Statistics and Econometric Models

Christian Gourieroux; Alain Monfort; Quang Vuong

doi:10.1017/CBO9780511751950

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.

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Statistics and Econometric Models

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Contents

Frontmatter
pp i-vi

Contents
pp vii-xvi

14 - Introduction to Tests of Hypotheses
pp 1-16

15 - Uniformly Most Powerful Tests
pp 17-40

16 - Unbiased Tests and Invariant Tests
pp 41-80

17 - Likelihood Based Tests
pp 81-134

18 - General Asymptotic Tests
pp 135-178

19 - Multiple Tests
pp 179-212

20 - Set Estimation and Confidence Regions
pp 213-232

21 - Inequality Constraints: Estimation and Testing
pp 233-274

22 - Nonnested Models
pp 275-324

23 - Asymptotic Efficiency
pp 325-382

24 - Asymptotic Theory
pp 383-404

Review of Linear Algebra and Matrix Calculus
pp 405-442

Review of Probability
pp 443-517

Index
pp 518-526

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