Identification And Inference For Econometric Models

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Identification and Inference for Econometric Models

Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 1139444603
Total Pages : 589 pages
Book Rating : 4.1/5 (394 download)

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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 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

Identification and Inference for Econometric Models

Author : Donald W. K. Andrews
Publisher :
ISBN 13 : 9780511122125
Total Pages : 573 pages
Book Rating : 4.1/5 (221 download)

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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 . This book was released on 2005 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Identification and Inference for Econometric Models

Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 9780521844413
Total Pages : 606 pages
Book Rating : 4.8/5 (444 download)

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Book Synopsis Identification and Inference for Econometric Models by : Donald W. K. Andrews

Economic Modeling and Inference

Author : Bent Jesper Christensen
Publisher : Princeton University Press
ISBN 13 : 9780691120591
Total Pages : 508 pages
Book Rating : 4.1/5 (25 download)

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Book Synopsis Economic Modeling and Inference by : Bent Jesper Christensen

Download or read book Economic Modeling and Inference written by Bent Jesper Christensen and published by Princeton University Press. This book was released on 2009 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Modeling and Inference takes econometrics to a new level by demonstrating how to combine modern economic theory with the latest statistical inference methods to get the most out of economic data. This graduate-level textbook draws applications from both microeconomics and macroeconomics, paying special attention to financial and labor economics, with an emphasis throughout on what observations can tell us about stochastic dynamic models of rational optimizing behavior and equilibrium. Bent Jesper Christensen and Nicholas Kiefer show how parameters often thought estimable in applications are not identified even in simple dynamic programming models, and they investigate the roles of extensions, including measurement error, imperfect control, and random utility shocks for inference. When all implications of optimization and equilibrium are imposed in the empirical procedures, the resulting estimation problems are often nonstandard, with the estimators exhibiting nonregular asymptotic behavior such as short-ranked covariance, superconsistency, and non-Gaussianity. Christensen and Kiefer explore these properties in detail, covering areas including job search models of the labor market, asset pricing, option pricing, marketing, and retirement planning. Ideal for researchers and practitioners as well as students, Economic Modeling and Inference uses real-world data to illustrate how to derive the best results using a combination of theory and cutting-edge econometric techniques. Covers identification and estimation of dynamic programming models Treats sources of error--measurement error, random utility, and imperfect control Features financial applications including asset pricing, option pricing, and optimal hedging Describes labor applications including job search, equilibrium search, and retirement Illustrates the wide applicability of the approach using micro, macro, and marketing examples

Econometric Modeling and Inference

Author : Jean-Pierre Florens
Publisher : Cambridge University Press
ISBN 13 : 1139466771
Total Pages : 17 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Econometric Modeling and Inference by : Jean-Pierre Florens

Download or read book Econometric Modeling and Inference written by Jean-Pierre Florens and published by Cambridge University Press. This book was released on 2007-07-02 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Methods for Estimation and Inference in Modern Econometrics

Author : Stanislav Anatolyev
Publisher : CRC Press
ISBN 13 : 1439838267
Total Pages : 230 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Methods for Estimation and Inference in Modern Econometrics by : Stanislav Anatolyev

Download or read book Methods for Estimation and Inference in Modern Econometrics written by Stanislav Anatolyev and published by CRC Press. This book was released on 2011-06-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.

Simultaneous Inference in Econometric Models

Author : Walter Katzenbeisser
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Simultaneous Inference in Econometric Models by : Walter Katzenbeisser

Download or read book Simultaneous Inference in Econometric Models written by Walter Katzenbeisser and published by . This book was released on 1981 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Economic Modeling and Inference

Author : Bent Jesper Christensen
Publisher : Princeton University Press
ISBN 13 : 1400833108
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Economic Modeling and Inference by : Bent Jesper Christensen

Download or read book Economic Modeling and Inference written by Bent Jesper Christensen and published by Princeton University Press. This book was released on 2021-07-13 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Modeling and Inference takes econometrics to a new level by demonstrating how to combine modern economic theory with the latest statistical inference methods to get the most out of economic data. This graduate-level textbook draws applications from both microeconomics and macroeconomics, paying special attention to financial and labor economics, with an emphasis throughout on what observations can tell us about stochastic dynamic models of rational optimizing behavior and equilibrium. Bent Jesper Christensen and Nicholas Kiefer show how parameters often thought estimable in applications are not identified even in simple dynamic programming models, and they investigate the roles of extensions, including measurement error, imperfect control, and random utility shocks for inference. When all implications of optimization and equilibrium are imposed in the empirical procedures, the resulting estimation problems are often nonstandard, with the estimators exhibiting nonregular asymptotic behavior such as short-ranked covariance, superconsistency, and non-Gaussianity. Christensen and Kiefer explore these properties in detail, covering areas including job search models of the labor market, asset pricing, option pricing, marketing, and retirement planning. Ideal for researchers and practitioners as well as students, Economic Modeling and Inference uses real-world data to illustrate how to derive the best results using a combination of theory and cutting-edge econometric techniques. Covers identification and estimation of dynamic programming models Treats sources of error--measurement error, random utility, and imperfect control Features financial applications including asset pricing, option pricing, and optimal hedging Describes labor applications including job search, equilibrium search, and retirement Illustrates the wide applicability of the approach using micro, macro, and marketing examples

Advances in Econometrics

Author : Werner Hildenbrand
Publisher : Cambridge University Press
ISBN 13 : 9780521312677
Total Pages : 316 pages
Book Rating : 4.3/5 (126 download)

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Book Synopsis Advances in Econometrics by : Werner Hildenbrand

Download or read book Advances in Econometrics written by Werner Hildenbrand and published by Cambridge University Press. This book was released on 1985-08-30 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume includes papers delivered at the Fourth World Congress of the Econometric Society. It will interest economic theorists and econometricians working in universities, government, and business and financial institutions.

Identification and Estimation of Large Scale Econometric Models

Author : Parthasardhi Mallela
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (177 download)

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Book Synopsis Identification and Estimation of Large Scale Econometric Models by : Parthasardhi Mallela

Download or read book Identification and Estimation of Large Scale Econometric Models written by Parthasardhi Mallela and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Models For Industrial Organization

Author : Matthew Shum
Publisher : World Scientific
ISBN 13 : 981310967X
Total Pages : 154 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Econometric Models For Industrial Organization by : Matthew Shum

Download or read book Econometric Models For Industrial Organization written by Matthew Shum and published by World Scientific. This book was released on 2016-12-14 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.

The Econometric Analysis of Network Data

Author : Bryan Graham
Publisher : Academic Press
ISBN 13 : 0128117710
Total Pages : 244 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis The Econometric Analysis of Network Data by : Bryan Graham

Download or read book The Econometric Analysis of Network Data written by Bryan Graham and published by Academic Press. This book was released on 2020-06-03 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Econometric Analysis of Network Data serves as an entry point for advanced students, researchers, and data scientists seeking to perform effective analyses of networks, especially inference problems. It introduces the key results and ideas in an accessible, yet rigorous way. While a multi-contributor reference, the work is tightly focused and disciplined, providing latitude for varied specialties in one authorial voice. Answers both 'why' and 'how' questions in network analysis, bridging the gap between practice and theory allowing for the easier entry of novices into complex technical literature and computation Fully describes multiple worked examples from the literature and beyond, allowing empirical researchers and data scientists to quickly access the 'state of the art' versioned for their domain environment, saving them time and money Disciplined structure provides latitude for multiple sources of expertise while retaining an integrated and pedagogically focused authorial voice, ensuring smooth transition and easy progression for readers Fully supported by companion site code repository 40+ diagrams of 'networks in the wild' help visually summarize key points

Evaluation of Econometric Models

Author : Jan Kmenta
Publisher : Academic Press
ISBN 13 : 1483267342
Total Pages : 425 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Evaluation of Econometric Models by : Jan Kmenta

Download or read book Evaluation of Econometric Models written by Jan Kmenta and published by Academic Press. This book was released on 2014-05-10 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.

Econometric Modeling and Inference

Author :
Publisher :
ISBN 13 : 9780511334856
Total Pages : 496 pages
Book Rating : 4.3/5 (348 download)

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Book Synopsis Econometric Modeling and Inference by :

Download or read book Econometric Modeling and Inference written by and published by . This book was released on 2007 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Essays on Identification and Inference in the Simultaneous Equations Model with Weak Instruments

Author : Jabonn Kim
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (19 download)

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Book Synopsis Econometric Essays on Identification and Inference in the Simultaneous Equations Model with Weak Instruments by : Jabonn Kim

Download or read book Econometric Essays on Identification and Inference in the Simultaneous Equations Model with Weak Instruments written by Jabonn Kim and published by . This book was released on 2004 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Causal Inference in Econometrics

Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319272845
Total Pages : 626 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Causal Inference in Econometrics by : Van-Nam Huynh

Download or read book Causal Inference in Econometrics written by Van-Nam Huynh and published by Springer. This book was released on 2015-12-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.

Handbook Of Applied Econometrics And Statistical Inference

Author : Aman Ullah
Publisher : CRC Press
ISBN 13 : 0203911075
Total Pages : 744 pages
Book Rating : 4.2/5 (39 download)

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Book Synopsis Handbook Of Applied Econometrics And Statistical Inference by : Aman Ullah

Download or read book Handbook Of Applied Econometrics And Statistical Inference written by Aman Ullah and published by CRC Press. This book was released on 2002-01-29 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.