bureau of the Census.

• Research Associate (1984--1985), United States Bureau of the Census.

• Lecturer (1981--1984), Columbia University.

Education:

• Ph.D. in Economics in 1985, under the direction of Phoebus Dhrymes, Columbia University.

• M.Phil. in Economics in 1981, Columbia University.

• M.A. in Economics in 1980, Columbia University.

• B.A. in Economics and Political Science in 1978, University of California, Berkeley.

Publications:

• Phillips, R. F. (2020). The Equivalence of Two-Step First Difference and Forward Orthogonal Deviations GMM. Economics Bulletin 40, 2865-2871.

• Phillips, R. F. (2020). Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series. Computational Economics 55, 653-672.

• Phillips, R. F. (2019). A Numerical Equivalence Result for Generalized Method of Moments. Economics Letters 179, 13-15. Reviewed in Mathematical Reviews.

• Phillips, R. F. (2018). Quasi Maximum-Likelihood Estimation of Dynamic Panel Data Models. Communications in Statistics -- Theory and Methods 47, 3970-3986. Reviewed in Mathematical Reviews.

• Phillips, R. F. (2015). On Quasi Maximum-Likelihood Estimation of Dynamic Panel Data Models. Economics Letters 137. 91-94. Reviewed in Mathematical Reviews.

• Phillips, R. F. (2012). On Computing Generalized Least Squares and Maximum-Likelihood Estimates of Error-Components Models with Incomplete Panels and Correlated Disturbances. Economics Bulletin, Vol. 32, No. 4, pp. 3017-3024.

• Phillips, R. F. (2012). On Computing Maximum-Likelihood Estimates of the Unbalanced Two-Way Random-Effects Model. Communications in Statistics – Simulation and Computation 41, 1921-1927.

• Phillips, R. F. (2010). Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models. Journal of Business & Economic Statistics 28, 410-422. Reviewed in Mathematical Reviews.

• Phillips, R. F. (2008). On Calculating Estimates of Stratified Error-Components Models, Economics Bulletin, Vol. 3, No. 75, 1-10.

• Phillips, R. F. (2004). Estimation of a Generalized Random-Effects Model: Some ECME Algorithms and Monte Carlo Evidence. Journal of Economic Dynamics and Control 28, 1801-1824. Indexed in Mathematical Reviews.

• Phillips, R. F. (2003). Some Monte Carlo Results for a Generalized Error Component Model with Heteroskedastic Disturbances. Economics Bulletin 3, 1-4.

• Phillips, R. F. (2003). Estimation of a Stratified Error-Components Model, International Economic Review 44, 501-521.

• Phillips, R. F. (2003). Review of "Specifying and Diagnostically Testing Econometric Models," 2nd ed. by Stokes, H. H., 1997, in International Journal of Forecasting 19, 523-524.

• Phillips, R. F. (2002). Least Absolute Deviations Estimation via the EM Algorithm. Statistics and Computing 12 (2002), 281-285. (Wikipedia reference under "Further reading" for "Least absolute deviations".)

• Phillips, R. F. (2002). Partially Adaptive Estimation of Autoregressive Processes via a Normal Mixture. Journal of Statistical Planning and Inference 105, 313-326. Reviewed in Mathematical Reviews.

• Phillips, R. F. (1999). Partially Adaptive Estimation of Nonlinear Models via a Normal Mixture. Econometric Reviews 18, 141-167. Indexed in Mathematical Reviews.

• Klock, M. and Phillips, R. F. (1999). A Model of Return Volatility with Application to Estimating Relative Risk Aversion. Review of Quantitative Finance and Accounting 13, 249-260.

• Phillips, R. F. (1998). Partially Adaptive Estimation via a Normal Mixture: Some Further Monte Carlo Evidence. Communications in Statistics – Simulation and Computation 27, 107-114.

• Phillips, R. F. (1997). On the Robustness of Two Alternatives to Least Squares: A Monte Carlo Study. Economics Letters 56, 21-26.

• Phillips, R. F. (1996). Forecasting in the Presence of Large Shocks. Journal of Economic Dynamics and Control 20, 1581-1608. Reviewed in Mathematical Reviews.

• Phillips, R. F. (1996). A Note on Partially Adaptive Estimation via a Normal Mixture. Communications in Statistics – Theory and Methods 25, 1199--1206. Reviewed in Mathematical Reviews.

• Phillips, R. F. and Yezer, A. M. J. (1996). Self-Selection and Tests for Bias and Risk in Mortgage Lending: Can You Price the Mortgage if You Don't Know the Process?. Journal of Real Estate Research 11, 87--102.

• Phillips, R. F. (1995). Review of "Learning and Practicing Econometrics" by Griffiths, W. E., R. C. Hill, and G. G. Judge, 1993, in International Journal of Forecasting 11, 331--333.

• Phillips, R. F. and Trost, R. P. (1995). Can Statistical Problems in Tests for Mortgage Loan Discrimination be Resolved?, in A. Yezer, ed., Fair Lending Analysis: A Compendium of Essays on the Use of Statistics (American Bankers Association, Washington, DC), 75-84.

• Yezer, A. M. J., Phillips, R. F., and Trsot, R. P. (1994). Bias in Estimates of Discrimination and Default in Mortgage Lending: The Effects of Simultaneity and Self-Selection. Journal of Real Estate Finance and Economics 9, 197-215.

• Phillips, R. F. (1994). Partially Adaptive Estimation via a Normal Mixture. Journal of Econometrics 64, 123-144. Reviewed in Mathematical Reviews.

• Phillips, R. F. (1991). A Note on Testing for Switching Regressions. Economics Letters 35, 31-33.

• Phillips, R. F. (1991). A Constrained Maximum-Likelihood Approach to Estimating Switching Regressions. Journal of Econometrics 48, 241-262. Reviewed in Mathematical Reviews.

• Phillips, R. F. (1990). On Constructing Sequences Estimating the Mixing Distribution with Applications. Communications in Statistics – Simulation and Computation 19, 705-720. Indexed in Mathematical Reviews.

• Phillips, R. F. (1988). Comments on Testing for Forecast and Specification Optimality Using Linear Composites. Journal of Forecasting 7, 131-137.

• Phillips, R. F. (1987). Composite Forecasting: An Integrated Approach and Optimality Reconsidered. Journal of Business & Economic Statistics 5, 389-395.

• Phillips, R. F. (1986). “Floor Discussion,” Proceedings of the U.S. Bureau of the Census Second Annual Research Conference.

Unpublished Papers:

• Phillips, R. F. (2019). A Comparison of First-Difference and Forward Orthogonal Deviations GMM. ArXiv preprint.

• Phillips, R. F. (2018). Quantifying the Computational Advantage of Forward Orthogonal Deviations. ArXiv preprint.

• Phillips, R. F. (2015). Why Do Emissions Growth Rates Differ Across Countries? Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (2014). Quasi Maximum-Likelihood Estimation of Dynamic Panel Data Models for Short Time Series. RPF Working Paper No. 2014-006.

• Phillips, R. F. (2014). Growth and the Environmental Kuznets Curve Hypothesis. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (2010). On Estimating Unbalanced Error-Components Models. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. and Yezer, A. M. (2005). Testing for Bias in Testing for Bias. Presented at the 2005 Association for Public Policy Analysis and Management Fall Conference.

• Phillips, R. F. (1998). Estimation of Random Coefficient Regressions. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (1997). Estimation of General One-Way Error Component Models with GLS and a Generalized EM Algorithm. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. and Yezer, A. M. (1996). Mortgage Lending in Boston: Is the Bias at the Banks or in the Estimates? Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (1993). Partially Adaptive Estimation via a Normal Mixture: A Generalization. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (1992). Time Series Regression Estimation When the Disturbances are Contaminated. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (1991). Some Asymptotic Properties of the Maximum-Likelihood Estimator for the Regression Variance-Mixture Model. Manuscript, Department of Economics, George Washington University.

• Phillips, R. F. (1987). A Condition for the Rational Expectations Hypothesis. Discussion Paper 8717, Department of Economics, George Washington University.

• Phillips, R. F. (1987). Conditioning on Information Sets. Discussion Paper 8701, Department of Economics, George Washington University.

Administrative Duties:

• Director of Undergraduate Studies (Oct. 2014 -- Sept. 2017), Department of Economics, George Washington University.

• Director of Masters Program (Jan. 2012—June 2012), Department of Economics, George Washington University.

• Department Chair (July 2006—Dec. 2010), Department of Economics, George Washington University.

• Co-Director of Ph.D. Program (Unit I Chair) (July 2003—June 2006), Department of Economics, George Washington University.

• Co-Director of Ph.D. Program (Unit II Chair) (1993—1997), Department of Economics, George Washington University.

Professional Service:

• Associate Editor (2018--present), Economics Bulletin.

• Referee for: Communications in Statistics–Theory and Methods, Computational Statistics & Data Analysis, Contemporary Economic Policy, Economics Bulletin, Econometric Reviews, Econometric Theory, Economics e-journal, International Economic Review, International Journal of Forecasting, Journal of Econometrics, Journal of Forecasting, Journal of Multivariate Analysis, Journal of Productivity Analysis, National Science Foundation, Southern Economic Journal