Download or read book Consistent Specification Testing Via Nonparametric Series Regression written by Yongmiao Hong and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometric Model Specification written by Herman J. Bierens and published by World Scientific Publishing Company. This book was released on 2017 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Model Specification reviews and extends the author's papers on consistent model specification testing and semi-nonparametric modeling and inference. This book consists of two parts. The first part discusses consistent tests of functional form of regression and conditional distribution models, including a consistent test of the martingale difference hypothesis for time series regression errors. In the second part, semi-nonparametric modeling and inference for duration and auction models are considered, as well as a general theory of the consistency and asymptotic normality of semi-nonparametric sieve maximum likelihood estimators. Moreover, this volume also contains addendums and appendices that provide detailed proofs and extensions of all the results. It is uniquely self-contained and is a useful source for students and researchers interested in model specification issues.

Download or read book Nonparametric Econometric Methods written by Qi Li and published by Emerald Group Publishing. This book was released on 2009-12-04 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.

Download or read book Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers a nonparametric time series regression model with a nonstationary regressor. We construct a nonparametric test for testing whether the regression is of a known parametric form indexed by a vector of unknown parameters. We establish the asymptotic distribution of the proposed test statistic. Both the setting and the results differ from earlier work on nonparametric time series regression with stationarity. In addition, we develop a bootstrap simulation scheme for the selection of suitable bandwidth parameters involved in the kernel test as well as the choice of simulated critical values. An example of implementation is given to show that the proposed test works in practice.

Download or read book A Simple Framework for Nonparametric Specification Testing written by Glenn Ellison and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations and an application to some parametric models of gasoline demand is presented.

Download or read book Cointegration Causality and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.

Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2023-07-18 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.

Download or read book Specification Testing in Economics Using M tests written by Yongmiao Hong and published by . This book was released on 1993 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Download or read book Specification Testing for Regression Models with Dependent Data written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Kernel based Specification Testing with Skewed and Heavy tailed Data written by Alice Sheehan and published by . This book was released on 2019 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we revisit some of the most common nonparametric specification tests and assess their robustness to real world economic data. Most nonparametric econometric theory is based on a compact support assumption of the data, that is, that the data are well behaved and uniform. In economics, this assumption is regularly violated and the consequences of which are unknown. The intent of this research is twofold. First, we investigate what kind of inference practitioners are obtaining when they apply nonparametric specification tests to economic data. Then, having found that this leads to questionable inference, we modify test statistics and suggest other practices to further improve inference with such data. In the first chapter, we modify a nonparametric test for heteroskedasticity by removing the random denominator in the test statistic, an issue that can be exacerbated when applied to skewed and/or heavy tailed data. We find improvements using our modified test and suggest other methods to improve inference for practitioners applying kernel-based specification tests. In the second chapter, we propose a consistent local-linear test for variable significance that has an asymptotically standard normal distribution. Local-linear estimators are generally the dominant and preferred choice in theoretical and applied kernel regression; however, local-constant estimators are typically employed to construct test statistics. Through Monte Carlo simulations and empirical illustrations, we assess the finite sample performance of the proposed test as compared to a local-constant version. The simulations show that our local-linear test performs well, even with skewed and heavy-tailed regressors and errors, and generally outperforms the local-constant version using a wide range of data generating processes. In the third chapter, using two nonparametric kernel-based specification tests, we investigate the relative performance various auxiliary distributions used to implement the wild bootstrap in the presence of skewed and heavy-tailed regressors. Using a data driven method we identify the most appropriate auxiliary distribution for a given sample. Through Monte Carlo simulations, we show that contrary to popular practice, the Rademacher distribution provides better asymptotic refinements than that of the most commonly employed skew-corrected wild bootstrap for these tests.

Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.

Download or read book Contemporary Developments in Statistical Theory written by Soumendra Lahiri and published by Springer Science & Business Media. This book was released on 2013-12-02 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume highlights Prof. Hira Koul’s achievements in many areas of Statistics, including Asymptotic theory of statistical inference, Robustness, Weighted empirical processes and their applications, Survival Analysis, Nonlinear time series and Econometrics, among others. Chapters are all original papers that explore the frontiers of these areas and will assist researchers and graduate students working in Statistics, Econometrics and related areas. Prof. Hira Koul was the first Ph.D. student of Prof. Peter Bickel. His distinguished career in Statistics includes the receipt of many prestigious awards, including the Senior Humbolt award (1995), and dedicated service to the profession through editorial work for journals and through leadership roles in professional societies, notably as the past president of the International Indian Statistical Association. Prof. Hira Koul has graduated close to 30 Ph.D. students, and made several seminal contributions in about 125 innovative research papers. The long list of his distinguished collaborators is represented by the contributors to this volume.

Download or read book Recent Advances and Future Directions in Causality Prediction and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.

Download or read book A Consistent Model Specification Test with Mixed Discrete and Continuous Data written by Cheng Hsiao and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable kernel functions and we smooth both the discrete and continuous regressors using least squares cross-validation methods. The test statistic is shown to have an asymptotic normal null distribution. We also prove the validity of using the wild bootstrap method to approximate the null distribution of the test statistic, the bootstrap being our preferred method for obtaining the null distribution in practice. Simulations show that the proposed test has significant power advantages over conventional kernel tests which rely upon frequency-based nonparametric estimators that require sample splitting to handle the presence of discrete regressors.

Download or read book Foundations Of Modern Econometrics A Unified Approach written by Yongmiao Hong and published by World Scientific. This book was released on 2020-07-13 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern economies are full of uncertainties and risk. Economics studies resource allocations in an uncertain market environment. As a generally applicable quantitative analytic tool for uncertain events, probability and statistics have been playing an important role in economic research. Econometrics is statistical analysis of economic and financial data. In the past four decades or so, economics has witnessed a so-called 'empirical revolution' in its research paradigm, and as the main methodology in empirical studies in economics, econometrics has been playing an important role. It has become an indispensable part of training in modern economics, business and management.This book develops a coherent set of econometric theory, methods and tools for economic models. It is written as a textbook for graduate students in economics, business, management, statistics, applied mathematics, and related fields. It can also be used as a reference book on econometric theory by scholars who may be interested in both theoretical and applied econometrics.