| Description |
1 online resource (xxvii, 389 pages) : illustrations |
| Physical Medium |
polychrome |
| Description |
text file |
| Bibliography |
Includes bibliographical references (pages 368-384) and index. |
| 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. |
| Summary |
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. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Econometrics.
|
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Econometrics. |
|
Estimation theory.
|
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Estimation theory. |
| Genre/Form |
Electronic books.
|
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Electronic book.
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Electronic books.
|
| Added Author |
Phillips, G. D. A.
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Tzavalis, Elias.
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| Other Form: |
Print version: Refinement of econometric estimation and test procedures. Cambridge, UK ; New York : Cambridge University Press, 2007 0521870534 9780521870535 (DLC) 2006037806 (OCoLC)76183718 |
| ISBN |
9780511290701 (electronic book) |
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0511290705 (electronic book) |
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0521870534 (cloth) |
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9780521870535 (cloth) |
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0511290101 (electronic book) |
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9780511290107 (electronic book) |
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9780511288869 (electronic book) |
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0511288867 (electronic book) |
|
