Handbook of Applied Econometrics and Statistical Inference

✍ Scribed by Viktor K. Jirsa, A.R. McIntosh

• Publisher: CRC Press, Marcel Dekker
• Year: 2002
• Tongue: English
• Leaves: 749
• Series: Statistics: a Series of Textbooks and Monogrphs
• Edition: 1st
• Category: Library

✦ Synopsis

Summarizes the latest developments and techniques in the field. Highlights areas such as sample surveys, hypothesis testing, time series analysis, Bayesian inference, and more.

✦ Table of Contents

cover......Page 1
STATISTICS: Textbooks and Monographs......Page 3
HANDBOOK OF APPLIED ECONOMETRICS AND STATISTICAL INFERENCE......Page 8
Preface......Page 12
Contents......Page 18
Contributors......Page 22
Selected Publications of Professor Viren K. Srivastava......Page 26
1 Bayesian Inference Using Conditionally Specified Priors......Page 32
2 Approximate Confidence Regions for Minimax-Linear Estimators......Page 58
3 On Efficiently Estimable Parametric Functionals in the General Linear Model with Nuisance Parameters......Page 76
4 Estimation under LINEX Loss Function......Page 84
5 Design of Sample Surveys across Time......Page 108
6 Kernel Estimation in a Continuous Randomized Response Model......Page 128
7 Index-Free, Density-Based Multinomial Choice......Page 146
8 Censored Additive Regression Models......Page 174
9 Improved Combined Parametric and Nonparametric Regressions: Estimation and Hypothesis Testing......Page 190
10 Neyman's Smooth Test and Its Applications in Econometrics......Page 208
11 Computing the Distribution of a Quadratic Form in Normal Variables......Page 262
12 Improvements to the Wald Test......Page 282
13 On the Sensitivity of the t-Statistic......Page 308
14 Preliminary-Test and Bayes Estimation of a Location Parameter under ”Reflected Normal” Loss......Page 318
15 MSE PerformanceEstimator of Each of the Double k-ClassIndividual Regression Coefficient under Multivariate t-Errors......Page 336
16 Effects of a Trended Efficiency Properties Regressor on theof the Least-Squaresand Stein-Rule Estimation of Regression Coefficients......Page 358
17 Endogeneity and Biased Estimation under Squared Error Loss......Page 378
18 Testing for Two-step Granger Noncausality in Trivariate VAR Models......Page 402
I9 Measurement of the Quality of Autoregressive Approximation, with Econometric Applications......Page 432
20 Bayesian Inference of a Dynamic Linear Model with Edgeworth Series Disturbances......Page 454
21 Determining an Optimal Window Size for Modeling Volatility......Page 474
22 SUR Models with Integrated Regressors......Page 500
23 Estimating Systems of Stochastic Coefficients Regressions When Some of the Observations Are Missing......Page 522
24 Efficiency Considerations in the Negative Exponential Failure Time Model......Page 544
25 On Specifying Double-Hurdle Models......Page 566
26 Econometric Applications of Generalized Estimating Equations for Panel Data and Extensions to Inference......Page 584
27 Sample Size Requirements for Estimation in SUR Models......Page 606
28 Semiparametric Panel Data Estimation: An Application to Immigrants‘ Homelink Effect on U.S. Producer Trade Flows......Page 622
29 Weighting Socioeconomic Indicators of Human Development: A Latent Variable Approach......Page 640
30 A Survey of Recent Work on Identification, Estimation, and Testing of Structural Auction Models......Page 674
31 Asymmetry of Business Cycles: The Markov-Switching Approach......Page 718
Index......Page 742