Advances in Econometrics and Quantitative Economics: Essays in Honor of Professor C.R. Rao / Edition 1

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A comprehensive guide to the statistical methods used in economics and quantitative economics. Acknowledged experts cover topics such as:
• Semiparametic and non-parametic interference
• Time series behaviour of commodity prices
• Applications of Edgeworth expansions and quantitative methods in development economics.

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Product Details

  • ISBN-13: 9781557863829
  • Publisher: Wiley
  • Publication date: 7/11/1995
  • Edition number: 1
  • Pages: 528
  • Product dimensions: 7.87 (w) x 9.84 (h) x 0.59 (d)

Meet the Author

G. S. Maddala is a University Eminent Scholar at the OhioState University.

Peter C. B. Phillips is Sterling Professor of Economicsand Statistics at Yale University.

T. N. Srinivasan is Samuel C. Park Jr. Professor ofEconomics at Yale University, all USA.

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Table of Contents

1. Specification Errors in Limited Dependent Variable Models: G. S.Maddala (Ohio State University).

2. The Optimality of Extended Score Tests With Applications toTesting for a Moving Average Unit Root: K. Tanaka (HitotsubashiUniversity).

3. Score Diagnostics for Linear Models Estimated by Two StageLeast Squares: J. M. Woolridge (Michigan State University).

4. Asymptotic Expansions in Statisics: A Review of Methods andApplications: R. N. Bhattacharya and M. L. Puri (Both IndianaUniversity).

5. An Asymptotic Expansion for the Distribution of Test CriteriaWhich Are Asymptotically Distributed as Chi-Squared UnderContiguous Alternatives: A. Holly and L. Gardiol (BothUniversité de Lausanne).

6. Estimation in Semiparametric Models: O. Linton (YaleUniversity).

7. Pooling Nonparametric Estimates of Regression Functions witha Similar Shape: C. A. P. Pinkse and P. M. Robinson (University ofBritish Columbia and London School of Economics).

8. On the Theory of Testing Covariance Stationarity Under MomentCondition Failure: Peter C. B. Phillips and Mico Lorentan (YaleUniversity and University of Wisconsin).

9. Pattern Identification of ARMA Models: T. W. Anderson(Stanford University).

10. Convergence Rates for Series Estimators: W. K. Newey(Massachusetts Institute of Technology).

11. Generalized Least Squares with Nonnormal Errors: C. L.Cavanagh and T. J. Rotherberg (Columbia University and Universityof California at Berkeley).

12. Factor Analysis Under More General Conditions with Referenceto Heteroskedasticity of Unknown Form: John G. Cragg and Stephen G.Donald (University of British Columbia and Boston University).

13. Inference in Factor Models: Christian Gourieroux, A. Monfortand E. Renault (CRES, CREST, and Université des SciencesSociales).

14. Expectations: Are They Rational, Adaptive or Naive?: MarcNerlove and T. Schuerman (University of Maryland and AT & TBell Laboratories).

15. Some Hypotheses About the Time Series Behaviour of CommodityPrices: P. K. Trivedi (Indiana University).

16. A Review of the Derivation and Calculation of Rao Distanceswith an Application to Portfolio Theory: U. Jensen(Christian-Albrechts Universitat).

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