Book contents
- Frontmatter
- Contents
- List of figures
- List of tables
- List of contributors
- Preface
- Acknowledgements
- Michael Magdalinos 1949–2002
- Introduction
- 1 Conditional Heteroskedasticity Models with Pearson Disturbances
- 2 The Instrumental Variables Method Revisited: On the Nature and Choice of Optimal Instruments
- 3 Nagar-Type Moment Approximations in Simultaneous Equation Models: Some Further Results
- 4 Local GEL Methods for Conditional Moment Restrictions
- 5 Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence
- 6 The Structure of Multiparameter Tests
- 7 Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors
- 8 Non-Parametric Specification Testing of Non-Nested Econometric Models
- 9 Testing for Autocorrelation in Systems of Equations
- 10 Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns
- 11 Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
- 12 A Statistical Proof of the Transformation Theorem
- 13 On the Joint Density of the Sum and Sum of Squares of Non-Negative Random Variables
- 14 Conditional Response Analysis
- References
- Index
List of contributors
Published online by Cambridge University Press: 22 September 2009
Book contents
- Frontmatter
- Contents
- List of figures
- List of tables
- List of contributors
- Preface
- Acknowledgements
- Michael Magdalinos 1949–2002
- Introduction
- 1 Conditional Heteroskedasticity Models with Pearson Disturbances
- 2 The Instrumental Variables Method Revisited: On the Nature and Choice of Optimal Instruments
- 3 Nagar-Type Moment Approximations in Simultaneous Equation Models: Some Further Results
- 4 Local GEL Methods for Conditional Moment Restrictions
- 5 Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence
- 6 The Structure of Multiparameter Tests
- 7 Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors
- 8 Non-Parametric Specification Testing of Non-Nested Econometric Models
- 9 Testing for Autocorrelation in Systems of Equations
- 10 Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns
- 11 Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
- 12 A Statistical Proof of the Transformation Theorem
- 13 On the Joint Density of the Sum and Sum of Squares of Non-Negative Random Variables
- 14 Conditional Response Analysis
- References
- Index
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- The Refinement of Econometric Estimation and Test ProceduresFinite Sample and Asymptotic Analysis, pp. xv - xviPublisher: Cambridge University PressPrint publication year: 2007