Handbook of Applied Econometrics and Statistical Inference

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Overview

Summarizing developments and techniques in the field, this reference covers sample surveys, nonparametric analysis, hypothesis testing, time series analysis, Bayesian inference, and distribution theory for applications in statistics, economics, medicine, biology, engineering, sociology, psychology, and information technology. It supplies a geometric proof of an extended Gauss-Markov theorem, approaches for the design and implementation of sample surveys, advances in the theory of Neyman's smooth test, and methods for pre-test and biased estimation. It includes discussions ofsample size requirements for estimation in SUR models, innovative developments in nonparametric models, and more.

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Product Details

  • ISBN-13: 9780824706524
  • Publisher: CRC Press
  • Publication date: 1/28/2002
  • Series: Statistics: Textbooks and Monographs
  • Edition description: New Edition
  • Pages: 744
  • Product dimensions: 6.25 (w) x 9.25 (h) x 1.25 (d)

Table of Contents

Preface
Contributors
Selected Publications
Pt. 1 Statistical Inference and Sample Design
1 Bayesian Inference Using Conditionally Specified Priors 1
2 Approximate Confidence Regions for Minimax-Linear Estimators 27
3 On Efficiently Estimable Parametric Functionals in the General Linear Model with Nuisance Parameters 45
4 Estimation under LINEX Loss Function 53
5 Design of Sample Surveys across Time 77
Pt. 2 Nonparametric Estimation and Testing
6 Kernel Estimation in a Continuous Randomized Response Model 97
7 Index-Free, Density-Based Multinomial Choice 115
8 Censored Additive Regression Models 143
9 Improved Combined Parametric and Nonparametric Regressions: Estimation and Hypothesis Testing 159
Pt. 3 Hypothesis Testing
10 Neyman's Smooth Test and Its Applications in Econometrics 177
11 Computing the Distribution of a Quadratic Form in Normal Variables 231
12 Improvements to the Wald Test 251
13 On the Sensitivity of the t-Statistic 277
Pt. 4 Pretest and Biased Estimation
14 Preliminary-Test and Bayes Estimation of a Location Parameter under "Reflected Normal" Loss 287
15 MSE Performance of the Double k-Class Estimator of Each Individual Regression Coefficient under Multivariate t-Errors 305
16 Effects of a Trended Regressor on the Efficiency Properties of the Least-Squares and Stein-Rule Estimation of Regression Coefficients 327
17 Endogeneity and Biased Estimation under Squared Error Loss 347
Pt. 5 Time Series Analysis
18 Testing for Two-Step Granger Noncausality in Trivariate VAR Models 371
19 Measurement of the Quality of Autoregressive Approximation, with Econometric Applications 401
20 Bayesian Inference of a Dynamic Linear Model with Edgeworth Series Disturbances 423
21 Determining an Optimal Window Size for Modeling Volatility 443
22 SUR Models with Integrated Regressors 469
Pt. 6 Estimation and Inference in Econometric Models
23 Estimating Systems of Stochastic Coefficients Regressions When Some of the Observations Are Missing 491
24 Efficiency Considerations in the Negative Exponential Failure Time Model 513
25 On Specifying Double-Hurdle Models 535
26 Econometric Applications of Generalized Estimating Equations for Panel Data and Extensions to Inference 553
27 Sample Size Requirements for Estimation in SUR Models 575
Pt. 7 Applied Econometrics
28 Semiparametric Panel Data Estimation: An Application to Immigrants' Homelink Effect on U.S. Producer Trade Flows 591
29 Weighting Socioeconomic Indicators of Human Development: A Latent Variable Approach 609
30 A Survey of Recent Work on Identification, Estimation, and Testing of Structural Auction Models 643
31 Asymmetry of Business Cycles: The Markov-Switching Approach 687
Index 711
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