Identification and Inference for Econometric Models
Essays in Honor of Thomas Rothenberg
Published on 17. June 2005
Book
Hardback
588 pages
978-0-521-84441-3 (ISBN)
Description
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.
Reviews / Votes
"There is something here for both the econometrician and the technically oriented statistician.... I encourage those in this general area to troll the table of contents for something interesting." - Journal of the American Statistical AssociationMore details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 39 mm
Weight
1094 gr
ISBN-13
978-0-521-84441-3 (9780521844413)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Donald W. K. Andrews | James H. Stock
Identification and Inference for Econometric Models
Essays in Honor of Thomas Rothenberg
E-Book
07/2005
1st Edition
Cambridge University Press
€49.99
Available for download
Persons
Donald W. K. Andrews is the William K. Lanman Jr. Professor of Economics in the Department of Economics at Yale University. The author of more than 70 professional publications, Professor Andrews is a Fellow of the Econometric Society, former co-editor of the journal Econometric Theory, and is a Fellow of the Journal of Econometrics. He did his graduate work at the University of California, Berkeley, where he obtained an MA in Statistics and a PhD from the Economics Department under the supervision of Peter J. Bickel and Thomas J. Rothenberg. James H. Stock is Professor of Economics in the Department of Economics at Harvard University. Previously he was the Roy E. Larson Professor of Political Economy at the Kennedy School of Government, Harvard, and Professor of Economics at the University of California, Berkeley. He has written more than 90 professional publications, including a popular undergraduate econometrics textbook (co-authored by Mark Watson). He is a Fellow of the Econometric Society, the former chair of the Board of Editors of The Review of Economics and Statistics, and is a Research Associate of the National Bureau of Economic Research. Stock did his graduate work at the University of California, Berkeley, where he obtained an MA in Statistics and a PhD from the Economics Department under the supervision of Thomas J. Rothenberg.
Content
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. Honore and James L. Powell; 23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.