Statistical foundations for econometric techniques

Asad Zaman

"Statistical Foundations for Econometric Techniques" features previously unavailable material in a textbook format for econometrics students, researchers, and practitioners. Taking strong positions for and against standard econometric techniques, the book endorses a single best technique whenever possible. In many cases, the recommended optimal technique differs substantially from current practice. Detailed discussions present many new estimation strategies superior to conventional OLS and ways to use them. It evaluates econometric techniques and the procedures commonly used to analyze those techniques. It challenges established concepts. It introduces many techniques that are not available in other texts. It recommends against using the Durbin-Watson and Lagrange Multiplier tests in favor of tests with superior power. It provides many new types of estimation strategies superior to conventional OLS. It forms a judicious mixture of various methodological approaches. It illustrates Empirical Bayes estimators and robust regression techniques possessing a 50 per cent breakdown value.

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  • Lists of Symbols and Notation. Introduction. Estimators for Regression Models: Least Squares and Projections. Maximum Likelihood. Bayesian Estimators for Regression. Minimax Estimators. Robust Regression. Hypothesis Tests for Regression Models: Stringent Tests. UMP Invariant Hypothesis Tests. Some Tests for Regression Models. Applications: F and Related Tests. Similar Regression Models. Asymptotic Theory: Consistency of Tests and Estimators: Direct Methods. Consistency of Estimators: Indirect Methods. Asymptotic Distributions. More Accurate Asymptotic Approximations. Asymptotic Optimality of ML and LR. Empirical Bayes: Applications: Simple Examples. Utilizing Information of Uncertain Validity. Hierarchical Bayes and the Gibbs Sampler. Appendices: The Multivariate Normal Distribution. Uniformly Most Powerful Tests. A Review of Decision Theory. Bibliography. Index.

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書名 Statistical foundations for econometric techniques
著作者等 Zaman, Asad
シリーズ名 Economic theory, econometrics, and mathematical economics
出版元 Academic Press
刊行年月 c1996
ページ数 xxvi, 570 p.
大きさ 23 cm
ISBN 0127754156
NCID BA27325906
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言語 英語
出版国 アメリカ合衆国