Download or read book The Implementation and Constructive Use of Misspecification Tests in Econometrics written by L. G. Godfrey and published by Manchester University Press. This book was released on 1992 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a collection of papers co-authored by members of the Department of Economics and Related Studies and the Institute for Research in the Social Sciences at the University of York, which deals with methods for calculating asymptotically valid tests for use with samples of the size available in empirical economics. The papers also address the scope for using test statistics to determine the nature of specification errors and for providing suitable corrections to estimates or parameters.
Download or read book Misspecification Tests in Econometrics written by L. G. Godfrey and published by Cambridge University Press. This book was released on 1988 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Download or read book Misspecification Analysis written by Theo K. Dijkstra and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Misspecification in Econometric Systems Using Full Information written by Raymond Peter Byron and published by . This book was released on 1971 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Guide to Econometrics written by Peter Kennedy and published by John Wiley & Sons. This book was released on 2008-02-19 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.
Download or read book Econometric Analysis of Cross Section and Panel Data second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Download or read book Microeconometrics written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2005-05-09 with total page 1058 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Download or read book Studies in Econometrics Time Series and Multivariate Statistics written by Samuel Karlin and published by Academic Press. This book was released on 2014-05-10 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Download or read book Model Misspecification Tests of Regression Functions written by Kiho Jeong and published by . This book was released on 1991 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation Inference and Specification Analysis written by Halbert White and published by Cambridge University Press. This book was released on 1996-06-28 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the consequences of misspecifications for the interpretation of likelihood-based methods of statistical estimation and interference. The analysis concludes with an examination of methods by which the possibility of misspecification can be empirically investigated.
Download or read book Panel Data Econometrics with R written by Yves Croissant and published by John Wiley & Sons. This book was released on 2018-08-10 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Download or read book Statistical Foundations of Econometric Modelling written by Aris Spanos and published by Cambridge University Press. This book was released on 1986-10-30 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough foundation in probability theory and statistical inference provides an introduction to the underlying theory of econometrics that motivates the student at a intuitive as well as a formal level.
Download or read book Robustness Tests for Quantitative Research written by Eric Neumayer and published by Cambridge University Press. This book was released on 2017-08-17 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: This highly accessible book presents robustness testing as the methodology for conducting quantitative analyses in the presence of model uncertainty.
Download or read book Principles of Econometrics written by R. Carter Hill and published by John Wiley & Sons. This book was released on 2018-02-21 with total page 1808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.
Download or read book Econometric Analysis of Model Selection and Model Testing written by M. Ishaq Bhatti and published by Routledge. This book was released on 2017-03-02 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
Download or read book Mostly Harmless Econometrics written by Joshua D. Angrist and published by Princeton University Press. This book was released on 2009-01-04 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: In addition to econometric essentials, this book covers important new extensions as well as how to get standard errors right. The authors explain why fancier econometric techniques are typically unnecessary and even dangerous.
Download or read book Econometrics written by Hamid Seddighi and published by Psychology Press. This book was released on 2000 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recognising the fact that A level mathematics is no longer a necessary prerequisite for economics courses, this text introduces this key subdivision of economics to an audience who might otherwise have been deterred by its complexity.
