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Klappentext The main theme of this book is the importance of refined asymptotic methods to econometric analysis. Zusammenfassung This book concerns the importance of refined asymptotic methods to approximate the finite sample behaviour of econometric estimators and tests. It also features chapters on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. Inhaltsverzeichnis List of figures; List of tables; Contributors; Preface; Michael Magdalinos 1949-2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias Tzavalis; 1. Conditional heteroscedasticity models with Pearson disturbances Michael A. Magdalinos and George P. Mitsopoulos; 2. The Instrumental Variables method revisited: on the nature and choice of optimal instruments Aris Spanos; 3. Nagar-type moment approximations in simultaneous equation models: some further results Garry D. A. Phillips; 4. Local GEL methods for conditional moment restrictions Richard J. Smith; 5. Limit theory for moderate deviations from a unit root under weak dependence Peter C. B. Phillips and Tassos Magdalinos; 6. The structure of multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg; 7. Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors Spyridon D. Symeonides, Hellen Kandiloriou and Elias Tzavalis; 8. Non-parametric specification testing of non-nested econometric models Qi Li and Thanasis Stengos; 9. Testing for autocorrelation in systems of equations Phoebus J. Dhrymes; 10. Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of Asset Returns G. Kapetanios and M. Hashem Pesaran; 11. Judging contending estimators by simulation: tournaments in dynamic panel data models Jan F. Kiviet; 12. A statistical proof of the transformation theorem Karim M. Abadir and Jan R. Magnus; 13. On the joint density of the sum and sum of squares of nonnegative random variables Grant Hillier; 14. Conditional Response Analysis Grayham E. Mizon and Anna Staszewska; Index....
