Refinement of Econometric Estimation and Test Procedures by Garry D. A. Phillips
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Refinement of Econometric Estimation and Test Procedures
By Garry D. A. Phillips

The Refinement of Econometric Estimation and Test Procedures

Finite Sample and Asymptotic Analysis

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Format: Hardback

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Refinement of Econometric Estimation and Test Procedures by Garry D. A. Phillips

Book Description

The 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 Details

ISBN: 9780521870535
ISBN-10: 0521870534
Format: Hardback
(228mm x 152mm x 27mm)
Pages: 418
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 1-Feb-2007
Country of Publication: United Kingdom

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Books By Author Garry D. A. Phillips

Refinement of Econometric Estimation and Test Procedures by Garry D. A. Phillips Refinement of Econometric Estimation and Test Procedures, Paperback (August 2012)

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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