The Lagrange Multiplier Test and Its Applications to Model Specification
Author: Trevor Stanley Breusch
Publisher:
Published: 1978
Total Pages: 52
ISBN-13: 9780909541552
DOWNLOAD EBOOK →Lanterna Rally
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Misspecification Tests in Econometrics
Author: L. G. Godfrey
Publisher: Cambridge University Press
Published: 1988
Total Pages: 276
ISBN-13: 9780521424592
DOWNLOAD EBOOK →Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Specification Analysis in the Linear Model
Author: Maxwell L. King
Publisher: Routledge
Published: 2018-03-05
Total Pages: 351
ISBN-13: 1351140663
DOWNLOAD EBOOK →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.
Routledge Library Editions: Econometrics
Author: Various
Publisher: Routledge
Published: 2019-01-15
Total Pages: 5228
ISBN-13: 1351140116
DOWNLOAD EBOOK →Reissuing works originally published between 1929 and 1991, this collection of 17 volumes presents a variety of considerations on Econometrics, from introductions to specific research works on particular industries. With some volumes on models for macroeconomics and international economies, this is a widely interesting set of economic texts. Input/Output methods and databases are looked at in some volumes while others look at Bayesian techniques, linear and non-linear models. This set will be of use to those in industry and business studies, geography and sociology as well as politics and economics.
Econometric Methods And Their Applications In Finance, Macro And Related Fields
Author: Kaddour Hadri
Publisher: World Scientific
Published: 2014-04-10
Total Pages: 616
ISBN-13: 9814513482
DOWNLOAD EBOOK →The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the “chapters” of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models' ability to generate meaningful scenarios for forecasting and policy analysis.
Advances in Econometrics: Volume 1
Author: Truman F. Bewley
Publisher: Cambridge University Press
Published: 1994-06-24
Total Pages: 332
ISBN-13: 9780521467261
DOWNLOAD EBOOK →With its focus on econometrics, this volume contains key papers delivered at the Fifth World Congress in 1985.
Nonparametric Econometric Methods
Author: Qi Li
Publisher: Emerald Group Publishing
Published: 2009-12-04
Total Pages: 570
ISBN-13: 184950623X
DOWNLOAD EBOOK →Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
A Companion to Theoretical Econometrics
Author: Badi H. Baltagi
Publisher: John Wiley & Sons
Published: 2008-04-15
Total Pages: 736
ISBN-13: 047099830X
DOWNLOAD EBOOK →A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
The Linear Regression Model Under Test
Author: W. Kraemer
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 195
ISBN-13: 3642958761
DOWNLOAD EBOOK →This monograph grew out of joint work with various dedicated colleagues and students at the Vienna Institute for Advanced Studies. We would probably never have begun without the impetus of Johann Maurer, who for some time was the spiritus rector behind the Institute's macromodel of the Austrian economy. Manfred Deistler provided sustained stimulation for our research through many discussions in his econometric research seminar. Similar credits are due to Adrian Pagan, Roberto Mariano and Garry Phillips, the econometrics guest professors at the Institute in the 1982 - 1984 period, who through their lectures and advice have contributed greatly to our effort. Hans SchneeweiB offered helpful comments on an earlier version of the manuscript, and Benedikt Poetscher was always willing to lend a helping . hand when we had trouble with the mathematics of the tests. Needless to say that any errors are our own. Much of the programming for the tests and for the Monte Carlo experiments was done by Petr Havlik, Karl Kontrus and Raimund Alt. Without their assistance, our research project would have been impossible. Petr Havlik and Karl Kontrus in addition. read and criticized portions of the manuscript, and were of great help in reducing our error rate. Many of the more theoretical results in this monograph would never have come to light without the mathematical expertise of Werner Ploberger, who provided most of the statistical background of the chapter on testing for structural change . .
The Econometrics of Panel Data
Author: László Mátyás
Publisher: Springer Science & Business Media
Published: 2013-12-01
Total Pages: 564
ISBN-13: 9400903758
DOWNLOAD EBOOK →The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross section and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, and point processes.
