The refinement of econometric estimation and test procedures : finite sample and asymptotic analysis /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Phillips, G. D. A., Tzavalis, Elias
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2007.
Temas:
Econometrics.
Estimation theory.
Économétrie.
Théorie de l'estimation.
BUSINESS & ECONOMICS > Economics > Theory.
Econometrics
Estimation theory
Econometrische modellen.
Schattingen.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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