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Accurate Finite Sample Inference For Generalized Linear Models And Models On Overidentifying Moment Conditions
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Book Synopsis Generalized Method of Moments by : Alastair R. Hall
Download or read book Generalized Method of Moments written by Alastair R. Hall and published by Oxford University Press. This book was released on 2005 with total page 413 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 recentimportant 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 empiricalexamples 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 andtests 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 instrumentasymptotics.
Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Book Synopsis Generalized Method of Moments Estimation by : Laszlo Matyas
Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Book Synopsis The Refinement of Econometric Estimation and Test Procedures by : Garry D. A. Phillips
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 2007-02-01 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Journal of the American Statistical Association by :
Download or read book Journal of the American Statistical Association written by and published by . This book was released on 2006 with total page 916 pages. Available in PDF, EPUB and Kindle. Book excerpt: A scientific and educational journal not only for professional statisticians but also for economists, business executives, research directors, government officials, university professors, and others who are seriously interested in the application of statistical methods to practical problems, in the development of more useful methods, and in the improvement of basic statistical data.
Book Synopsis Applied Econometric Analysis Using Cross Section and Panel Data by : Deep Mukherjee
Download or read book Applied Econometric Analysis Using Cross Section and Panel Data written by Deep Mukherjee and published by Springer Nature. This book was released on 2024-01-03 with total page 625 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of 20 chapters on chosen topics from cross-section and panel data econometrics. It explores both theoretical and practical aspects of selected cutting-edge techniques which are gaining popularity among applied econometricians, while following the motto of “keeping things simple”. Each chapter gives a basic introduction to one such method, directs readers to supplementary references, and shows an application. The book takes into account that—A: The field of econometrics is evolving very fast and leading textbooks are trying to cover some of the recent developments in revised editions. This book offers basic introduction to state-of-the-art techniques and recent advances in econometric models with detailed applications from various developing and developed countries. B: An applied researcher or practitioner may prefer reference books with a simple introduction to an advanced econometric method or model with no theorems but with a longer discussion on empirical application. Thus, an applied econometrics textbook covering these cutting-edge methods is highly warranted; a void this book attempts to fills.The book does not aim at providing a comprehensive coverage of econometric methods. The 20 chapters in this book represent only a sample of the important topics in modern econometrics, with special focus on econometrics of cross-section and panel data, while also recognizing that it is not possible to accommodate all types of models and methods even in these two categories. The book is unique as authors have also provided the theoretical background (if any) and brief literature review behind the empirical applications. It is a must-have resource for students and practitioners of modern econometrics.
Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge
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.
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 2000 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis JOURNAL OF ECONOMETRICS by : THE JOURNAL OF ECONOMETRICS
Download or read book JOURNAL OF ECONOMETRICS written by THE JOURNAL OF ECONOMETRICS and published by . This book was released on 1999 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling Ordered Choices by : William H. Greene
Download or read book Modeling Ordered Choices written by William H. Greene and published by Cambridge University Press. This book was released on 2010-04-08 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is increasingly common for analysts to seek out the opinions of individuals and organizations using attitudinal scales such as degree of satisfaction or importance attached to an issue. Examples include levels of obesity, seriousness of a health condition, attitudes towards service levels, opinions on products, voting intentions, and the degree of clarity of contracts. Ordered choice models provide a relevant methodology for capturing the sources of influence that explain the choice made amongst a set of ordered alternatives. The methods have evolved to a level of sophistication that can allow for heterogeneity in the threshold parameters, in the explanatory variables (through random parameters), and in the decomposition of the residual variance. This book brings together contributions in ordered choice modeling from a number of disciplines, synthesizing developments over the last fifty years, and suggests useful extensions to account for the wide range of sources of influence on choice.
Book Synopsis Microeconometrics by : A. Colin Cameron
Download or read book Microeconometrics written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2005-05-09 with total page 1058 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Book Synopsis Information and Entropy Econometrics by : Amos Golan
Download or read book Information and Entropy Econometrics written by Amos Golan and published by Now Publishers Inc. This book was released on 2008 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information and Entropy Econometrics - A Review and Synthesis summarizes the basics of information theoretic methods in econometrics and the connecting theme among these methods. The sub-class of methods that treat the observed sample moments as stochastic is discussed in greater details. I Information and Entropy Econometrics - A Review and Synthesis -focuses on inter-connection between information theory, estimation and inference. -provides a detailed survey of information theoretic concepts and quantities used within econometrics and then show how these quantities are used within IEE. -pays special attention for the interpretation of these quantities and for describing the relationships between information theoretic estimators and traditional estimators. Readers need a basic knowledge of econometrics, but do not need prior knowledge of information theory. The survey is self contained and interested readers can replicate all results and examples provided. Whenever necessary the readers are referred to the relevant literature. Information and Entropy Econometrics - A Review and Synthesis will benefit researchers looking for a concise introduction to the basics of IEE and to acquire the basic tools necessary for using and understanding these methods. Applied researchers can use the book to learn improved new methods, and applications for extracting information from noisy and limited data and for learning from these data.
Book Synopsis Identification and Inference for Econometric Models by : Donald W. K. Andrews
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-06-17 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.
Download or read book Mathematical Reviews written by and published by . This book was released on 2003 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Analysis of Financial and Economic Time Series by : Thomas B. Fomby
Download or read book Econometric Analysis of Financial and Economic Time Series written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2006-03-01 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
Book Synopsis The Foundations of Econometric Analysis by : David F. Hendry
Download or read book The Foundations of Econometric Analysis written by David F. Hendry and published by Cambridge University Press. This book was released on 1997-02-20 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collection of classic papers by pioneer econometricians
