Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and Asymptotic Theory

The second volume in a major two-volume set of advanced texts in econometrics.

Sommario

1. Introduction to tests of hypotheses; 2. Uniformly most powerful tests; 3. Unbiased tests and invariant tests; 4. Likelihood based tests; 5. General asymptotic tests; 6. Multiple tests; 7. Set estimation and confidence regions; 8. Inequality constraints: estimation and testing; 9. Nonnested tests and model selection criteria; 10. Asymptotic efficiency; 11. Asymptotic theory; Appendix A. Review of linear algebra and matrix calculus; Appendix B. Review of probability.

Riassunto

This is the second volume in a major two-volume set of advanced texts in econometrics. It is a work of synthesis that covers both the basic and more sophisticated models. The books are distinctive for their attention to intuitive reasoning and the presentation of many real-world economic examples.

Dettagli sul prodotto

• Autori: Christian Gourieroux, Alain Monfort, Monfort Alain
• Con la collaborazione di: Christian Gourieroux (Editore), Peter C. B. Phillips (Editore), Quang Vuong (Traduzione), Vuong Quang (Traduzione)
• Editore: Cambridge Academic
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 26.10.1995
• EAN: 9780521471626
• ISBN: 978-0-521-47162-6
• Dimensioni: 30 mm x 229 mm x 152 mm
• Peso: 890 g
• Illustrazioni: 26 b/w illus. 15 tables, Zeichnungen, nicht spezifiziert, Tabellen, nicht spezifiziert
• Serie: Themes in Modern Econometrics; Themes in Modern Econometrics
• Categorie: Scienze sociali, diritto, economia > Economia > Altro; BUSINESS & ECONOMICS / Econometrics, Econometrics, Econometrics and economic statistics