The Refinement of Econometric Estimation and Test Procedures (Hardcover)

Garry D.A. Phillips

ISBN 10: 0521870534 / ISBN 13: 9780521870535

Verlag: Cambridge University Press, Cambridge, 2007

Beschreibung

Hardcover. 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. This book concerns the importance of refined asymptotic methods to approximate the finite sample behaviour of econometric estimators and tests. It also features chapters 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. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

Bestandsnummer des Verkäufers 9780521870535

Bibliografische Details

• Titel: The Refinement of Econometric Estimation and Test Procedures (Hardcover)
• Verlag: Cambridge University Press, Cambridge
• Erscheinungsjahr: 2007
• Sprache: Englisch
• ISBN-10: 0521870534
• ISBN-13: 9780521870535
• Einband: Hardcover
• Zustand: new

Über diesen Titel

Inhaltsangabe

The main theme of this book is the importance of refined asymptotic methods to econometric analysis.

Über die Autorin bzw. den Autor

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.