Econometrics

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Publication date: 1 February 1995

Published in: Handbook of Statistics (Search for Journal in Brave)

Applications of statistics to economics (62P20) Economic time series analysis (91B84) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to statistics (62-00)

Related Items (57)

Bootstrapping cointegrating regression ⋮ Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics ⋮ Efficient information theoretic inference for conditional moment restrictions ⋮ On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood ⋮ The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models ⋮ Finite-sample simulation-based inference in VAR models with application to Granger causality testing ⋮ Optimally combining censored and uncensored datasets ⋮ Third-order average local powers of Bartlett-type adjusted tests: ordinary \textit{versus} adjusted profile likelihood ⋮ Clustering financial time series: new insights from an extended hidden Markov model ⋮ A smooth likelihood simulator for dynamic disequilibrium models ⋮ Extending the inference function for augmented margins method to implement trivariate Clayton copula-based SUR Tobit models ⋮ Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley) ⋮ Exact tests in single equation autoregressive distributed lag models ⋮ A brief biography and appreciation of Calyampudi Radhakrishna Rao, with a bibliography of his books and papers ⋮ Semiparametric Estimators for Limited Dependent Variable (LDV) Models with Endogenous Regressors ⋮ Empirically feasible solutions and explicit dynamics for rational expectation models ⋮ Nonlinear unbiased estimation in the linear regression model with nonnormal disturbances ⋮ A local generalized method of moments estimator ⋮ Empirical likelihood estimation and consistent tests with conditional moment restrictions ⋮ Goodness-of-fit tests for semiparametric biased sampling models ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ Dr C R Rao's contributions to the advancement of economic science ⋮ Unnamed Item ⋮ Efficient semiparametric estimation for endogenously stratified regression via smoothed likelihood ⋮ A comparison of higher-order local powers of a class of one-way MANOVA tests under general distributions ⋮ New bootstrap inference for spurious regression problems ⋮ Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model ⋮ Rectangular and wedge-shaped multivariate normal probabilities ⋮ Third-order local power properties of tests for a composite hypothesis. II ⋮ Monte Carlo evaluation of multivariate Student's t probabilities ⋮ Bootstrap confidence intervals in a switching regressions model ⋮ Inferences from biased samples with a memory effect ⋮ Comparison of misspecified calibrated models: the minimum distance approach ⋮ Fused variable screening for massive imbalanced data ⋮ Comparison of Bartlett-type adjusted tests in the multiparameter case ⋮ Two score and 10 years of score tests ⋮ Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results ⋮ Test statistics arising from quasi likelihood: Bartlett adjustment and higher-order power ⋮ On improving the robustness and reliability of Rao's score test ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Generalized Cordeiro-Ferrari Bartlett-type adjustment ⋮ Economic tracking portfolios ⋮ A looser cointegration concept using fractional integration parameters and quantification of market responsiveness ⋮ Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions ⋮ Efficient estimation in dynamic conditional quantile models ⋮ Nonparametric econometric modelling: A neural network approach ⋮ On testing equality of intraclass correlations under unequal family sizes ⋮ Panel data regression for counts ⋮ Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables ⋮ Robust density power divergence based tests in multivariate analysis: a comparative overview of different approaches ⋮ Bootstrapped White's test for heteroskedasticity in regression models ⋮ Foundations of multivariate inference using modern computers ⋮ Invariant tests based onM-estimators, estimating functions, and the generalized method of moments ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions. ⋮ The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis. ⋮ Bootstrap confidence intervals for the simultaneous equations model under heavy-tailed contamination ⋮ A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

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