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Identification and Inference for Econometric Models
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Details

  • Page extent: 588 pages
  • Size: 228 x 152 mm
  • Weight: 1.03 kg

Library of Congress

  • Dewey number: 330/.01/5195
  • Dewey version: 22
  • LC Classification: HB141 .I143 2005
  • LC Subject headings:
    • Econometric models

Library of Congress Record

Hardback

 (ISBN-13: 9780521844413 | ISBN-10: 052184441X)

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

• Useful assessment of identification and inference models for advanced graduate students • Contributors internationally celebrated • Has no direct competition from any academic press

Contents

Part I. Identification and Efficient Estimation: 1. Incredible structural inference Thomas J. Rothenberg; 2. Structural equation models in human behavior genetics Arthur S. Goldberger; 3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge; 4. On specifying graphical models for causation and the identification problem David A. Freedman; 5. Testing for weak instruments in linear IV regression James H. Stock and Motohiro Yogo; 6. Asymptotic distributions of instrumental variables statistics with many instruments James H. Stock and Motohiro Yogo; 7. Identifying a source of financial volatility Douglas G. Steigerwald and Richard J. Vagnoni; Part II. Asymptotic Approximations: 8. Asymptotic expansions for some semiparametric program evaluation estimators Hidehiko Ichimura and Oliver Linton; 9. Higher-order improvements of the parametric bootstrap for Markov processes Donald W. K. Andrews; 10. The performance of empirical likelihood and its generalizations Guido W. Imbens and Richard H. Spady; 11. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters Whitney K. Newey, Joaquim J. S. Ramalho and Richard J. Smith; 12. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods Ron C. Mittelhammer, George G. Judge and Ron Schoenberg; 13. How accurate is the asymptotic approximation to the distribution of realised variance? Ole E. Barndorff-Nielsen and Neil Shephard; 14. Testing the semiparametric Box-Cox model with the bootstrap N. E. Savin and Allan H. Wurtz; Part III. Inference Involving Potentially Nonstationary Time Series: 15. Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root Michael Jansson; 16. Robust confidence intervals for autoregressive coefficients near one Samuel B. Thompson; 17. A unified approach to testing for stationarity and unit roots Andrew C. Harvey; 18. A new look at panel testing of stationarity and the PPP hypothesis Jushan Bai and Serena Ng; 19. Testing for unit roots in panel data: an exploration using real and simulated data Brownwyn H. Hall and Jacques Mairesse; 20. Forecasting in the presence of structural breaks and policy regime shifts David F. Hendry and Grayham E. Mizon; Part IV. Nonparametric and Semiparametric Inference: 21. Nonparametric testing of an exclusion restriction Peter J. Bickel, Ya'acov Ritov and James L. Powell; 22. Pairwise difference estimators for nonlinear models Bo E. Honoré and James L. Powell; 23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.

Contributors

Thomas J. Rothenberg, Arthur S. Goldberger, Jeffrey M. Wooldridge, David A. Freedman, James H. Stock, Motohiro Yogo, Douglas G. Steigerwald, Richard J. Vagnoni, Hidehiko Ichimura, Oliver Linton, Donald W. K. Andrews, Guido W. Imbens, Richard H. Spady, Whitney K. Newey, Joaquim J. S. Ramalho, Richard J. Smith, Ron C. Mittelhammer, George G. Judge, Ron Schoenberg, Ole E. Barndorff-Nielsen, Neil Shephard, N. E. Savin, Allan H. Wurtz, Michael Jansson, Samuel B. Thompson, Andrew C. Harvey, Jushan Bai, Serena Ng, Brownwyn H. Hall, Jacques Mairesse, David F. Hendry, Grayham E. Mizon, Peter J. Bickel, Ya'acov Ritov, James L. Powell, Bo E. Honoré, Paul A. Ruud

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