Advanced econometric theory:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Routledge
2011
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Routledge advanced texts in economics and finance
14 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 393 S. graph. Darst. |
| ISBN: | 9780415326292 9780415326308 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804145054803034112 |
|---|---|
| adam_text | Contents
List of figures and tables
xii
Preface
xiii
1
Multivariate analysis and the linear regression model
1
1.1
Introduction
1
1.2
Existence of a solution to the normal equation
7
1.3
The concept of wide-sense conditional expectation
10
1.4
Conditional expectation with normal variables
14
1.5
The relation between wide-sense and strict-sense conditional
expectation
15
1.6
Conditional means and minimum mean-square error
17
1.7
Bayes
estimation
20
1.8
The relation between
Bayes
and Gauss-Markov estimation
in the case of a single independent variable
23
1.9
Exercises
27
2
Least-squares and Gauss-Markov theory
30
2. /
Least-squares theory
30
2.2
Principles of estimation
31
2.3
The concept of a generalized inverse of a matrix
33
2.4
The matrix Cauchy-Schwarz inequality and an extension
35
2.5
Gauss-Markov theory
37
2.6
The relation between Gauss-Markov and least-squares
estimators
41
2.7
Minimum-bias
estimation
49
2.8
Multicollinearity and the imposition of dummy linear
restrictions
51
2.9
Specification error
55
2.10
Exercises
60
χ
Contents
3
Multicollinearity and reduced-rank estimation
65
3.1
Introduction
65
3.2
Singular-value decomposition of a matrix
65
3.3
The condition number of a matrix
68
3.4
The Eckart-Young theorem
70
3.5
Reduced-rank estimation
81
3.6
Exercises
86
4
The treatment of linear restrictions
88
4.1
Estimation subject to linear restrictions
88
4.2
Linear aggregation and duality
92
4.3
Testing linear restrictions
101
4.4
Reduction of mean-square error by imposition of linear
restrictions
106
4.5
Uncertain linear restrictions
108
4.6
Properties of the generalized ridge estimator
109
4.7
Comparison of restricted and generalized ridge estimators
112
4A Appendix (to Section
4.4):
Guide to the computation of
percentage points of the
noncentral F
distribution
115
4.8
Exercises
122
5
Stein estimation
126
5. /
Stein s theorem and the regression model
126
5.2
Lemmas underlying the James-Stein theorem
132
5.3
Some further developments of Stein estimation
138
5.4
Exercises
141
6
Autocorrelation of residuals
-1 143
6. 1
The first-order
autoregressive
model
143
6.2
Efficiency of trend estimation: the ordinary least-squares
estimator
147
6.3
Efficiency of trend estimation: the Cochrane-Orcutt
estimator
154
6.4
Efficiency of trend estimation: the Prais-Winsten
weighted-difference estimator
157
6.5
Efficiency of trend estimation: the Prais-Winsten
first-difference estimator
161
6.6
Discussion of the literature
162
6.7
Exercises
165
7
Autocorrelation of residuals
-2 167
7.1
Anderson models
167
Contents xi
7.2
Testing
for autocorrelation: Anderson s theorem and
the Durbin-Watson test
177
7.3
Distribution and beta approximation of the
Durbin-Watson statistic
189
7.4
Bias in estimation of sampling variances
196
7.5
Exercises
200
8
Simultaneous-equations estimation
202
8.1
The identification problem
202
8.2
Anderson and Rubin s limited-information
maximum-likelihood (LIML) method,
1:
the handling of linear restrictions
210
8.3
Anderson and Rubin s limited-information
maximum-likelihood method,
2:
constrained
maximization of the likelihood function
215
8.4
The contributions ofBasmann and Theil
223
8.5
Exact properties of simultaneous-equations estimators
238
8.6
Approximations to finite-sample distributions
251
8.7
Recursive models
268
8.8
Exercises
283
9
Solutions to the exercises
287
9.1
Chapter
1 287
9.2
Chapter
2 294
9.3
Chapter
3 304
9.4
Chapter
4 309
9.5
Chapter
5 318
9.6
Chapter
6 323
9.7
Chapter
7 329
9.8
Chapter
8 334
Notes
349
Bibliography
357
Index
385
|
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| indexdate | 2024-07-09T23:13:21Z |
| institution | BVB |
| isbn | 9780415326292 9780415326308 |
| language | English |
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| physical | XIV, 393 S. graph. Darst. |
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| series | Routledge advanced texts in economics and finance |
| series2 | Routledge advanced texts in economics and finance |
| spelling | Chipman, John Somerset 1926- Verfasser (DE-588)110635078 aut Advanced econometric theory John S. Chipman 1. publ. London [u.a.] Routledge 2011 XIV, 393 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Routledge advanced texts in economics and finance 14 Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Ökonometrie (DE-588)4132280-0 s b DE-604 Erscheint auch als Online-Ausgabe 978-0-203-50507-6 Routledge advanced texts in economics and finance 14 (DE-604)BV037241432 14 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022047462&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4132280-0 (DE-588)4123623-3 |
| title | Advanced econometric theory |
| title_auth | Advanced econometric theory |
| title_exact_search | Advanced econometric theory |
| title_full | Advanced econometric theory John S. Chipman |
| title_fullStr | Advanced econometric theory John S. Chipman |
| title_full_unstemmed | Advanced econometric theory John S. Chipman |
| title_short | Advanced econometric theory |
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