The refinement of econometric estimation and test procedures: finite sample and asymptotic analysis
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...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2007
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| Schlagworte: | |
| Online-Zugang: | BSB01 UBG01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xxvii, 389 pages) |
| ISBN: | 9780511493157 |
| DOI: | 10.1017/CBO9780511493157 |
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| 505 | 8 | |a 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 | |
| 520 | |a 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 | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author2 | Phillips, G. D. A. Tzavalis, Elias |
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| author_facet | Phillips, G. D. A. Tzavalis, Elias |
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| bvnumber | BV043926225 |
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| 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 |
| ctrlnum | (ZDB-20-CBO)CR9780511493157 (OCoLC)967414926 (DE-599)BVBBV043926225 |
| dewey-full | 330.01/519287 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/519287 |
| dewey-search | 330.01/519287 |
| dewey-sort | 3330.01 6519287 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511493157 |
| format | Electronic eBook |
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| spelling | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis edited by Garry D.A. Phillips and Elias Tzavalis The Refinement of Econometric Estimation & Test Procedures Cambridge Cambridge University Press 2007 1 online resource (xxvii, 389 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 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 Econometrics Estimation theory Stichprobe (DE-588)4057502-0 gnd rswk-swf Schätzfunktion (DE-588)4431358-5 gnd rswk-swf Asymptotik (DE-588)4126634-1 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf 1\p (DE-588)1071861417 Konferenzschrift gnd-content Ökonometrie (DE-588)4132280-0 s Schätzfunktion (DE-588)4431358-5 s Stichprobe (DE-588)4057502-0 s 2\p DE-604 Asymptotik (DE-588)4126634-1 s 3\p DE-604 Phillips, G. D. A. edt Tzavalis, Elias edt Erscheint auch als Druckausgabe 978-0-521-87053-5 Erscheint auch als Druckausgabe 978-1-107-40624-7 https://doi.org/10.1017/CBO9780511493157 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis 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 Econometrics Estimation theory Stichprobe (DE-588)4057502-0 gnd Schätzfunktion (DE-588)4431358-5 gnd Asymptotik (DE-588)4126634-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4057502-0 (DE-588)4431358-5 (DE-588)4126634-1 (DE-588)4132280-0 (DE-588)1071861417 |
| title | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis |
| title_alt | The Refinement of Econometric Estimation & Test Procedures |
| title_auth | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis |
| title_exact_search | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis |
| title_full | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis edited by Garry D.A. Phillips and Elias Tzavalis |
| title_fullStr | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis edited by Garry D.A. Phillips and Elias Tzavalis |
| title_full_unstemmed | The refinement of econometric estimation and test procedures finite sample and asymptotic analysis edited by Garry D.A. Phillips and Elias Tzavalis |
| title_short | The refinement of econometric estimation and test procedures |
| title_sort | the refinement of econometric estimation and test procedures finite sample and asymptotic analysis |
| title_sub | finite sample and asymptotic analysis |
| topic | Econometrics Estimation theory Stichprobe (DE-588)4057502-0 gnd Schätzfunktion (DE-588)4431358-5 gnd Asymptotik (DE-588)4126634-1 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometrics Estimation theory Stichprobe Schätzfunktion Asymptotik Ökonometrie Konferenzschrift |
| url | https://doi.org/10.1017/CBO9780511493157 |
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