The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis - Softcover

 
9781107406247: The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis
Softcover
ISBN 10: 1107406242 ISBN 13: 9781107406247
Publisher: Cambridge University Press, 2012

Synopsis

The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.

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Book Description

This book concerns the importance of refined asymptotic methods to approximate the finite sample behaviour of econometric estimators and tests. It also features chapters on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology.

About the Author

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

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Publisher
Cambridge University Press
Publication date
2012
Language
English
ISBN 10 
1107406242
ISBN 13 
9781107406247
Binding
Paperback
Number of pages
418
Editor
Phillips Garry D. A., Tzavalis Elias

Other Popular Editions of the Same Title

9780521870535: The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis

Featured Edition

ISBN 10:  0521870534 ISBN 13:  9780521870535
Publisher: Cambridge University Press, 2007
Hardcover