Econometrics
著者
書誌事項
Econometrics
（Handbook of statistics, v. 11）
North-Holland, 1993
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
The main purpose of this volume is to serve as a source, reference and teaching supplement in econometrics, the branch of economics which is concerned with statistical methods applied to the empirical study of economic relationships. The papers in this volume provide comprehensive and up-to-date surveys of recent developments in various aspects of econometrics. They cover a wide variety of applications of statistical methodology to econometric problems and are written at a level intended for use by professional econometricians and statisticians, as well as advanced graduate students in econometrics.
目次
Endogenous Stratification, Semi-parametric and Non-parametric Estimation. Estimation from Endogenously Stratified Samples (S.R. Cosslett). Semi-Parametric and Non-Parametric Estimation of Quantal Response Models (J.L. Horowitz). The Selection Problem in Econometrics and Statistics (C.F. Manski). General Nonparametric Regression Estimation and Testing in Econometrics (A. Ullah, H.D. Vinod). Limited-Dependent Variables. Simultaneous Microeconometric Models with Censored or Qualitative Dependent Variables (R. Blundell, R.J. Smith). Multivariate Tobit Models in Econometrics (L.-F. Lee). Estimation of Limited Dependent Variable Models Under Rational Expectations (G.S. Maddala). Time-Series. Nonlinear Time Series and Macroeconometrics (W.A. Brock, S.M. Potter). Estimation, Inference, and Forecasting of Time Series Subject to Changes in Regime (J.D. Hamilton). Structural Time Series Models (A. Harvey, N. Shephard). Likelihood Methods and Bayesian Inference. Bayesian Testing and Testing Bayesians (J.-P. Florens, M. Mouchart). Pseudo-Likelihood Methods (C. Gourieroux, A. Monfort). Rao's Score Test: Recent Asymptotic Results (R. Mukerjee). On the Strong Consistency of M-Estimates in Linear Models Under a General Discrepancy Function (Z.D. Bai, Z.J. Liu, C.R. Rao). Some Aspects of Generalized Method of Moments Estimation (A. Hall). Efficient Estimation of Models with Conditional Moment Restrictions (W.K. Newey). Generalized Method of Moments: Econometric Applications (M. Ogaki). Testing for Heteroskedasticity (A.R. Pagan, Y. Pak). Computer-intensive Methods. Simulation Estimation Methods for Limited Dependent Variable Models (V.A. Hajivassiliou). Simulation Estimation for Panel Data Limited Dependent Variable Models (M.P. Keane). A Perspective on Applications of Bootstrap Methods in Econometrics (J. Jeong, G.S. Maddala). Stochastic Simulations for Inference in Nonlinear Errors-in-Variables Models (R.S. Mariano, B.W. Brown). Bootstrap Methods: Applications in Econometrics (H.D. Vinod). Other Problems. Identifying Outliers and Influential Observations in Econometric Models (S.G. Donald, G.S. Maddala). Statistical Aspects of Calibration in Macroeconomics (A. W. Gregory, G. W. Smith). Panel Data Models with Rational Expectations (K. Lahiri). Continuous Time Financial Models: Statistical Applications of Stochastic Processes (K.R. Sawyer).
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