A Simulation Approach To The Problem Of Computing Coxs Statistic For Testing Non Nested Models

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Simulation-based Inference in Econometrics

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Author : Roberto Mariano
Publisher : Cambridge University Press
ISBN 13 : 9780521591126
Total Pages : 488 pages
Book Rating : 4.5/5 (911 download)

Book Synopsis Simulation-based Inference in Econometrics by : Roberto Mariano

Download or read book Simulation-based Inference in Econometrics written by Roberto Mariano and published by Cambridge University Press. This book was released on 2000-07-20 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Model Choice in Nonnested Families

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Author : Basilio de Bragança Pereira
Publisher : Springer
ISBN 13 : 3662537362
Total Pages : 105 pages
Book Rating : 4.6/5 (625 download)

Book Synopsis Model Choice in Nonnested Families by : Basilio de Bragança Pereira

Download or read book Model Choice in Nonnested Families written by Basilio de Bragança Pereira and published by Springer. This book was released on 2016-12-30 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the problem of model choice when the statistical models are separate, also called nonnested. Chapter 1 provides an introduction, motivating examples and a general overview of the problem. Chapter 2 presents the classical or frequentist approach to the problem as well as several alternative procedures and their properties. Chapter 3 explores the Bayesian approach, the limitations of the classical Bayes factors and the proposed alternative Bayes factors to overcome these limitations. It also discusses a significance Bayesian procedure. Lastly, Chapter 4 examines the pure likelihood approach. Various real-data examples and computer simulations are provided throughout the text.

A Companion to Theoretical Econometrics

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Author : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 047099830X
Total Pages : 736 pages
Book Rating : 4.4/5 (79 download)

Book Synopsis A Companion to Theoretical Econometrics by : Badi H. Baltagi

Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.

Simulation-based Encompassing for Non-nested Models

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Author : Chiara Monfardini
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.F/5 ( download)

Book Synopsis Simulation-based Encompassing for Non-nested Models by : Chiara Monfardini

Download or read book Simulation-based Encompassing for Non-nested Models written by Chiara Monfardini and published by . This book was released on 1995 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Bootstrap Tests for Regression Models

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Author : L. Godfrey
Publisher : Springer
ISBN 13 : 0230233732
Total Pages : 342 pages
Book Rating : 4.2/5 (32 download)

Book Synopsis Bootstrap Tests for Regression Models by : L. Godfrey

Download or read book Bootstrap Tests for Regression Models written by L. Godfrey and published by Springer. This book was released on 2009-07-29 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible discussion examining computationally-intensive techniques and bootstrap methods, providing ways to improve the finite-sample performance of well-known asymptotic tests for regression models. This book uses the linear regression model as a framework for introducing simulation-based tests to help perform econometric analyses.

Simulation-based Econometric Methods

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Author : Christian Gouriéroux
Publisher : OUP Oxford
ISBN 13 : 019152509X
Total Pages : 190 pages
Book Rating : 4.1/5 (915 download)

Book Synopsis Simulation-based Econometric Methods by : Christian Gouriéroux

Download or read book Simulation-based Econometric Methods written by Christian Gouriéroux and published by OUP Oxford. This book was released on 1997-01-09 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.

Time Series and Panel Data Econometrics

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Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0198736916
Total Pages : 1095 pages
Book Rating : 4.1/5 (987 download)

Book Synopsis Time Series and Panel Data Econometrics by : M. Hashem Pesaran

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Stochastic Volatility

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Author : Neil Shephard
Publisher : OUP Oxford
ISBN 13 : 0191531421
Total Pages : 536 pages
Book Rating : 4.1/5 (915 download)

Book Synopsis Stochastic Volatility by : Neil Shephard

Download or read book Stochastic Volatility written by Neil Shephard and published by OUP Oxford. This book was released on 2005-03-10 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

The New Palgrave Dictionary of Economics

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Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)

Book Synopsis The New Palgrave Dictionary of Economics by :

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Forecasting Economic Time Series

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Author : Michael Clements
Publisher : Cambridge University Press
ISBN 13 : 9780521634809
Total Pages : 402 pages
Book Rating : 4.6/5 (348 download)

Book Synopsis Forecasting Economic Time Series by : Michael Clements

Download or read book Forecasting Economic Time Series written by Michael Clements and published by Cambridge University Press. This book was released on 1998-10-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Econometric Inference Using Simulation Techniques

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Author : Herman K. van Dijk
Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.F/5 ( download)

Book Synopsis Econometric Inference Using Simulation Techniques by : Herman K. van Dijk

Download or read book Econometric Inference Using Simulation Techniques written by Herman K. van Dijk and published by . This book was released on 1995-07-11 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive assessment of the latest simulation techniques, and examines the three main areas of econometric inference where the use of simulation methods has been successful; Bayesian inference, classical inference, and the solution and stochastic simulation of dynamic econometric models, in particular general equilibrium models.

Journal of Applied Statistical Science

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Author :
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.3/5 (91 download)

Book Synopsis Journal of Applied Statistical Science by :

Download or read book Journal of Applied Statistical Science written by and published by . This book was released on 1999 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Office of Research Working Paper

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Author :
Publisher :
ISBN 13 :
Total Pages : 596 pages
Book Rating : 4.:/5 (31 download)

Book Synopsis Office of Research Working Paper by :

Download or read book Office of Research Working Paper written by and published by . This book was released on 1994 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Econometrics

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Author :
Publisher :
ISBN 13 :
Total Pages : 860 pages
Book Rating : 4.:/5 (44 download)

Book Synopsis Journal of Econometrics by :

Download or read book Journal of Econometrics written by and published by . This book was released on 2001 with total page 860 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistical Theory and Method Abstracts

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Author :
Publisher :
ISBN 13 :
Total Pages : 510 pages
Book Rating : 4.:/5 (4 download)

Book Synopsis Statistical Theory and Method Abstracts by :

Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1992 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Robustness of Model Selection Rules

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Author : Jochen A. Jungeilges
Publisher : LIT Verlag Münster
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.X/5 (2 download)

Book Synopsis The Robustness of Model Selection Rules by : Jochen A. Jungeilges

Download or read book The Robustness of Model Selection Rules written by Jochen A. Jungeilges and published by LIT Verlag Münster. This book was released on 1992 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Empirical Finance

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Author :
Publisher :
ISBN 13 :
Total Pages : 884 pages
Book Rating : 4.:/5 (49 download)

Book Synopsis Journal of Empirical Finance by :

Download or read book Journal of Empirical Finance written by and published by . This book was released on 1996 with total page 884 pages. Available in PDF, EPUB and Kindle. Book excerpt: