Specifying and diagnostically testing econometric models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Westport, Conn. [u.a.]
Quorum Books
1997
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 445 S. graph. Darst. |
| ISBN: | 1567200699 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV023513069 | ||
| 003 | DE-604 | ||
| 005 | 20061108000000.0 | ||
| 007 | t | ||
| 008 | 970805s1997 xxud||| |||| 00||| eng d | ||
| 020 | |a 1567200699 |9 1-56720-069-9 | ||
| 035 | |a (OCoLC)832931799 | ||
| 035 | |a (DE-599)BVBBV023513069 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 | ||
| 050 | 0 | |a HB141.S85 1997 | |
| 082 | 0 | |a 330/.01/5195 21 | |
| 084 | |a QH 300 |0 (DE-625)141566: |2 rvk | ||
| 100 | 1 | |a Stokes, Houston H. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Specifying and diagnostically testing econometric models |c Houston H. Stokes |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Westport, Conn. [u.a.] |b Quorum Books |c 1997 | |
| 300 | |a XVI, 445 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models -- Computer programs | |
| 650 | 0 | 7 | |a Spezifikation |0 (DE-588)4139161-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Statistischer Test |0 (DE-588)4077852-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |D s |
| 689 | 1 | 1 | |a Statistischer Test |0 (DE-588)4077852-6 |D s |
| 689 | 1 | |5 DE-604 | |
| 689 | 2 | 0 | |a Spezifikation |0 (DE-588)4139161-5 |D s |
| 689 | 2 | 1 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
| 689 | 2 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016834441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016834441 | ||
Datensatz im Suchindex
| _version_ | 1804138151244988416 |
|---|---|
| adam_text | Contents
TABLES ix
FIGURES xi
PREFACE xiii
1. Applied Econometric Modeling 1
1.0 Introduction 1
1.1 Outline of the Book 1
1.2 B34S Overview 5
1.3 B34S Display Manager 12
1.4 Conclusion 15
2. Regression Analysis With Appropriate Specification Tests 17
2.0 Introduction 17
2.1 Standard Regression Model With a Constant 17
2.2 Regression Model Without a Constant 21
2.3 Generalized Least Squares 22
2.4 Weighted Regression Model 24
2.5 Autoregressive Disturbances Model 25
2.6 Estimation Control Options 30
2.7 Overview of Options Involving Computed Residuals 31
2.8 Residual Summary Statistics 32
2.9 BLUS Specification Test Options 34
2.10 BLUS In-Core and Out-of-Core Options 39
2.11 The Residual Analysis (RA) Option 41
2.12 BAYES Option in B34S 43
2.13 Examples 44
2.14 Conclusion 67
3. Logit, Tobit, Probit 70
3.0 Introduction 70
3.1 Probit Models 70
3.2 Multinomial Probit Models 73
3.3 Logit Models 76
3.4 Multinomial Logit Models 78
3.5 Tobit Models 83
3.6 Examples 87
3.7 Conclusion 97
4. Simultaneous Equations Systems 100
4.0 Introduction 100
4.1 Estimation of Structural Models 100
4.2 Estimation of OLS, LIML, LS2, LS3, and ILS3 103
4.3 Examples 110
4.4 Conclusion 116
5. Error-Components Analysis 118
5.0 Introduction 118
5.1 Error-Component Model Specification 118
5.2 ECOMP-Command Options 122
5.3 Further Detail on Estimating r 123
vi Contents
5.4 Examples 124
5.5 Conclusion 131
6. Markov Probability Analysis 133
6.0 Introduction 133
6.1 Overview of the Markov Model 133
6.2 Decomposing the Transition Probability Matrix 136
6.3 Estimating the Transition Probability Matrix 138
6.4 Examples 145
6.5 Conclusion 153
7. Time Series Analysis Part I: Identification of ARIMA and
Transfer Function Models 155
7.0 Introduction 155
7.1 Identifying and Estimating an ARIMA Model 155
7.2 Identifying and Estimating a Transfer Function Model 162
7.3 Diagnostic Tests on the Autocorrelations of the
Cross Correlations 167
7.4 Spectral Analysis 180
7.5 Examples 182
7.6 Conclusion 194
8. Time Series Analysis Part II: VAR, VARMA and VMA Models 197
8.0 Introduction 197
8.1 The Relationship Between VAR, VARMA and Structural
Models 197
8.2 Identification of VAR and VARMA Models 202
8.3 Testing Series for Nonlinearity With Hinich Tests 205
8.4 Examples 213
8.5 Conclusion 230
9. Testing the Specification of OLS Equations With Recursive
Residuals 234
9.0 introduction 234
9.1 Overview of the RR Procedure 234
9.2 Calculation of Recursive Residuals 235
9.3 Standardized Recursive Coefficients 238
9.4 More Than One-Step-Ahead Recursive Residuals 239
9.5 Testing the Recursive Residual 240
9.6 Examples 245
9.7 Conclusion 258
10. Special Topics in OLS Estimation 261
10.0 Introduction 261
10.1 The QR Approach 261
10.2 The Principal-Component Regression Model 262
10.3 Examples 265
10.4 Conclusion 272
11. Nonlinear Estimation Options in B34S 274
11.0 Introduction 274
11.1 Nonlinear Estimation Theory 274
Contents vii
11.2 Examples 278
11.3 Conclusion 288
12. Special Topics in Time Series Analysis 292
12.0 Introduction 292
12.1 The Frequency Decomposition of the VAR Model 293
12.2 The Kalman-Filter Approach to Time Series Analysis 298
12.3 Examples 302
12.4 Unit Roots 321
12.5 Testing for Unit Roots 331
12.6 Modeling Conditional Heteroskedasticity 337
12.7 Conclusion 343
13. Optimal Control Analysis 347
13.0 Introduction 347
13.1 Optimal Control Theory 347
13.2 Examples 349
13.3 Conclusion 362
14. MARS and n Spline Model Building 365
14.0 Introduction 365
14.1 A Brief Survey of MARS and PISPLINE Modeling Theory 366
14.2 The MARS and PISPLINE Command Options 370
14.3 Examples 372
14.4 Conclusion 405
15. Spectral Analysis of Time Series 408
15.0 Introduction 408
15.1 A Brief Treatment of Spectral Analysis Theory 408
15.2 Examples 417
15.3 Conclusion 428
BIBLIOGRAPHY 430
INDEX 444
|
| adam_txt |
Contents
TABLES ix
FIGURES xi
PREFACE xiii
1. Applied Econometric Modeling 1
1.0 Introduction 1
1.1 Outline of the Book 1
1.2 B34S Overview 5
1.3 B34S Display Manager 12
1.4 Conclusion 15
2. Regression Analysis With Appropriate Specification Tests 17
2.0 Introduction 17
2.1 Standard Regression Model With a Constant 17
2.2 Regression Model Without a Constant 21
2.3 Generalized Least Squares 22
2.4 Weighted Regression Model 24
2.5 Autoregressive Disturbances Model 25
2.6 Estimation Control Options 30
2.7 Overview of Options Involving Computed Residuals 31
2.8 Residual Summary Statistics 32
2.9 BLUS Specification Test Options 34
2.10 BLUS In-Core and Out-of-Core Options 39
2.11 The Residual Analysis (RA) Option 41
2.12 BAYES Option in B34S 43
2.13 Examples 44
2.14 Conclusion 67
3. Logit, Tobit, Probit 70
3.0 Introduction 70
3.1 Probit Models 70
3.2 Multinomial Probit Models 73
3.3 Logit Models 76
3.4 Multinomial Logit Models 78
3.5 Tobit Models 83
3.6 Examples 87
3.7 Conclusion 97
4. Simultaneous Equations Systems 100
4.0 Introduction 100
4.1 Estimation of Structural Models 100
4.2 Estimation of OLS, LIML, LS2, LS3, and ILS3 103
4.3 Examples 110
4.4 Conclusion 116
5. Error-Components Analysis 118
5.0 Introduction 118
5.1 Error-Component Model Specification 118
5.2 ECOMP-Command Options 122
5.3 Further Detail on Estimating r 123
vi Contents
5.4 Examples 124
5.5 Conclusion 131
6. Markov Probability Analysis 133
6.0 Introduction 133
6.1 Overview of the Markov Model 133
6.2 Decomposing the Transition Probability Matrix 136
6.3 Estimating the Transition Probability Matrix 138
6.4 Examples 145
6.5 Conclusion 153
7. Time Series Analysis Part I: Identification of ARIMA and
Transfer Function Models 155
7.0 Introduction 155
7.1 Identifying and Estimating an ARIMA Model 155
7.2 Identifying and Estimating a Transfer Function Model 162
7.3 Diagnostic Tests on the Autocorrelations of the
Cross Correlations 167
7.4 Spectral Analysis 180
7.5 Examples 182
7.6 Conclusion 194
8. Time Series Analysis Part II: VAR, VARMA and VMA Models 197
8.0 Introduction 197
8.1 The Relationship Between VAR, VARMA and Structural
Models 197
8.2 Identification of VAR and VARMA Models 202
8.3 Testing Series for Nonlinearity With Hinich Tests 205
8.4 Examples 213
8.5 Conclusion 230
9. Testing the Specification of OLS Equations With Recursive
Residuals 234
9.0 introduction 234
9.1 Overview of the RR Procedure 234
9.2 Calculation of Recursive Residuals 235
9.3 Standardized Recursive Coefficients 238
9.4 More Than One-Step-Ahead Recursive Residuals 239
9.5 Testing the Recursive Residual 240
9.6 Examples 245
9.7 Conclusion 258
10. Special Topics in OLS Estimation 261
10.0 Introduction 261
10.1 The QR Approach 261
10.2 The Principal-Component Regression Model 262
10.3 Examples 265
10.4 Conclusion 272
11. Nonlinear Estimation Options in B34S 274
11.0 Introduction 274
11.1 Nonlinear Estimation Theory 274
Contents vii
11.2 Examples 278
11.3 Conclusion 288
12. Special Topics in Time Series Analysis 292
12.0 Introduction 292
12.1 The Frequency Decomposition of the VAR Model 293
12.2 The Kalman-Filter Approach to Time Series Analysis 298
12.3 Examples 302
12.4 Unit Roots 321
12.5 Testing for Unit Roots 331
12.6 Modeling Conditional Heteroskedasticity 337
12.7 Conclusion 343
13. Optimal Control Analysis 347
13.0 Introduction 347
13.1 Optimal Control Theory 347
13.2 Examples 349
13.3 Conclusion 362
14. MARS and n Spline Model Building 365
14.0 Introduction 365
14.1 A Brief Survey of MARS and PISPLINE Modeling Theory 366
14.2 The MARS and PISPLINE Command Options 370
14.3 Examples 372
14.4 Conclusion 405
15. Spectral Analysis of Time Series 408
15.0 Introduction 408
15.1 A Brief Treatment of Spectral Analysis Theory 408
15.2 Examples 417
15.3 Conclusion 428
BIBLIOGRAPHY 430
INDEX 444 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Stokes, Houston H. |
| author_facet | Stokes, Houston H. |
| author_role | aut |
| author_sort | Stokes, Houston H. |
| author_variant | h h s hh hhs |
| building | Verbundindex |
| bvnumber | BV023513069 |
| callnumber-first | H - Social Science |
| callnumber-label | HB141 |
| callnumber-raw | HB141.S85 1997 |
| callnumber-search | HB141.S85 1997 |
| callnumber-sort | HB 3141 S85 41997 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QH 300 |
| ctrlnum | (OCoLC)832931799 (DE-599)BVBBV023513069 |
| dewey-full | 330/.01/519521 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/5195 21 |
| dewey-search | 330/.01/5195 21 |
| dewey-sort | 3330 11 45195 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01861nam a2200493zc 4500</leader><controlfield tag="001">BV023513069</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20061108000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">970805s1997 xxud||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1567200699</subfield><subfield code="9">1-56720-069-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)832931799</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023513069</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB141.S85 1997</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330/.01/5195 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 300</subfield><subfield code="0">(DE-625)141566:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Stokes, Houston H.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Specifying and diagnostically testing econometric models</subfield><subfield code="c">Houston H. Stokes</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Westport, Conn. [u.a.]</subfield><subfield code="b">Quorum Books</subfield><subfield code="c">1997</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 445 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometric models -- Computer programs</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Spezifikation</subfield><subfield code="0">(DE-588)4139161-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Statistischer Test</subfield><subfield code="0">(DE-588)4077852-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrisches Modell</subfield><subfield code="0">(DE-588)4043212-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Ökonometrisches Modell</subfield><subfield code="0">(DE-588)4043212-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Ökonometrisches Modell</subfield><subfield code="0">(DE-588)4043212-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Statistischer Test</subfield><subfield code="0">(DE-588)4077852-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Spezifikation</subfield><subfield code="0">(DE-588)4139161-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="1"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016834441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016834441</subfield></datafield></record></collection> |
| id | DE-604.BV023513069 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:31:27Z |
| indexdate | 2024-07-09T21:23:38Z |
| institution | BVB |
| isbn | 1567200699 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016834441 |
| oclc_num | 832931799 |
| open_access_boolean | |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | XVI, 445 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Quorum Books |
| record_format | marc |
| spelling | Stokes, Houston H. Verfasser aut Specifying and diagnostically testing econometric models Houston H. Stokes 2. ed. Westport, Conn. [u.a.] Quorum Books 1997 XVI, 445 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ökonometrisches Modell Econometric models -- Computer programs Spezifikation (DE-588)4139161-5 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Statistischer Test (DE-588)4077852-6 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Statistischer Test (DE-588)4077852-6 s Spezifikation (DE-588)4139161-5 s Ökonometrie (DE-588)4132280-0 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016834441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stokes, Houston H. Specifying and diagnostically testing econometric models Ökonometrisches Modell Econometric models -- Computer programs Spezifikation (DE-588)4139161-5 gnd Ökonometrie (DE-588)4132280-0 gnd Statistischer Test (DE-588)4077852-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4139161-5 (DE-588)4132280-0 (DE-588)4077852-6 (DE-588)4043212-9 |
| title | Specifying and diagnostically testing econometric models |
| title_auth | Specifying and diagnostically testing econometric models |
| title_exact_search | Specifying and diagnostically testing econometric models |
| title_exact_search_txtP | Specifying and diagnostically testing econometric models |
| title_full | Specifying and diagnostically testing econometric models Houston H. Stokes |
| title_fullStr | Specifying and diagnostically testing econometric models Houston H. Stokes |
| title_full_unstemmed | Specifying and diagnostically testing econometric models Houston H. Stokes |
| title_short | Specifying and diagnostically testing econometric models |
| title_sort | specifying and diagnostically testing econometric models |
| topic | Ökonometrisches Modell Econometric models -- Computer programs Spezifikation (DE-588)4139161-5 gnd Ökonometrie (DE-588)4132280-0 gnd Statistischer Test (DE-588)4077852-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Ökonometrisches Modell Econometric models -- Computer programs Spezifikation Ökonometrie Statistischer Test |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016834441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT stokeshoustonh specifyinganddiagnosticallytestingeconometricmodels |