Finite Sample Econometrics
This book about finite sample econometrics fills a gap in the field of econometric inference in the sense that in cases where the classical regression model assumptions are violated, applied econometricians usually restrict themselves to large sample, properties of the estimators as well as of the test statistics. But as the author remarks, results based on large sample assumptions may differ considerably from those obtained for finite samples. Therefore, it is the intention of the book to provide a comprehensive and unified treatment of finite sample theory and to apply the basic tools of this to various estimators and test statistics used in various econometric models. The author considers both time series and cross section data models as well as panel data models. Furthermore, the results are explored for linear and nonlinear models as well as models with normal and nonnormal errors. The book contains seven chapters and an appendix. Chapter 1 introduces into the concept of finite sample econometrics. Chapter 2 gives the methods in obtaining the moments of econometric statistics, and the following chapter 3 provides the methods of analyzing distributions. The chapters 4 to 7 deal with finite sample results for various econometric models, including the classical regression model (chapter 4). The book is designed for graduate courses in econometrics and statistics, but it can also be used as a textbook and as a reference for graduate courses in these fields. And in this sense it can be considered as a useful supplement to standard econometric textbooks as well as for applied researchers in the fields of economics, engineering, and sociology.
- Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
- The second-order bias of quantile estimators
- Estimation bias and feasible conditional forecasts from the first-order moving average model
- Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
- HAC estimation in spatial panels
- Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
- The bias of elasticity estimators in linear regression: some analytic results
- GLS detrending and unit root testing
- Testing slope homogeneity in panel data models with a multifactor error structure
- Expectation of quadratic forms in normal and nonnormal variables with applications
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- A general method for third-order bias and variance corrections on a nonlinear estimator
- On efficiency properties of an R-square coefficient based on final prediction error
- Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
- Second-order refinements for \(t\)-ratios with many instruments
- Testing slope homogeneity in large panels
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- Finite-sample properties of the maximum likelihood estimator for the Poisson regression model with random covariates
- scientific article; zbMATH DE number 434951 (Why is no real title available?)
- A bias-adjusted LM test of error cross-section independence
- The Third-Order Bias of Nonlinear Estimators
- The second-order bias and mean squared error of estimators in time-series models
- Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates
- On the relevance of finite sample distribution theory
- The asymptotic covariance matrix of the QMLE in ARMA models
- Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference
- Bias in the estimation of the mean reversion parameter in continuous time models
- Large panels with common factors and spatial correlation
- Location properties of point estimators in linear instrumental variables and related models
- Limit theory for VARs with mixed roots near unity
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- Estimating flow data models of international trade: dual gravity and spatial interactions
- Indirect inference estimation of higher-order spatial autoregressive models
- Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
- Statistical inference on kurtosis of independent component model
- Variable selection, estimation and inference for multi-period forecasting problems
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