Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg - Softcover

Softcover

ISBN 10: 052115474X ISBN 13: 9780521154741

Publisher: Cambridge University Press, 2010

Synopsis

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.

About this title

Book Description

The chapters in this 2005 text 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.

About the Author

Donald W. K. Andrews is the William K. Lanman Jr. Professor of Economics in the Department of Economics at Yale University. The author of more than 70 professional publications, Professor Andrews is a Fellow of the Econometric Society, former co-editor of the journal Econometric Theory, and is a Fellow of the Journal of Econometrics. He did his graduate work at the University of California, Berkeley, where he obtained an MA in Statistics and a PhD from the Economics Department under the supervision of Peter J. Bickel and Thomas J. Rothenberg. James H. Stock is Professor of Economics in the Department of Economics at Harvard University. Previously he was the Roy E. Larson Professor of Political Economy at the Kennedy School of Government, Harvard, and Professor of Economics at the University of California, Berkeley. He has written more than 90 professional publications, including a popular undergraduate econometrics textbook (co-authored by Mark Watson). He is a Fellow of the Econometric Society, the former chair of the Board of Editors of The Review of Economics and Statistics, and is a Research Associate of the National Bureau of Economic Research. Stock did his graduate work at the University of California, Berkeley, where he obtained an MA in Statistics and a PhD from the Economics Department under the supervision of Thomas J. Rothenberg.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2010
• Language: English
• ISBN 10: 052115474X
• ISBN 13: 9780521154741
• Binding: Paperback
• Number of pages: 588
• Editor: Andrews Donald W. K., Stock James H.