WorldCat Identities

Andrews, Donald W. K.

Overview
Works: 101 works in 214 publications in 1 language and 819 library holdings
Genres: History 
Roles: Editor, Arranger, Author of introduction, Honoree
Classifications: HB141, 330.015195
Publication Timeline
Key
Publications about  Donald W. K Andrews Publications about Donald W. K Andrews
Publications by  Donald W. K Andrews Publications by Donald W. K Andrews
Most widely held works by Donald W. K Andrews
Identification and inference for econometric models essays in honor of Thomas Rothenburg ( )
16 editions published between 2005 and 2010 in English and held by 446 WorldCat member libraries worldwide
This volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose new ones. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap
Identification and inference for econometric models ( )
3 editions published in 2005 in English and held by 52 WorldCat member libraries worldwide
Estimation of polynomial distributed lags and leads with end point constraints by Donald W. K Andrews ( Book )
7 editions published in 1989 in English and held by 51 WorldCat member libraries worldwide
This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the parameter estimates, including the estimate of q. The paper also considers the estimation of distributed leads rather than lags, a case that can arise if expectations are assumed to be rational
Optimal invariant similar tests for instrumental variables regression by Donald W. K Andrews ( )
5 editions published in 2004 in English and held by 41 WorldCat member libraries worldwide
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We consider tests that are similar and satisfy a natural rotational invariance condition. We determine tests that maximize weighted average power (WAP) for arbitrary weight functions among invariant similar tests. Such tests include point optimal (PO) invariant similar tests. The results yield the power envelope for invariant similar tests. This allows one to assess and compare the power properties of existing tests, such as the Anderson-Rubin, Lagrange multiplier (LM), and conditional likelihood ratio (CLR) tests, and new optimal WAP and PO invariant similar tests. We find that the CLR test is quite close to being uniformly most powerful invariant among a class of two-sided tests. A new unconditional test, P*, also is found to have this property. For one-sided alternatives, no test achieves the invariant power envelope, but a new test. the one-sided CLR test. is found to be fairly close. The finite sample results of the paper are extended to the case of unknown error covariance matrix and possibly non-normal errors via weak instrument asymptotics. Strong instrument asymptotic results also are provided because we seek tests that perform well under both weak and
Inference with weak instruments by Donald W. K Andrews ( )
9 editions published between 2005 and 2007 in English and Undetermined and held by 39 WorldCat member libraries worldwide
This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics, " which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson- Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs
Together : [a collection of the literary work of Black students at the University of California, Riverside during the school year 1968-69 ( Book )
2 editions published in 1969 in English and held by 10 WorldCat member libraries worldwide
Adaptive local polynomial Whittle estimation on long-range dependence by Donald W. K Andrews ( Book )
5 editions published between 2002 and 2004 in English and held by 7 WorldCat member libraries worldwide
Consistent moment selection procedures for generalized method of moments estimation by Donald W. K Andrews ( Book )
5 editions published between 1996 and 1999 in English and held by 7 WorldCat member libraries worldwide
Testing for serial correlation against an ARMA (1,1) process by Donald W. K Andrews ( Book )
4 editions published between 1994 and 1995 in English and held by 6 WorldCat member libraries worldwide
A bias-reduced log-periodogram regression estimator for the long memory parameter by Donald W. K Andrews ( Book )
3 editions published in 2000 in English and held by 5 WorldCat member libraries worldwide
The block-block bootstrap : improved asymptotic refinements by Donald W. K Andrews ( Book )
4 editions published between 2002 and 2004 in English and held by 5 WorldCat member libraries worldwide
Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators by Donald W. K Andrews ( Book )
4 editions published between 1999 and 2002 in English and held by 5 WorldCat member libraries worldwide
Local polynomial Whittle estimation of long-range dependence by Donald W. K Andrews ( Book )
4 editions published in 2001 in English and held by 5 WorldCat member libraries worldwide
The history of the Presbyterian Church in Farmington, Illinois ( Book )
1 edition published in 1976 in English and held by 4 WorldCat member libraries worldwide
Equivalence of the higher-order asymptotic efficiency of k-step and extremum statistics by Donald W. K Andrews ( Book )
4 editions published between 2000 and 2002 in English and held by 4 WorldCat member libraries worldwide
Valid Edgeworth expansions for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series by Donald W. K Andrews ( Book )
3 editions published in 2002 in English and held by 4 WorldCat member libraries worldwide
End-of-sample instability tests by Donald W. K Andrews ( Book )
3 editions published in 2002 in English and held by 4 WorldCat member libraries worldwide
End-of-sample cointegration breakdown tests by Donald W. K Andrews ( Book )
3 editions published between 2002 and 2003 in English and held by 4 WorldCat member libraries worldwide
Relationships of various elements to successful completion of training in a manpower skills center by Donald W. K Andrews ( Book )
3 editions published between 1971 and 1977 in English and held by 4 WorldCat member libraries worldwide
Higher-order improvements of the parametric bootstrap for Markov processes by Donald W. K Andrews ( Book )
3 editions published in 2001 in English and held by 4 WorldCat member libraries worldwide
 
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Alternative Names
Andrews, D. W. K.
Andrews, Donald W.
Languages
English (90)
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