Applications of Differential Geometry to Econometrics

Applications of Differential Geometry to Econometrics

by Paul Marriott
     
 

ISBN-10: 0521178290

ISBN-13: 9780521178297

Pub. Date: 10/27/2011

Publisher: Cambridge University Press

Differential geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the issues that can be hidden in an algebraic development of a problem. This volume is the first to apply these techniques to econometrics. An introductory chapter provides a brief tutorial for those…  See more details below

Overview

Differential geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the issues that can be hidden in an algebraic development of a problem. This volume is the first to apply these techniques to econometrics. An introductory chapter provides a brief tutorial for those unfamiliar with the tools of differential geometry. The following chapters offer applications of geometric methods to practical solutions and offer insight into problems of econometric inference.

Contributors:
Paul Marriott, Mark Salmon, Maozu Lu, Grayham Mizon, Grant Hillier, Ray O'Brien, R. Smith, Uwe Jensen, J. M. Corcuera, F. Giummole, Kees Jan van Garderen, Tom Rothenberg, Russell Davidson, Frank Critchley.

Product Details

ISBN-13:
9780521178297
Publisher:
Cambridge University Press
Publication date:
10/27/2011
Pages:
336
Product dimensions:
5.98(w) x 9.02(h) x 0.75(d)

Table of Contents

List of figures and tables
List of contributors
Editor's introduction1
1An introduction to differential geometry in econometrics7
2Nested models, orthogonal projection and encompassing64
3Exact properties of the maximum likelihood estimator in exponential regression models: a differential geometric approach85
4Empirical likelihood estimation and inference119
5Efficiency and robustness in a geometrical perspective151
6Measuring earnings differentials with frontier functions and Rao distances184
7First-order optimal predictive densities214
8An alternative comparison of classical tests: assessing the effects of curvature230
9Testing for unit roots in AR and MA models281
10An elementary account of Amari's expected geometry294
Index316

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