Download or read book Estimating the Autocorrelated Error Model with Trended Data Further Results written by Rolla Edward Park and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Monte Carlo study is made of the small sample properties of various estimators of the linear regression model with first-order autocorrelated errors. When independent variables are trended, estimators using T transformed observations (Prais-Winsten) are much more efficient than those using T-1 (Cochrane-Orcutt). The best of the feasible estimators is iterated Prais-Winsten using a sum-of-squared-error minimizing estimate of the autocorrelation coefficient rho. None of the feasible estimators performs well in hypothesis testing; all seriously underestimate standard errors, making estimated coefficients appear to be much more significant than they actually are. (Author).

Download or read book Seemingly Unrelated Regression Equations Models written by Virendera K. Srivastava and published by CRC Press. This book was released on 2020-08-14 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the scattered literature associated with the seemingly unrelated regression equations (SURE) model used by econometricians and others. It focuses on the theoretical statistical results associated with the SURE model.

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1985 with total page 1346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Monte Carlo Study of the Estimation of an Overidentified Model with Temporally Dependent Residuals written by Jean Pierre Aubry and published by . This book was released on 1973 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometrics and Economic Theory written by Willy Sellekaerts and published by Springer. This book was released on 1974-06-18 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.

Download or read book Spatial Econometrics written by Harry Kelejian and published by Academic Press. This book was released on 2017-07-20 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial Econometrics provides a modern, powerful and flexible skillset to early career researchers interested in entering this rapidly expanding discipline. It articulates the principles and current practice of modern spatial econometrics and spatial statistics, combining rigorous depth of presentation with unusual depth of coverage. Introducing and formalizing the principles of, and 'need' for, models which define spatial interactions, the book provides a comprehensive framework for almost every major facet of modern science. Subjects covered at length include spatial regression models, weighting matrices, estimation procedures and the complications associated with their use. The work particularly focuses on models of uncertainty and estimation under various complications relating to model specifications, data problems, tests of hypotheses, along with systems and panel data extensions which are covered in exhaustive detail. Extensions discussing pre-test procedures and Bayesian methodologies are provided at length. Throughout, direct applications of spatial models are described in detail, with copious illustrative empirical examples demonstrating how readers might implement spatial analysis in research projects. Designed as a textbook and reference companion, every chapter concludes with a set of questions for formal or self--study. Finally, the book includes extensive supplementing information in a large sample theory in the R programming language that supports early career econometricians interested in the implementation of statistical procedures covered. - Combines advanced theoretical foundations with cutting-edge computational developments in R - Builds from solid foundations, to more sophisticated extensions that are intended to jumpstart research careers in spatial econometrics - Written by two of the most accomplished and extensively published econometricians working in the discipline - Describes fundamental principles intuitively, but without sacrificing rigor - Provides empirical illustrations for many spatial methods across diverse field - Emphasizes a modern treatment of the field using the generalized method of moments (GMM) approach - Explores sophisticated modern research methodologies, including pre-test procedures and Bayesian data analysis

Download or read book Specification Analysis in the Linear Model written by Maxwell L. King and published by Routledge. This book was released on 2018-03-05 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1987. This collection of original papers deals with various issues of specification in the context of the linear statistical model. The volume honours the early econometric work of Donald Cochrane, late Dean of Economics and Politics at Monash University in Australia. The chapters focus on problems associated with autocorrelation of the error term in the linear regression model and include appraisals of early work on this topic by Cochrane and Orcutt. The book includes an extensive survey of autocorrelation tests; some exact finite-sample tests; and some issues in preliminary test estimation. A wide range of other specification issues is discussed, including the implications of random regressors for Bayesian prediction; modelling with joint conditional probability functions; and results from duality theory. There is a major survey chapter dealing with specification tests for non-nested models, and some of the applications discussed by the contributors deal with the British National Accounts and with Australian financial and housing markets.

Download or read book Selected Water Resources Abstracts written by and published by . This book was released on 1969 with total page 1058 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book U S Government Research Development Reports written by and published by . This book was released on 1969 with total page 1208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonality in Regression written by Svend Hylleberg and published by Academic Press. This book was released on 2014-05-10 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonality in Regression presents the problems of seasonality in economic regression models. This book discusses the procedures that may have application in practical econometric work. Organized into eight chapters, this book begins with an overview of the tremendous increase in the computational capabilities made by the development of the electronic computer that has profound implications for the way seasonality is handled by economists. This text then examines some seasonal models and their characteristics. Other chapters consider the most frequently applied evaluation criteria and appraise the values in the applications. This book discusses as well the frequency domain estimators and provides insight into problems of estimating the disturbance–covariance matrix through the use of the disturbance spectrum. The final chapter deals with the main objective of the treatment of personality to formulate and estimate econometric models. This book is a valuable resource for economists and econometricians who have knowledge of econometrics at an advanced undergraduate or graduate level.

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 Proceedings of the Section on Statistical Education written by American Statistical Association. Section on Statistical Education and published by . This book was released on 1984 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Guide to Modern Econometrics written by Marno Verbeek and published by John Wiley & Sons. This book was released on 2017-07-31 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Guide to Modern Econometrics, 5th Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated, taking into account recent developments and insights. It includes new material on causal inference, the use and limitation of p-values, instrumental variables estimation and its implementation, regression discontinuity design, standardized coefficients, and the presentation of estimation results.

Download or read book Memorandum written by Rand Corporation and published by . This book was released on 1969 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Memorandum written by and published by . This book was released on 1961 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Linear Models and Time Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.