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Author: Stanislav Anatolyev
Publisher: CRC Press
ISBN: 1439838267
Category : Business & Economics
Languages : en
Pages : 230
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Book Description
This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.
Author: Stanislav Anatolyev
Publisher: CRC Press
ISBN: 1439838267
Category : Business & Economics
Languages : en
Pages : 230
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Book Description
This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.
Author: Russell Davidson
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 906
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Book Description
Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition. One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification. Other topics include the linear simultaneous equations model, non-nested hypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work.Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students of econometrics, economics, and statistics on regression and related topics.
Author: Halbert White
Publisher: Cambridge University Press
ISBN: 9780521574464
Category : Business & Economics
Languages : en
Pages : 396
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Book Description
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.
Author: Roberto Mariano
Publisher: Cambridge University Press
ISBN: 9780521591126
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.
Author: Donald W. K. Andrews
Publisher: Cambridge University Press
ISBN: 9780521844413
Category : Business & Economics
Languages : en
Pages : 606
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Book Description
This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.
Author: Russell B. Millar
Publisher: John Wiley & Sons
ISBN: 1119977711
Category : Mathematics
Languages : en
Pages : 286
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Book Description
This book takes a fresh look at the popular and well-established method of maximum likelihood for statistical estimation and inference. It begins with an intuitive introduction to the concepts and background of likelihood, and moves through to the latest developments in maximum likelihood methodology, including general latent variable models and new material for the practical implementation of integrated likelihood using the free ADMB software. Fundamental issues of statistical inference are also examined, with a presentation of some of the philosophical debates underlying the choice of statistical paradigm. Key features: Provides an accessible introduction to pragmatic maximum likelihood modelling. Covers more advanced topics, including general forms of latent variable models (including non-linear and non-normal mixed-effects and state-space models) and the use of maximum likelihood variants, such as estimating equations, conditional likelihood, restricted likelihood and integrated likelihood. Adopts a practical approach, with a focus on providing the relevant tools required by researchers and practitioners who collect and analyze real data. Presents numerous examples and case studies across a wide range of applications including medicine, biology and ecology. Features applications from a range of disciplines, with implementation in R, SAS and/or ADMB. Provides all program code and software extensions on a supporting website. Confines supporting theory to the final chapters to maintain a readable and pragmatic focus of the preceding chapters. This book is not just an accessible and practical text about maximum likelihood, it is a comprehensive guide to modern maximum likelihood estimation and inference. It will be of interest to readers of all levels, from novice to expert. It will be of great benefit to researchers, and to students of statistics from senior undergraduate to graduate level. For use as a course text, exercises are provided at the end of each chapter.
Author: Ron Mittelhammer (Prof.)
Publisher: Cambridge University Press
ISBN: 9780521623940
Category : Business & Economics
Languages : en
Pages : 794
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Book Description
The text and accompanying CD-ROM develop step by step a modern approach to econometric problems. They are aimed at talented upper-level undergraduates, graduate students, and professionals wishing to acquaint themselves with the pinciples and procedures for information processing and recovery from samples of economic data. The text fully provides an operational understanding of a rich set of estimation and inference tools, including tradional likelihood based and non-traditional non-likelihood based procedures, that can be used in conjuction with the computer to address economic problems.
Author: Virendera K. Srivastava
Publisher: CRC Press
ISBN: 1000148939
Category : Mathematics
Languages : en
Pages : 398
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Book Description
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.
Author: Nikolay Gospdinov
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Methods for Estimation and Inference in Modern Econometrics.
Author: Bent Jesper Christensen
Publisher: Princeton University Press
ISBN: 9780691120591
Category : Business & Economics
Languages : en
Pages : 508
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Book Description
Economic Modeling and Inference takes econometrics to a new level by demonstrating how to combine modern economic theory with the latest statistical inference methods to get the most out of economic data. This graduate-level textbook draws applications from both microeconomics and macroeconomics, paying special attention to financial and labor economics, with an emphasis throughout on what observations can tell us about stochastic dynamic models of rational optimizing behavior and equilibrium. Bent Jesper Christensen and Nicholas Kiefer show how parameters often thought estimable in applications are not identified even in simple dynamic programming models, and they investigate the roles of extensions, including measurement error, imperfect control, and random utility shocks for inference. When all implications of optimization and equilibrium are imposed in the empirical procedures, the resulting estimation problems are often nonstandard, with the estimators exhibiting nonregular asymptotic behavior such as short-ranked covariance, superconsistency, and non-Gaussianity. Christensen and Kiefer explore these properties in detail, covering areas including job search models of the labor market, asset pricing, option pricing, marketing, and retirement planning. Ideal for researchers and practitioners as well as students, Economic Modeling and Inference uses real-world data to illustrate how to derive the best results using a combination of theory and cutting-edge econometric techniques. Covers identification and estimation of dynamic programming models Treats sources of error--measurement error, random utility, and imperfect control Features financial applications including asset pricing, option pricing, and optimal hedging Describes labor applications including job search, equilibrium search, and retirement Illustrates the wide applicability of the approach using micro, macro, and marketing examples
