eBook, PDF

Refinement of Econometric Estimation and Test Procedures (eBook, PDF)

Finite Sample and Asymptotic Analysis

Redaktion: Phillips, Garry D. A.

Beschreibung

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.

Technische Details

• Geräte: PC
• mit Kopierschutz
• Größe: 4.67MB
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Autor

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University.
Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 1. Februar 2007
• Englisch
• ISBN-13: 9780511287527
• Artikelnr.: 38197853

Rezensionen

'This book is a tribute to one of the great contributors to the subject of econometrics. The excellent papers contributed here reflect on the research of the late Michael Magdalinos and acknowledge his solid and beneficial impact on the foundational issue of finite and asymptotic sample econometrics. They will make the book widely read and referenced.' Aman Ullah, Professor of Economics, University of California, Riverside