Econometric analysis of model selection and model testing
著者
書誌事項
Econometric analysis of model selection and model testing
Ashgate, c2006
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注記
Includes bibliographical references (p. [335]-358) and index
内容説明・目次
内容説明
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
目次
- Contents: Introduction
- Testing econometric models
- Testing for block effects
- Model selection procedures
- Information criteria for model selection
- Controlled information criteria for model selection
- Arbitrage pricing model
- Model selection in testing the arbitrage pricing theory
- Modelling the risk premium of listed stocks
- Bibliography
- Index.
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