Bootstrap Tests for Regression Models (Palgrave Texts in Econometrics)

Godfrey, L.

ISBN 10: 0230202306 / ISBN 13: 9780230202306

Verlag: Palgrave Macmillan, 2009

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Bestandsnummer des Verkäufers 9780230202306

Bibliografische Details

• Titel: Bootstrap Tests for Regression Models (Palgrave Texts in Econometrics)
• Verlag: Palgrave Macmillan
• Erscheinungsjahr: 2009
• Sprache: Englisch
• ISBN-10: 0230202306
• ISBN-13: 9780230202306
• Einband: Hardcover
• Zustand: New

Über diesen Titel

Inhaltsangabe

Modern computer systems are now so powerful that they can be used to carry out simulation-based statistical investigations without involving delays or the need to access high levels of equipment. When carrying out econometric analyses, the routine use of computer-based methods offers a valuable alternative to the standard approach in which approximations are based upon what happens as the sample size grows without limit. Applied work has to be based upon a finite number of observations. Computationally-intensive techniques and, in particular, bootstrap methods provide ways to improve the finite-sample performance of well-known tests. Bootstrap tests can also be employed when conventional theory does not lead to a test statistic, which can be compared with critical values from some standard distribution. This book uses the familiar linear regression model as a framework for introducing simulation-based tests to applied workers, students and others who carry out empirical econometric analyses.
 

Über die Autorin bzw. den Autor

LESLIE GODFREY is Professor of Econometrics at the University of York, UK and a Fellow of the Journal of Econometrics. He has served on the editorial boards of Econometric Theory and Econometric Reviews. His articles have been published in leading journals, including Econometrica, Journal of Econometrics and Review of Economics and Statistics.