The main theme of this book is the importance of refined asymptotic methods to econometric analysis. Editor(s): Phillips, Garry D. A.; Tzavalis, Elias. Num Pages: 418 pages, 33 tables. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 228 x 152 x 27. Weight in Grams: 780. . 2007. Illustrated. hardcover. . . . .

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Bibliographic Details

Title: The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis
Publisher: Cambridge University Press
Publication Date: 2007
Language: English
ISBN 10: 0521870534
ISBN 13: 9780521870535
Binding: Hardcover
Condition: New

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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.

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.

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