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Nested And Non Nested Procedures For Testing Linear And Log Linear Regression Models
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Book Synopsis Nested and Non-nested Procedures for Testing Linear and Log-linear Regression Models by : Anil K. Bera
Download or read book Nested and Non-nested Procedures for Testing Linear and Log-linear Regression Models written by Anil K. Bera and published by . This book was released on 1985 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nested and Non-nested Procedures for Testing Linear and Log-linear Regression Models by : Anil K. Bera
Download or read book Nested and Non-nested Procedures for Testing Linear and Log-linear Regression Models written by Anil K. Bera and published by . This book was released on 1988 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interpreting Standard and Nonstandard Log-Linear Models by : Patrick Mair
Download or read book Interpreting Standard and Nonstandard Log-Linear Models written by Patrick Mair and published by Waxmann Verlag. This book was released on with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Log-linear models can be used to analyze the relationships among categorical variables. The nature of these relationships is described based on the interpretation. This framework includes the usual standard models, but also nonstandard and non-hierarchical models. Alexander von Eye, Michigan State University.
Book Synopsis Tests of Non-nested Linear Regression Models Subject to Linear Restrictions by : M. Hashem Pesaran
Download or read book Tests of Non-nested Linear Regression Models Subject to Linear Restrictions written by M. Hashem Pesaran and published by . This book was released on 1986 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Guide to Modern Econometrics by : Marno Verbeek
Download or read book A Guide to Modern Econometrics written by Marno Verbeek and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance. New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects. Features of this book include: Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments Empirical examples drawn from a wide variety of fields including labour economics, finance, international economics, environmental economics and macroeconomics. End-of-chapter exercises review key concepts in light of empirical examples.
Book Synopsis Aspects of Testing Non-nested Linear Regression Models by : Gael Margaret Martin
Download or read book Aspects of Testing Non-nested Linear Regression Models written by Gael Margaret Martin and published by . This book was released on 1987 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simulation Encompassing by : Maozu Lu
Download or read book Simulation Encompassing written by Maozu Lu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers simulation-based procedures to compute the Wald encompassing and the Cox test statistics for non-nested models. These simulation estimation procedures are applied to both the encompassing contrast and its covariance matrix in the case of a Wald non-nested test statistic, and both the numerator and the denominator in the Cox test statistic. The proposed procedures are illustrated by the example of comparing a linear with a log-linear model. Monte Carlo studies are conducted for both examples and the results indicate that with simulated covariance matrices, the small sample behaviour of both test statistics is close to that of their asymptotic distributions.
Book Synopsis The Modified Cox Test for Non-nested Model Selection by : Mitchell Watnik
Download or read book The Modified Cox Test for Non-nested Model Selection written by Mitchell Watnik and published by . This book was released on 1996 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Specification Analysis in the Linear Model by : Maxwell L. King
Download or read book Specification Analysis in the Linear Model written by Maxwell L. King and published by Routledge. This book was released on 2018-03-05 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1987. This collection of original papers deals with various issues of specification in the context of the linear statistical model. The volume honours the early econometric work of Donald Cochrane, late Dean of Economics and Politics at Monash University in Australia. The chapters focus on problems associated with autocorrelation of the error term in the linear regression model and include appraisals of early work on this topic by Cochrane and Orcutt. The book includes an extensive survey of autocorrelation tests; some exact finite-sample tests; and some issues in preliminary test estimation. A wide range of other specification issues is discussed, including the implications of random regressors for Bayesian prediction; modelling with joint conditional probability functions; and results from duality theory. There is a major survey chapter dealing with specification tests for non-nested models, and some of the applications discussed by the contributors deal with the British National Accounts and with Australian financial and housing markets.
Book Synopsis Econometrics in Practice by : Paul Turner
Download or read book Econometrics in Practice written by Paul Turner and published by Mercury Learning and Information. This book was released on 2021-05-13 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the econometric methods necessary for a practicing applied economist or data analyst. This requires both an understanding of statistical theory and how it is used in actual applications. Chapters 1 to 9 present the material concerned with basic statistical theory. Chapters 10 to 13 introduce a number of topics which form the basis of more advanced option modules, such as time series methods in applied econometrics. To get the most out of these topics, companion files include Excel datasets and 4-color figures. It includes pull down menus to graph the data, calculate sample statistics and estimate regression equations. FEATURES: Integration of econometrics methods with statistical foundations Worked examples of all models considered in the text Includes Excel datasheets to facilitate estimation and application of models Features instructor ancillaries for use as a textbook The companion files and/or instructor resources are available online by emailing the publisher with proof of purchase at [email protected].
Book Synopsis Statistics And Finance: An Interface - Proceedings Of The Hong Kong International Workshop On Statistics In Finance by : Wai-sum Chan
Download or read book Statistics And Finance: An Interface - Proceedings Of The Hong Kong International Workshop On Statistics In Finance written by Wai-sum Chan and published by World Scientific. This book was released on 2000-04-28 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contents:Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)Volatility Computed by Time Series Operators at High Frequency (U A Müller)Missing Values in ARFIMA Models (W Palma)Second Order Tail Effects (C G de Vries)Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)Interval Prediction of Financial Time Series (B Cheng & H Tong)A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)and other papers Readership: Researchers in finance, time series analysis, economics and actuarial science, as well as investment bankers, stock market analysts and risk managers. Keywords:Proceedings;Workshop;Statistics;Finance;Hongkong (China)
Book Synopsis Applied Linear Statistical Models by : Michael H. Kutner
Download or read book Applied Linear Statistical Models written by Michael H. Kutner and published by McGraw-Hill/Irwin. This book was released on 2005 with total page 1396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear regression with one predictor variable; Inferences in regression and correlation analysis; Diagnosticis and remedial measures; Simultaneous inferences and other topics in regression analysis; Matrix approach to simple linear regression analysis; Multiple linear regression; Nonlinear regression; Design and analysis of single-factor studies; Multi-factor studies; Specialized study designs.
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.
Download or read book Cointegration written by Bhaskara B. Rao and published by Springer. This book was released on 2016-07-27 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: `This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Book Synopsis A Comparison of Several Procedures for the Analysis of the Nested Regression Model by : Dermot Harrington
Download or read book A Comparison of Several Procedures for the Analysis of the Nested Regression Model written by Dermot Harrington and published by . This book was released on 1971 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Analysis of Model Selection and Model Testing by : M. Ishaq Bhatti
Download or read book Econometric Analysis of Model Selection and Model Testing written by M. Ishaq Bhatti and published by Routledge. This book was released on 2017-03-02 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
Download or read book Journal of Econometrics written by and published by . This book was released on 1995 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: