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Finite Sample Econometrics
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Book Synopsis Finite Sample Econometrics by : Aman Ullah
Download or read book Finite Sample Econometrics written by Aman Ullah and published by OUP Oxford. This book was released on 2004-05-20 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their applications to models covered in a first year graduate course in econometrics, including repression functions, dynamic models, forecasting, simultaneous equations models, panel data models, and censored models. Both linear and nonlinear models, as well as models with normal and non-normal errors, are studied. Finite sample results are extremely useful for applied researchers doing proper econometric analysis with small or moderately large sample data. Finite sample econometrics also provides the results for very large (asymptotic) samples. This book provides simple and intuitive presentations of difficult concepts, unified and heuristic developments of methods, and applications to various econometric models. It provides a new perspective on teaching and research in econometrics, statistics, and other applied subjects.
Book Synopsis Finite Sample Econometrics by : Aman Ullah
Download or read book Finite Sample Econometrics written by Aman Ullah and published by Oxford University Press. This book was released on 2004-05-20 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a comprehensive treatment of finite sample statistics and econometrics. Within this framework, the book discusses the basic analytical tools of finite sample econometrics and explores their applications to models covered in a first year graduate course in econometrics.
Book Synopsis Finite Sample Econometrics by : Aman Ullah
Download or read book Finite Sample Econometrics written by Aman Ullah and published by . This book was released on 2004 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a comprehensive treatment of finite sample statistics and econometrics. Within this framework, the book discusses the basic analytical tools of finite sample econometrics and explores their applications to models covered in a first year graduate course in econometrics.
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 The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models by : Thomas Armstrong Peters
Download or read book The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models written by Thomas Armstrong Peters and published by . This book was released on 1986 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models [microform] by : Thomas Armstrong Peters
Download or read book The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models [microform] written by Thomas Armstrong Peters and published by National Library of Canada. This book was released on 1986 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: The least squares estimator of the autoregressive parameter, LS((gamma)), in a first-order stochastic difference equation with independent, identically distributed random innovations is known to be asymptotically unbiased, efficient and consistent (as T ( -->) (INFIN) or (sigma) ( -->) 0) under the proper model specification. Further, LS((gamma)) has a limiting normal distribution around the true parameter, (gamma), if the random innovations are drawn from a normal population. These properties are not observed, however, in sample sizes that are typical of economic time series.
Book Synopsis Finite Sample and Asymptotic Methods in Econometrics by : Richard J. Smith
Download or read book Finite Sample and Asymptotic Methods in Econometrics written by Richard J. Smith and published by . This book was released on 2002 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contributions to Econometrics by : John Denis Sargan
Download or read book Contributions to Econometrics written by John Denis Sargan and published by CUP Archive. This book was released on 1988-06-16 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Finite Sample Inference and Financial Econometrics by : Yong Bao
Download or read book Essays on Finite Sample Inference and Financial Econometrics written by Yong Bao and published by . This book was released on 2004 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometrics written by Fumio Hayashi and published by Princeton University Press. This book was released on 2011-12-12 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most authoritative and comprehensive synthesis of modern econometrics available Econometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results. Econometrics covers all the important topics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models, such as probit and tobit, are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.
Book Synopsis Annals of Econometrics by : H. Peter Boswijk
Download or read book Annals of Econometrics written by H. Peter Boswijk and published by . This book was released on 2002 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite Sample Properties of Two-stage Estimators by : Benjamin Kwok
Download or read book Finite Sample Properties of Two-stage Estimators written by Benjamin Kwok and published by . This book was released on 1992 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Theory and Practice by : P. C. B. Phillips
Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.
Book Synopsis Essays on Finite Sample Estimation in Econometrics by : Gareth D. Liu-Evans
Download or read book Essays on Finite Sample Estimation in Econometrics written by Gareth D. Liu-Evans and published by . This book was released on 2009 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computer-Aided Introduction to Econometrics by : Juan Rodriguez Poo
Download or read book Computer-Aided Introduction to Econometrics written by Juan Rodriguez Poo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of low cost computation has made many previously intractable econometric models empirically feasible and computational methods are now realized as an integral part of the theory. This book provides graduate students and researchers not only with a sound theoretical introduction to the topic, but allows the reader through an internet based interactive computing method to learn from theory to practice the different techniques discussed in the book. Among the theoretical issues presented are linear regression analysis, univariate time series modelling with some interesting extensions such as ARCH models and dimensionality reduction techniques. The electronic version of the book including all computational possibilites can be viewed at http://www.xplore-stat.de/ebooks/ebooks.html
Book Synopsis Four Essays in Finite-sample Econometrics by :
Download or read book Four Essays in Finite-sample Econometrics written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, we explore the use of three different analytical techniques for approximating the finite-sample properties of estimators and test statistics. These techniques are the saddlepoint approximation, the large-n approximation and the small-disturbance approximation. The first of these enables us to approximate the complete density or distribution function for a statistic of interest, while the other two approximations provide analytical results for the first few moments of the finite-sample distribution. We consider a range of interesting estimation and testing problems that arise in econometrics and empirical economics. Saddlepoint approximations are used to determine the distribution of the half-life estimator that arises in the empirical purchasing power parity literature, and to show that its moments are undefined. They are also applied to the problem of obtaining accurate critical points for the Anderson-Darling goodness-of-fit test. The large-n approximation is used to study the first two moments of the MLE in the binary Logit model. Finally, we use small-disturbance approximations to examine the bias and mean squared error of some commonly used price index numbers, when the latter are viewed as point estimators.
Book Synopsis Four Essays in Finite-sample Econometrics by : Qian Chen
Download or read book Four Essays in Finite-sample Econometrics written by Qian Chen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models [microform] PDF Online Free](https://books.google.com/books/content/images/frontcover/aHPCwQEACAAJ?fife=w200-h370)
