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Essays in Honor of Jerry Hausman.
Advances in Econometrics aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic,...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Bradford :
Emerald Group Publishing Limited,
2012.
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| Colección: | Advances in econometrics.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title; Copyright; Contents; List of Contributors; The Genesis of the Hausman Specification Test; Introduction; The diffusion of Hausman's econometric ideas; Abstract; Introduction; Citation analysis metrics; Data; The diffusion of Hausman's ideas; Growth in citations66We thank Anil Bera for suggesting a comparison to a logistic growth curve.; Summary and conclusions; Notes; References; Acknowledgments; Part 1: Estimation; Combining Two Consistent Estimators; Abstract; Introduction; Deriving a Heteroscedasticity Robust Estimator; Acknowledgement; Notes; References.
- A Minimum mean squared error semiparametric combining estimatorAbstract; Introduction; A bit of history; A family of econometric models-estimators and the combining estimator idea; Sampling experiments; An empirical application of the estimator combination methodology; Summary and implications; Notes; References; Appendix: Asymptotics Of Mse Component Estimators; Acknowledgment; An Expository Note on the Existence of Moments of Fuller and HFUL Estimators; Abstract; Introduction; Why does LIML not have moments?; Why does the Fuller modification lead to estimators with moments?
- Is normality required for the Fuller estimator to have moments?Why do we need a condition such as Hausman et al. (2012), Assumption 9?; Why do we have the adjustment formula in HFUL, and what are the effects of C on the asymptotic properties of HFUL?; Acknowledgement; Notes; References; Overcoming the Many Weak Instrument Problem Using Normalized Principal Components; Abstract; Introduction; Instrument selection methods; Instrument reduction techniques; Simulation; Application to Angrist and Krueger (1992); Conclusion; Notes; References; Appendix; Implementing NPC to Minimize MSE of DN.
- R Code for NPC Instrument SelectionAcknowledgments; Errors-in-variables and the wavelet multiresolution approximation approach: A monte carlo study; Abstract; Introduction; Brief description of wavelets and their properties; Structural/noise decomposition and wavelet multiresolution analysis; The errors-in-variables problem: A Monte Carlo simulation study; Conclusions; Notes; References; Appendix A: The Application of Wavelet Estimators to a Textbook Example; Part 2: Panel Data; A robust Hausman-Taylor estimator; Abstract; Introduction; The Hausman-Taylor estimator.
- A brief review of M, MS and GM robust estimatorsTHE ROBUST HAUSMAN-TAYLOR ESTIMATOR; The simulation study; An empirical example: the Cornwell-Rupert (1988) Mincer wage equation; Conclusion; Notes; References; Appendix A; Appendix B; Acknowledgments; Small Sample Properties and Pretest Estimation of a Spatial Hausman-Taylor Model; Abstract; Introduction; Econometric Model; Monte Carlo Analysis; Conclusions; Notes; References; Appendix; Acknowledgments; Quantile regression estimation of panel duration models with censored data; Abstract; Introduction; Model and Method; Monte Carlo Evidence.