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Identification and Inference for Econometric Models
Essays in Honor of Thomas Rothenberg

£42.99

Thomas J. Rothenberg, Arthur S. Goldberger, Jeffrey M. Wooldridge, David A. Freedman, James H. Stock, Motohiro Yogo, Douglas G. Steigerwald, Richard J. Vagnoni, Hidehiko Ichimura, Oliver Linton, Donald W. K. Andrews, Guido W. Imbens, Richard H. Spady, Whitney K. Newey, Joaquim J. S. Ramalho, Richard J. Smith, Ron C. Mittelhammer, George G. Judge, Ron Schoenberg, Ole E. Barndorff-Nielsen, Neil Shephard, N. E. Savin, Allan H. Wurtz, Michael Jansson, Samuel B. Thompson, Andrew C. Harvey, Jushan Bai, Serena Ng, Brownwyn H. Hall, Jacques Mairesse, David F. Hendry, Grayham E. Mizon, Peter J. Bickel, Ya'acov Ritov, James L. Powell, Bo E. Honoré, Paul A. Ruud
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  • Date Published: August 2010
  • availability: Available
  • format: Paperback
  • isbn: 9780521154741

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About the Authors
  • This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

    • Useful assessment of identification and inference models for advanced graduate students
    • Contributors internationally celebrated
    • Has no direct competition from any academic press
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    Product details

    • Date Published: August 2010
    • format: Paperback
    • isbn: 9780521154741
    • length: 588 pages
    • dimensions: 229 x 152 x 33 mm
    • weight: 0.85kg
    • availability: Available
  • Table of Contents

    Part I. Identification and Efficient Estimation:
    1. Incredible structural inference Thomas J. Rothenberg
    2. Structural equation models in human behavior genetics Arthur S. Goldberger
    3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge
    4. On specifying graphical models for causation and the identification problem David A. Freedman
    5. Testing for weak instruments in linear IV regression James H. Stock and Motohiro Yogo
    6. Asymptotic distributions of instrumental variables statistics with many instruments James H. Stock and Motohiro Yogo
    7. Identifying a source of financial volatility Douglas G. Steigerwald and Richard J. Vagnoni
    Part II. Asymptotic Approximations:
    8. Asymptotic expansions for some semiparametric program evaluation estimators Hidehiko Ichimura and Oliver Linton
    9. Higher-order improvements of the parametric bootstrap for Markov processes Donald W. K. Andrews
    10. The performance of empirical likelihood and its generalizations Guido W. Imbens and Richard H. Spady
    11. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters Whitney K. Newey, Joaquim J. S. Ramalho and Richard J. Smith
    12. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods Ron C. Mittelhammer, George G. Judge and Ron Schoenberg
    13. How accurate is the asymptotic approximation to the distribution of realised variance? Ole E. Barndorff-Nielsen and Neil Shephard
    14. Testing the semiparametric Box-Cox model with the bootstrap N. E. Savin and Allan H. Wurtz
    Part III. Inference Involving Potentially Nonstationary Time Series:
    15. Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root Michael Jansson
    16. Robust confidence intervals for autoregressive coefficients near one Samuel B. Thompson
    17. A unified approach to testing for stationarity and unit roots Andrew C. Harvey
    18. A new look at panel testing of stationarity and the PPP hypothesis Jushan Bai and Serena Ng
    19. Testing for unit roots in panel data: an exploration using real and simulated data Brownwyn H. Hall and Jacques Mairesse
    20. Forecasting in the presence of structural breaks and policy regime shifts David F. Hendry and Grayham E. Mizon
    Part IV. Nonparametric and Semiparametric Inference:
    21. Nonparametric testing of an exclusion restriction Peter J. Bickel, Ya'acov Ritov and James L. Powell
    22. Pairwise difference estimators for nonlinear models Bo E. Honoré and James L. Powell
    23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.

  • Editors

    Donald W. K. Andrews, Yale University, Connecticut

    James H. Stock, Harvard University, Massachusetts

    Contributors

    Thomas J. Rothenberg, Arthur S. Goldberger, Jeffrey M. Wooldridge, David A. Freedman, James H. Stock, Motohiro Yogo, Douglas G. Steigerwald, Richard J. Vagnoni, Hidehiko Ichimura, Oliver Linton, Donald W. K. Andrews, Guido W. Imbens, Richard H. Spady, Whitney K. Newey, Joaquim J. S. Ramalho, Richard J. Smith, Ron C. Mittelhammer, George G. Judge, Ron Schoenberg, Ole E. Barndorff-Nielsen, Neil Shephard, N. E. Savin, Allan H. Wurtz, Michael Jansson, Samuel B. Thompson, Andrew C. Harvey, Jushan Bai, Serena Ng, Brownwyn H. Hall, Jacques Mairesse, David F. Hendry, Grayham E. Mizon, Peter J. Bickel, Ya'acov Ritov, James L. Powell, Bo E. Honoré, Paul A. Ruud

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