عنوان

The refinement of econometric estimation and test procedures :

(Number (ISBN

0511288840

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0511288867

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0511290101

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0511290705

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0511320787

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0511493150

(Number (ISBN

0521870534

(Number (ISBN

1107171709

(Number (ISBN

1280917512

(Number (ISBN

6610917515

(Number (ISBN

9780511288845

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9780511288869

(Number (ISBN

9780511290107

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9780511290701

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9780511320781

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9780511493157

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9780521870535

(Number (ISBN

9781107171701

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9781280917516

(Number (ISBN

9786610917518

Number

b748106

Title Proper

The refinement of econometric estimation and test procedures :

General Material Designation

[Book]

Other Title Information

finite sample and asymptotic analysis /

First Statement of Responsibility

edited by Garry D.A. Phillips and Elias Tzavalis.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Cambridge University Press,

Date of Publication, Distribution, etc.

2007.

Specific Material Designation and Extent of Item

1 online resource (xxvii, 389 pages) :

Other Physical Details

illustrations

Text of Note

Includes bibliographical references (pages 368-384) and index.

Text of Note

Conditional heteroskedasticity models with Pearson disturbances / Michael A. Magdalinos and George P. Mitsopoulos -- The instrumental variables method revisited: on the nature and choice of optimal instruments / Aris Spanos -- Nagar-type moment approximations in simultaneous equation models: some further results / Garry D.A. Phillips -- Local GEL methods for conditional moment restrictions / Richard J. Smith -- Limit theory for moderate deviations from a unit root under weak dependence / Peter C.B. Phillips and Tassos Magdalinos -- The structure of multiparameter tests / Christopher L. Cavanagh and Thomas J. Rothenberg -- Cornish-Fisher size corrected t and f statistics for the linear regression model with heteroscedastic errors / Spyridon D. Symeonides, Helen Kandilorou and Elias Tzavalis -- Non-parametric specification testing of non-nested econometric models / Qi Li and Thanasis Stengos -- Testing for autocorrelation in systems of equations / Phoebus J. Dhrymes -- Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of asset returns / George Kapetanios and M. Hashem Pesaran -- Judging contending estimators by simulation: tournaments in dynamic panel data models / Jan F. Kiviet -- A statistical proof of the transformation theorem / Karim M. Abadir and Jan R. Magnus -- On the joint density of the sum and sum of squares of non-negative random variables / Grant Hillier -- Conditional response analysis / Grayham E. Mizon and Anna Starszewska.

0

Text of Note

The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.

Title

Refinement of econometric estimation and test procedures.

International Standard Book Number

9780521870535

Econometrics.

Estimation theory.

Économétrie.

Estimation, Théorie de l'

BUSINESS & ECONOMICS-- Economics-- Theory.

Econometrics.

Econometrische modellen.

Estimation theory.

Schattingen.

BUS-- 069030

Number

Edition

Class number

Book number

Phillips, G. D. A.

Tzavalis, Elias.

Date of Transaction

20201204081017.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y