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Efficient Estimation Of A Dynamic Error Shock Model
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Book Synopsis The Econometrics of Panel Data by : László Mátyás
Download or read book The Econometrics of Panel Data written by László Mátyás and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.
Download or read book Econometrics written by John Eatwell and published by W. W. Norton & Company. This book was released on 1990 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: "First published in the New Palgrave: a dictionary of economics ... in four volumes, 1987"--T.p. verso. Includes bibliographical references.
Book Synopsis Identification in Dynamic Shock-Error Models by : A. Maravall
Download or read book Identification in Dynamic Shock-Error Models written by A. Maravall and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: Looking at a very simple example of an error-in-variables model, I was surprised at the effect that standard dynamic features (in the form of autocorre 11 lation. in the variables) could have on the state of identification of the model. It became apparent that identification of error-in-variables models was less of a problem when some dynamic features were present, and that the cathegory of "pre determined variables" was meaningless, since lagged endogenous and truly exogenous variables had very different identification properties. Also, for'the models I was considering, both necessary and sufficient conditions for identification could be expressed as simple counting rules, trivial to compute. These results seemed somewhat striking in the context of traditional econometrics literature, and p- vided the original motivation for this monograph. The monograph, therefore, atempts to analyze econometric identification of models when the variables are measured with error and when dynamic features are present. In trying to generalize the examples I was considering, although the final results had very simple expressions, the process of formally proving them became cumbersome and lengthy (in particular for the "sufficiency" part of the proofs). Possibly this was also due to a lack of more high-powered analytical tools and/or more elegant derivations, for which I feel an apology coul be appropiate. With some minor modifications, this monograph is a Ph. D. dissertation presented to the Department of Economics of the University of Wisconsin, Madison. Thanks are due to. Dennis J. Aigner and Arthur S.
Book Synopsis Errors-in-Variables Methods in System Identification by : Torsten Söderström
Download or read book Errors-in-Variables Methods in System Identification written by Torsten Söderström and published by Springer. This book was released on 2018-04-07 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the different errors-in-variables (EIV) methods that can be used for system identification. Readers will explore the properties of an EIV problem. Such problems play an important role when the purpose is the determination of the physical laws that describe the process, rather than the prediction or control of its future behaviour. EIV problems typically occur when the purpose of the modelling is to get physical insight into a process. Identifiability of the model parameters for EIV problems is a non-trivial issue, and sufficient conditions for identifiability are given. The author covers various modelling aspects which, taken together, can find a solution, including the characterization of noise properties, extension to multivariable systems, and continuous-time models. The book finds solutions that are constituted of methods that are compatible with a set of noisy data, which traditional approaches to solutions, such as (total) least squares, do not find. A number of identification methods for the EIV problem are presented. Each method is accompanied with a detailed analysis based on statistical theory, and the relationship between the different methods is explained. A multitude of methods are covered, including: instrumental variables methods; methods based on bias-compensation; covariance matching methods; and prediction error and maximum-likelihood methods. The book shows how many of the methods can be applied in either the time or the frequency domain and provides special methods adapted to the case of periodic excitation. It concludes with a chapter specifically devoted to practical aspects and user perspectives that will facilitate the transfer of the theoretical material to application in real systems. Errors-in-Variables Methods in System Identification gives readers the possibility of recovering true system dynamics from noisy measurements, while solving over-determined systems of equations, making it suitable for statisticians and mathematicians alike. The book also acts as a reference for researchers and computer engineers because of its detailed exploration of EIV problems.
Download or read book Journal of Econometrics written by and published by . This book was released on 1989 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis JOURNAL OF ECONOMETRICS: ANNALS 1991-3, THE MEASUREMENT AND ANALYSIS OF WELFARE -- VOLUME 50 (1991) by :
Download or read book JOURNAL OF ECONOMETRICS: ANNALS 1991-3, THE MEASUREMENT AND ANALYSIS OF WELFARE -- VOLUME 50 (1991) written by and published by . This book was released on 1991 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 1993 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification in Dynamic Shock-error Models by : Augustin Maravall-Herrero
Download or read book Identification in Dynamic Shock-error Models written by Augustin Maravall-Herrero and published by . This book was released on 1978 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Shock and Vibration Digest written by and published by . This book was released on 1994 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contributions to Econometrics: Volume 1 by : John Denis Sargan
Download or read book Contributions to Econometrics: Volume 1 written by John Denis Sargan and published by CUP Archive. This book was released on 1988-06-16 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Agricultural Economics Research by :
Download or read book Journal of Agricultural Economics Research written by and published by . This book was released on 1985 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1999 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Annals of Economic and Social Measurement by :
Download or read book Annals of Economic and Social Measurement written by and published by . This book was released on 1977 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Analysis of Panel Data by : Badi Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.
Download or read book Mathematical Reviews written by and published by . This book was released on 2003 with total page 1280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Shock and Vibration Bulletin by :
Download or read book The Shock and Vibration Bulletin written by and published by . This book was released on 1981 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Current Index to Statistics, Applications, Methods and Theory by :
Download or read book Current Index to Statistics, Applications, Methods and Theory written by and published by . This book was released on 1998 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
