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, UK ; New York :
Cambridge University Press,
2007.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| 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: | 1 online resource (xxvii, 389 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 368-384) and index. |
| ISBN: | 9780511290701 0511290705 0521870534 9780521870535 0511290101 9780511290107 9780511288869 0511288867 1107171709 9781107171701 1280917512 9781280917516 9786610917518 6610917515 0511320787 9780511320781 0511288840 9780511288845 0511493150 9780511493157 9781107406247 1107406242 |
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| 245 | 0 | 4 | |a The refinement of econometric estimation and test procedures : |b finite sample and asymptotic analysis / |c edited by Garry D.A. Phillips and Elias Tzavalis. |
| 260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c 2007. | ||
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| 504 | |a Includes bibliographical references (pages 368-384) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |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. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Econometrics. |0 http://id.loc.gov/authorities/subjects/sh85040763 | |
| 650 | 0 | |a Estimation theory. |0 http://id.loc.gov/authorities/subjects/sh85044957 | |
| 650 | 6 | |a Économétrie. | |
| 650 | 6 | |a Théorie de l'estimation. | |
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| 700 | 1 | |a Tzavalis, Elias. |0 http://id.loc.gov/authorities/names/no2001030203 | |
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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 | (OCoLC)173812439 |
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| dewey-ones | 330 - Economics |
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| dewey-search | 330.01/519287 |
| dewey-sort | 3330.01 6519287 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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Phillips and Elias Tzavalis.</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Cambridge, UK ;</subfield><subfield code="a">New York :</subfield><subfield code="b">Cambridge University Press,</subfield><subfield code="c">2007.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xxvii, 389 pages) :</subfield><subfield code="b">illustrations</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="347" ind1=" " ind2=" "><subfield code="a">data file</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (pages 368-384) and index.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="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.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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. 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| genre | Electronic book. Electronic books. |
| genre_facet | Electronic book. Electronic books. |
| id | ZDB-4-EBA-ocn173812439 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:09Z |
| institution | BVB |
| isbn | 9780511290701 0511290705 0521870534 9780521870535 0511290101 9780511290107 9780511288869 0511288867 1107171709 9781107171701 1280917512 9781280917516 9786610917518 6610917515 0511320787 9780511320781 0511288840 9780511288845 0511493150 9780511493157 9781107406247 1107406242 |
| language | English |
| oclc_num | 173812439 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxvii, 389 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Cambridge University Press, |
| record_format | marc |
| spelling | The refinement of econometric estimation and test procedures : finite sample and asymptotic analysis / edited by Garry D.A. Phillips and Elias Tzavalis. Cambridge, UK ; New York : Cambridge University Press, 2007. 1 online resource (xxvii, 389 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file Includes bibliographical references (pages 368-384) and index. Print version record. 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. English. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Estimation theory. http://id.loc.gov/authorities/subjects/sh85044957 Économétrie. Théorie de l'estimation. BUSINESS & ECONOMICS Economics Theory. bisacsh Econometrics fast Estimation theory fast Econometrische modellen. gtt Schattingen. gtt Electronic book. Electronic books. Phillips, G. D. A. http://id.loc.gov/authorities/names/nb90233067 Tzavalis, Elias. http://id.loc.gov/authorities/names/no2001030203 has work: The refinement of econometric estimation and test procedures (Text) https://id.oclc.org/worldcat/entity/E39PCFWmtYHQHqxfRyy8GjmBdP https://id.oclc.org/worldcat/ontology/hasWork Print version: Refinement of econometric estimation and test procedures. Cambridge, UK ; New York : Cambridge University Press, 2007 0521870534 9780521870535 (DLC) 2006037806 (OCoLC)76183718 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=206549 Volltext |
| 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. http://id.loc.gov/authorities/subjects/sh85040763 Estimation theory. http://id.loc.gov/authorities/subjects/sh85044957 Économétrie. Théorie de l'estimation. BUSINESS & ECONOMICS Economics Theory. bisacsh Econometrics fast Estimation theory fast Econometrische modellen. gtt Schattingen. gtt |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040763 http://id.loc.gov/authorities/subjects/sh85044957 |
| title | The refinement of econometric estimation and test procedures : finite sample and asymptotic analysis / |
| 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 | refinement of econometric estimation and test procedures finite sample and asymptotic analysis |
| title_sub | finite sample and asymptotic analysis / |
| topic | Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Estimation theory. http://id.loc.gov/authorities/subjects/sh85044957 Économétrie. Théorie de l'estimation. BUSINESS & ECONOMICS Economics Theory. bisacsh Econometrics fast Estimation theory fast Econometrische modellen. gtt Schattingen. gtt |
| topic_facet | Econometrics. Estimation theory. Économétrie. Théorie de l'estimation. BUSINESS & ECONOMICS Economics Theory. Econometrics Estimation theory Econometrische modellen. Schattingen. Electronic book. Electronic books. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=206549 |
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