The Refinement of econometric estimation and test procedures : finite sample and asymptotic analysis / Garry D A Phillips and Elias Tzavalis
Material type:
TextPublication details: Cambridge : Cambridge University Press, 2007Description: xxvii, 389p. 23cmISBN: - 0521870534
- 330.01519287 PHI
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Calcutta | 330.01519287 PHI (Browse shelf(Opens below)) | Available | IIMC-120493 |
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| 330.01519232 YAO Stochastic modeling and optimization : | 330.0151927 HOL Markets, games, & strategic behavior / | 330.0151927 HOL Markets, games, & strategic behavior / | 330.01519287 PHI The Refinement of econometric estimation and test procedures : | 330.015193 BAS Economic models : | 330.015193 BIE Game theory with economic applications / | 330.015193 BIE Game theory with economic applications / |
This book relates to the much econometric theory 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 focussing 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 econometricia
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