Holdings: Identification and inference for econometric models

Identification and inference for econometric models: essays in honor of Thomas Rothenberg

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Bibliographic Details
Other Authors:	Andrews, Donald W. K. (Editor)
Format:	Book
Language:	English
Published:	Cambridge [u.a.] Cambridge Univ. Press 2010
Edition:	1. paperback print.
Subjects:	Ökonometrisches Modell Econometric models Ökonometrie Konferenzschrift > 2001 > Berkeley Calif.
Online Access:	Inhaltsverzeichnis
Physical Description:	XIII, 573 S. graph. Darst.
ISBN:	9780521154741 052115474X

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adam_text	Titel: Identification and inference for econometric models Autor: Andrews, Donald W. K Jahr: 2010 Contents List of Contributors page vii Preface ix Part I. Identification and Efficient Estimation 1. Incredible Structura! Inference 3 THOMAS J. ROTHENBERG 2. Structural Equation Models in Human Behavior Genetics 11 ARTHUR S. GOLDBERGER 3. Unobserved Heterogeneity and Estimation of Average Partial Effects 27 JEFFREY M. WOOLDRIDGE 4. On Specifying Graphical Models for Causation and the Identification Problem 56 DAVID A. FREEDMAN 5. Testing for Weak Instruments in Linear IV Regression 80 JAMES H. STOCK AND MOTOHIRO YOGO 6. Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments 109 JAMES H. STOCK AND MOTOHIRO YOGO 7. Identifying a Source of Financial Volatility 121 DOUGLAS G. STEIGERWALD AND RICHARD J. VAGNONI Part II. Asymptotic Approximations 8. Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 149 MIDEIIIKO ICHIMURA AND OLIVER LINTON 9. Higher-order Improvements of the Parametric Bootstrap for Markov Processes 171 DONALD VV. K. ANDREWS vi Contents 10. The Performance of Empirical Likelihood and Its Generalizations 216 GUIDO W. IMBENS AND RICHARD H. SPADY 11. Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters 245 WHITNEY K. NEWEY, JOAQUIM J. S. RAMALHO, AND RICHARD J. SMITH 12. Empirical Evidence Concerning the Finite Sample Performance of EL-type Structural Equation Estimation and Inference Methods 282 RON C. MITTELHAMMER, GEORGE G. JUDGE, AND RON SCHOENBERG 13. How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance? 306 OLE E. BARNDORFF-NIELSEN AND NEIL SHEPHARD 14. Testing the Semiparametric Box-Cox Model with the Bootstrap 332 N. E. SAVIN AND ALLAN H. WURTZ Part III. Inference Involving Potentially Nonstationary Time Series 15. Tests of the Null Hypothesis of Cointegration Based on Efficient Tests for a Unit MA Root 357 MICHAEL JANSSON 16. Robust Confidence Intervals for Autoregressive Coefficients Near One 375 SAMUEL B. THOMPSON 17. A Unified Approach to Testing for Stationarity and Unit Roots 403 ANDREW C. HARVEY 18. A New Look at Panel Testing of Stationarity and the PPP Hypothesis 426 JUSHAN BAl AND SERENA NG 19. Testing for Unit Roots in Panel Data: An Exploration Using Real and Simulated Data 451 BROWNWYN II. HALL AND JACQUES MAIRESSE 20. Forecasting in the Presence of Structural Breaks and Policy Regime Shifts 480 DAVID F. HENDRY AND GRAYHAM E. M1Z0N Part IV. Nonparametric and Semiparametric Inference 21. Nonparametric Testing of an Exclusion Restriction 505 PETER J. BICKEL, Ya'ACOV RITOV, AND THOMAS M. STOKER 22. Pairwise Difference Estimators for Nonlinear Models 520 BO E. HONORÉ AND JAMES L. POWELL 23. Density Weighted Linear Least Squares 554 WHITNEY K. NEWEY AND PAUL A. RUUD
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title	Identification and inference for econometric models essays in honor of Thomas Rothenberg
title_auth	Identification and inference for econometric models essays in honor of Thomas Rothenberg
title_exact_search	Identification and inference for econometric models essays in honor of Thomas Rothenberg
title_full	Identification and inference for econometric models essays in honor of Thomas Rothenberg ed. by Donald W. K. Andrews ...
title_fullStr	Identification and inference for econometric models essays in honor of Thomas Rothenberg ed. by Donald W. K. Andrews ...
title_full_unstemmed	Identification and inference for econometric models essays in honor of Thomas Rothenberg ed. by Donald W. K. Andrews ...
title_short	Identification and inference for econometric models
title_sort	identification and inference for econometric models essays in honor of thomas rothenberg
title_sub	essays in honor of Thomas Rothenberg
topic	Ökonometrisches Modell Econometric models Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd
topic_facet	Ökonometrisches Modell Econometric models Ökonometrie Konferenzschrift 2001 Berkeley Calif.
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