This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters…mehr
This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.
Stanislav Anatolyev is Professor at the New Economic School, Moscow. He completed his Ph.D. degree at the University of Wisconsin-Madison in 2000, and now holds a Chair of Access Industries Professor of Economics at the New Economic School. Dr. Anatolyev has published his work in Econometrica, Econometric Theory, Journal of Business and Economic Statistics, Econometric Reviews, and other economic journals. Nikolay Gospodinov is Associate Professor of Economics at Concordia University, Montreal, and a Research Fellow of CIREQ. He completed his Ph.D. degree at Boston College in 2000. Dr. Gospodinov's previous research has appeared in Econometric Theory, Econometric Reviews, Econometrics Journal, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Financial Econometrics, and other economic journals.
Inhaltsangabe
Review of Conventional Econometric Methods: Standard Approaches to Estimation and Statistical Inference. Estimation of Moment Condition Models: Generalized Empirical Likelihood Estimators. Estimation of Models Defined by Conditional Moment Restrictions. Inference in Misspecified Models. Higher-Order and Alternative Asymptotics: Higher-Order Asymptotic Approximations. Asymptotics Under Drifting Parameter Sequences. Appendix: Results from Linear Algebra, Probability Theory and Statistics. Index.
Review of Conventional Econometric Methods: Standard Approaches to Estimation and Statistical Inference. Estimation of Moment Condition Models: Generalized Empirical Likelihood Estimators. Estimation of Models Defined by Conditional Moment Restrictions. Inference in Misspecified Models. Higher-Order and Alternative Asymptotics: Higher-Order Asymptotic Approximations. Asymptotics Under Drifting Parameter Sequences. Appendix: Results from Linear Algebra, Probability Theory and Statistics. Index.
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