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 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 Estimation Interference and Specification Analysis written by Halbert White and published by . This book was released on 1994 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Maximum Likelihood Estimation of Misspecified Models written by T. Fomby and published by Elsevier. This book was released on 2003-12-12 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comparative study of pure and pretest estimators for a possibly misspecified two-way error component model / Badi H. Baltagi, Georges Bresson, Alain Pirotte -- Estimation, inference, and specification testing for possibly misspecified quantile regression / Tae-Hwan Kim, Halbert White -- Quasimaximum likelihood estimation with bounded symmetric errors / Douglas Miller, James Eales, Paul Preckel -- Consistent quasi-maximum likelihood estimation with limited information / Douglas Miller, Sang-Hak Lee -- An examination of the sign and volatility switching arch models under alternative distributional assumptions / Mohamed F. Omran, Florin Avram -- estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related / Chor-yiu Sin -- Testing in GMM models without truncation / Timothy J. Vogelsang -- Bayesian analysis of misspecified models with fixed effects / Tiemen Woutersen -- Tests of common deterministic trend slopes applied to quarterly global temperature data / Thomas B. Fomby, Timothy J. Vogelsang -- The sandwich estimate of variance / James W. Hardin -- Test statistics and critical values in selectivity models / R. Carter Hill, Lee C. Adkins, Keith A. Bender -- Introduction / Thomas B Fomby, R. Carter Hill.
Download or read book Econometric Analysis written by William H. Greene and published by Simon & Schuster Books For Young Readers. This book was released on 1993 with total page 832 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matrix algebra; Probability abd distribution theory; Statistical inference; Computation and optimization; The classical multiple linear regression model - specification and estimation; Inference and prediction; Functional form, nonlinearity, and specification; Data problems; Nonlinear regression models; Nonspherical disturbances; generalized regression, and GMM estimation; Autocorrelated disturbances; Models for panel data; Systems of regression equations; Regressions with lagged variables; Time-series models; Models with discrete dependent variables; Limited dependent variable and duration models.
Download or read book Topics in Advanced Econometrics written by Herman J. Bierens and published by Cambridge University Press. This book was released on 1996-02-23 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous treatment of a number of timely topics in advanced econometrics.
Download or read book Estimation Inference and Specification Testing for Possibly Misspecified Quantile Regression written by Tae-Hwan Kim and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometric Modeling and Inference written by Jean-Pierre Florens and published by Cambridge University Press. This book was released on 2007-07-02 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
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 Handbook Of Applied Econometrics And Statistical Inference written by Aman Ullah and published by CRC Press. This book was released on 2002-01-29 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Summarizing developments and techniques in the field, this reference covers sample surveys, nonparametric analysis, hypothesis testing, time series analysis, Bayesian inference, and distribution theory for applications in statistics, economics, medicine, biology, engineering, sociology, psychology, and information technology. It supplies a geometric proof of an extended Gauss-Markov theorem, approaches for the design and implementation of sample surveys, advances in the theory of Neyman's smooth test, and methods for pre-test and biased estimation. It includes discussions ofsample size requirements for estimation in SUR models, innovative developments in nonparametric models, and more.
Download or read book Generalized Method of Moments written by Alastair R. Hall and published by OUP Oxford. This book was released on 2004-12-23 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance. Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test and tests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrument asymptotics.
Download or read book The Refinement of Econometric Estimation and Test Procedures written by Garry D. A. Phillips and published by Cambridge University Press. This book was released on 2012-08-09 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was first published in 2007. 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.
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 Statistical Inference as Severe Testing written by Deborah G. Mayo and published by Cambridge University Press. This book was released on 2018-09-20 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mounting failures of replication in social and biological sciences give a new urgency to critically appraising proposed reforms. This book pulls back the cover on disagreements between experts charged with restoring integrity to science. It denies two pervasive views of the role of probability in inference: to assign degrees of belief, and to control error rates in a long run. If statistical consumers are unaware of assumptions behind rival evidence reforms, they can't scrutinize the consequences that affect them (in personalized medicine, psychology, etc.). The book sets sail with a simple tool: if little has been done to rule out flaws in inferring a claim, then it has not passed a severe test. Many methods advocated by data experts do not stand up to severe scrutiny and are in tension with successful strategies for blocking or accounting for cherry picking and selective reporting. Through a series of excursions and exhibits, the philosophy and history of inductive inference come alive. Philosophical tools are put to work to solve problems about science and pseudoscience, induction and falsification.
Download or read book Specification Analysis and Instrumental Variables Estimation written by David E. A. Giles and published by . This book was released on 1983 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Specification Searches written by E. E. Leamer and published by . This book was released on 1978-04-24 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offers a radically new approach to inference with nonexperimental data when the statistical model is ambiguously defined. Examines the process of model searching and its implications for inference. Identifies six different varieties of specification searches, discussing the inferential consequences of each in detail.
Download or read book Applied Time Series Analysis for the Social Sciences written by Regina Baker and published by Wiley. This book was released on 2024-06-04 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore this indispensable and comprehensive guide to time series analysis for students and practitioners in a wide variety of disciplines Applied Time Series Analysis for the Social Sciences: Specification, Estimation, and Inference delivers an accessible guide to time series analysis that includes both theory and practice. The coverage spans developments from ARIMA intervention models and generalized least squares to the London School of Economics (LSE) approach and vector autoregression. Designed to break difficult concepts into manageable pieces while offering plenty of examples and exercises, the author demonstrates the use of lag operator algebra throughout to provide a better understanding of dynamic specification and the connections between model specifications that appear to be more different than they are. The book is ideal for those with minimal mathematical experience, intended to follow a course in multiple regression, and includes exercises designed to build general skills such as mathematical expectation calculations to derive means and variances. Readers will also benefit from the inclusion of: A focus on social science applications and a mix of theory and detailed examples provided throughout An accompanying website with data sets and examples in Stata, SAS and R A simplified unit root testing strategy based on recent developments An examination of various uses and interpretations of lagged dependent variables and the common pitfalls students and researchers face in this area An introduction to LSE methodology such as the COMFAC critique, general-to-specific modeling, and the use of forecasting to evaluate and test models Perfect for students and professional researchers in the political sciences, public policy, sociology, and economics, Applied Time Series Analysis for the Social Sciences: Specification, Estimation, and Inference will also earn a place in the libraries of post graduate students and researchers in public health, public administration and policy, and education.
