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

Author: G D A Phillips; Elias Tzavalis
Publisher: Cambridge, UK ; New York : Cambridge University Press, 2007.
Edition/Format:   Print book : Document   Computer File : EnglishView all editions and formats
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This book concerns the importance of refined asymptotic methods to approximate the finite sample behaviour of econometric estimators and tests. It also features chapters on new asymptotic results;  Read more...

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Genre/Form: Kongress
Material Type: Document, Internet resource
Document Type: Book, Computer File, Internet Resource
All Authors / Contributors: G D A Phillips; Elias Tzavalis
ISBN: 0521870534 9780521870535 0511288867 9780511288869
OCLC Number: 76183718
Description: xxvii, 389 pages : illustrations ; 24 cm
Contents: 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.
Responsibility: edited by Garry D.A. Phillips and Elias Tzavalis.
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Review of the hardback: 'This volume is extremely wide ranging and has papers in the areas of interest of all econometricians. I highly commend the book. Econometricians will find it of interest Read more...

 
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