Refinement of Econometric Estimation and Test Procedures (eBook, PDF)

Finite Sample and Asymptotic Analysis
Redaktion: Phillips, Garry D. A.

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 1. Februar 2007
• Englisch
• ISBN-13: 9780511287527
• Artikelnr.: 38197853

Autorenporträt

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University.
Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

Inhaltsangabe

List of figures; List of tables; Contributors; Preface; Michael Magdalinos
1949-2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias
Tzavalis; 1. Conditional heteroscedasticity models with Pearson
disturbances Michael A. Magdalinos and George P. Mitsopoulos; 2. The
Instrumental Variables method revisited: on the nature and choice of
optimal instruments Aris Spanos; 3. Nagar-type moment approximations in
simultaneous equation models: some further results Garry D. A. Phillips; 4.
Local GEL methods for conditional moment restrictions Richard J. Smith; 5.
Limit theory for moderate deviations from a unit root under weak dependence
Peter C. B. Phillips and Tassos Magdalinos; 6. The structure of
multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg; 7.
Cornish-Fisher size corrected t and F statistics for the linear regression
model with heteroscedastic errors Spyridon D. Symeonides, Hellen
Kandiloriou and Elias Tzavalis; 8. Non-parametric specification testing of
non-nested econometric models Qi Li and Thanasis Stengos; 9. Testing for
autocorrelation in systems of equations Phoebus J. Dhrymes; 10. Alternative
approaches to estimation and inference in large multifactor panels: small
sample results with an application to modelling of Asset Returns G.
Kapetanios and M. Hashem Pesaran; 11. Judging contending estimators by
simulation: tournaments in dynamic panel data models Jan F. Kiviet; 12. A
statistical proof of the transformation theorem Karim M. Abadir and Jan R.
Magnus; 13. On the joint density of the sum and sum of squares of
nonnegative random variables Grant Hillier; 14. Conditional Response
Analysis Grayham E. Mizon and Anna Staszewska; Index.

Rezensionen

'This book is a tribute to one of the great contributors to the subject of econometrics. The excellent papers contributed here reflect on the research of the late Michael Magdalinos and acknowledge his solid and beneficial impact on the foundational issue of finite and asymptotic sample econometrics. They will make the book widely read and referenced.' Aman Ullah, Professor of Economics, University of California, Riverside