Essays On Bootstrap In Econometrics
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Essays On Bootstrap In Econometrics
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Author : Maximilien Kaffo Melou
language : en
Publisher:
Release Date : 2014
Essays On Bootstrap In Econometrics written by Maximilien Kaffo Melou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays In Spatial Econometrics
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Author : Fei Jin
language : en
Publisher:
Release Date : 2013
Essays In Spatial Econometrics written by Fei Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Abstract: This dissertation consists of three chapters covering the following topics in spatial econometrics: estimation, specification and the bootstrap.
Three Essays On Econometrics
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Author : Wei Siang Wang
language : en
Publisher:
Release Date : 2009
Three Essays On Econometrics written by Wei Siang Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Econometrics categories.
Essays In Nonlinear Time Series Econometrics
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Author : Niels Haldrup
language : en
Publisher: OUP Oxford
Release Date : 2014-06-26
Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-26 with Business & Economics categories.
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Identification And Inference For Econometric Models
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Author : Donald W. K. Andrews
language : en
Publisher: Cambridge University Press
Release Date : 2005-07-04
Identification And Inference For Econometric Models written by Donald W. K. Andrews and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-04 with Business & Economics categories.
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Recent Advances And Future Directions In Causality Prediction And Specification Analysis
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Author : Xiaohong Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-01
Recent Advances And Future Directions In Causality Prediction And Specification Analysis written by Xiaohong Chen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Three Essays In Econometrics
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Author : Vinh Nguyen
language : en
Publisher:
Release Date : 2020
Three Essays In Econometrics written by Vinh Nguyen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
"I develop tools to address three problems frequently encountered by practitioners: (1) missing variables in linear models, (2) endogeneity in simultaneous equation models, and (3) the computational cost of the bootstrap.In Chapter 1, a joint work with Jean-Marie Dufour, we consider linear regressions with missing variables. This is a ubiquitous problem and a common way to frame the endogeneity problem. Here, we do not assume the availability of any instrument, which in fact may be tricky to obtain in practice. We demonstrate that conservative inferences are possible for the realized total effect of the included variables and provide a new interpretation for this realized total effect.Our framework makes innovative use of the properties of Chi-squared distributions, including the noncentral Chi-squared distribution with zero degree of freedom, an object not typically encountered in the econometric literature. We also take the perspective that a regression with missing variables is a result of a full model with some variables observed but nonetheless intentionally omitted. In Chapter 2, I study endogeneity parameters in simultaneous equation models: the covariances and correlations between the endogenous variables and the structural error term. These parameters are of interest because they can inform us about unobserved latent variables, the bias and interpretation of least-squares estimation, and the selection between instrumental variable (IV) and least-squares as the estimation tool. For both the covariances and the correlations, I develop new inference approaches that are robust to both weak instruments as well as missing or unobserved instruments. This adds to the previous literature on endogeneity parameters that typically offers one of these robustness features, but not both.Three of the four inference methods I develop are two-stage procedures that are straightforward to implement for real data. I construct these procedures using Anderson-Rubin [Ann. Math. Stats., 1949] and Dufour [Econometrica, 1990]. The fourth inference method involves considering a Hausmantype analysis of the difference between the IV and least-squares estimators, and thus is a contribution to the now considerable exogeneity test literature. I prove many results by making efficient use of a probability result from Isserlis [Biometrika, 1918] that is not typically encountered in the econometric literature.In Chapter 3, I seek to reduce the computation time of the bootstrap by reviving the old idea of approximating a bootstrap loop with the saddlepoint approximation. Even with modern computers, this is still immensely useful in contexts where the bootstrap must be repeated tens or hundreds of thousands of times or must be iterated or applied to large data sets. My approach involves finding new and very effective uses of the technical results of Lieberman [Econom. Theory, 1997] whose study of ratios of quadratic forms in nonnormal variables has the potential for wide bootstrap applications, but such applications appear to have received little attention.The proposed methodology works in a variety of settings: single-equation and multiple-equation models, inside and outside the null hypothesis, different test statistics and bootstrap schemes, a range of parameter and bootstrap specifications, and iterated and non-iterated bootstrapping. I demonstrate the methodology with variants of the wild bootstrap, but applicability of the approach extends beyond the latter to: (1) tests of regression parameters where the bootstrap is the parametric bootstrap, the resampling bootstrap, the sieve bootstrap, or the block bootstrap, (2) tests of autocorrelation and heteroskedasticity, and (3) tests for panel data and simultaneous equation models"--
Three Essays On Econometrics
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Author : Myungsup Kim
language : en
Publisher:
Release Date : 2005
Three Essays On Econometrics written by Myungsup Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Bootstrap (Statistics) categories.
Essays In Honor Of Jerry Hausman
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Author : Badi H. Baltagi
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-12-17
Essays In Honor Of Jerry Hausman written by Badi H. Baltagi and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Essays In Honor Of Cheng Hsiao
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Author : Dek Terrell
language : en
Publisher: Emerald Group Publishing
Release Date : 2020-04-15
Essays In Honor Of Cheng Hsiao written by Dek Terrell and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-15 with Business & Economics categories.
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.