Estimation, Inference and Specification Analysis

Estimation, Inference and Specification Analysis
Author: Halbert White
Publisher: Cambridge University Press
Total Pages: 396
Release: 1996-06-28
Genre: Business & Economics
ISBN: 9780521574464

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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.

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
Author: Xiaohong Chen
Publisher: Springer Science & Business Media
Total Pages: 582
Release: 2012-08-01
Genre: Business & Economics
ISBN: 1461416531

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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.

Maximum Likelihood Estimation of Misspecified Models

Maximum Likelihood Estimation of Misspecified Models
Author: T. Fomby
Publisher: Elsevier
Total Pages: 280
Release: 2003-12-12
Genre: Business & Economics
ISBN: 9780762310753

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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.

Econometric Analysis

Econometric Analysis
Author: William H. Greene
Publisher: Simon & Schuster Books For Young Readers
Total Pages: 832
Release: 1993
Genre: Business & Economics
ISBN:

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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.

Topics in Advanced Econometrics

Topics in Advanced Econometrics
Author: Herman J. Bierens
Publisher: Cambridge University Press
Total Pages: 274
Release: 1996-02-23
Genre: Business & Economics
ISBN: 9780521565110

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A rigorous treatment of a number of timely topics in advanced econometrics.

Econometric Modeling and Inference

Econometric Modeling and Inference
Author: Jean-Pierre Florens
Publisher: Cambridge University Press
Total Pages: 17
Release: 2007-07-02
Genre: Business & Economics
ISBN: 1139466771

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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.

Handbook Of Applied Econometrics And Statistical Inference

Handbook Of Applied Econometrics And Statistical Inference
Author: Aman Ullah
Publisher: CRC Press
Total Pages: 744
Release: 2002-01-29
Genre: Business & Economics
ISBN: 0203911075

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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.

Generalized Method of Moments

Generalized Method of Moments
Author: Alastair R. Hall
Publisher: OUP Oxford
Total Pages: 412
Release: 2004-12-23
Genre: Business & Economics
ISBN: 0191513938

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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.