The Refinement of Econometric Estimation and Test Procedures
Finite Sample and Asymptotic Analysis
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Refinement of Econometric Estimation and Test Procedures by Garry D. A. Phillips
Book DescriptionThe small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing 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. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.
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Book DetailsISBN: 9780521870535
(228mm x 152mm x 27mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 1-Feb-2007
Country of Publication: United Kingdom
Books By Author Garry D. A. Phillips
Refinement of Econometric Estimation and Test Procedures, Paperback (August 2012)» View all books by Garry D. A. Phillips
The main theme of this book is the importance of refined asymptotic methods to econometric analysis.
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Author Biography - Garry D. A. Phillips
Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.
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