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Advances in Econometrics and Quantitative Economics : Essays in Honor of Professor C.R. Rao - G. S. Maddala

Advances in Econometrics and Quantitative Economics

Essays in Honor of Professor C.R. Rao

By: G. S. Maddala (Editor), T. N. Srinivasan (Editor), Peter C. B. Phillips (Editor)

Hardcover Published: 5th July 1995
ISBN: 9781557863829
Number Of Pages: 528

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Advances in Econometrics and Quantitative Economics brings together contributions from those acknowledged to be among the world's leading econometricians and statisticians.
The focus of the volume is the application of statistical methods to econometrics. The range and quality of the contributions gives unparalleled coverage of the current state of knowledge in the field. Each article is designed to be both rigorous and accessible to give in-depth coverage of key topics such as: semiparametric and nonparametric inference; multivariate analysis; diagnostic tests; time series models; and asymptotic expansions.
The book is dedicated to Professor C.R. Rao in honor of his unique contribution to the subject. It will be an essential text and reference tool for both students and researchers in statistics and economics.

1. Specification Errors in Limited Dependent Variable Models: G. S. Maddala (Ohio State University).

2. The Optimality of Extended Score Tests With Applications to Testing for a Moving Average Unit Root: K. Tanaka (Hitotsubashi University).

3. Score Diagnostics for Linear Models Estimated by Two Stage Least Squares: J. M. Woolridge (Michigan State University).

4. Asymptotic Expansions in Statisics: A Review of Methods and Applications: R. N. Bhattacharya and M. L. Puri (Both Indiana University).

5. An Asymptotic Expansion for the Distribution of Test Criteria Which Are Asymptotically Distributed as Chi-Squared Under Contiguous Alternatives: A. Holly and L. Gardiol (Both Universite de Lausanne).

6. Estimation in Semiparametric Models: O. Linton (Yale University).

7. Pooling Nonparametric Estimates of Regression Functions with a Similar Shape: C. A. P. Pinkse and P. M. Robinson (University of British Columbia and London School of Economics).

8. On the Theory of Testing Covariance Stationarity Under Moment Condition Failure: Peter C. B. Phillips and Mico Lorentan (Yale University and University of Wisconsin).

9. Pattern Identification of ARMA Models: T. W. Anderson (Stanford University).

10. Convergence Rates for Series Estimators: W. K. Newey (Massachusetts Institute of Technology).

11. Generalized Least Squares with Nonnormal Errors: C. L. Cavanagh and T. J. Rotherberg (Columbia University and University of California at Berkeley).

12. Factor Analysis Under More General Conditions with Reference to Heteroskedasticity of Unknown Form: John G. Cragg and Stephen G. Donald (University of British Columbia and Boston University).

13. Inference in Factor Models: Christian Gourieroux, A. Monfort and E. Renault (CRES, CREST, and Universite des Sciences Sociales).

14. Expectations: Are They Rational, Adaptive or Naive?: Marc Nerlove and T. Schuerman (University of Maryland and AT & T Bell Laboratories).

15. Some Hypotheses About the Time Series Behaviour of Commodity Prices: P. K. Trivedi (Indiana University).

16. A Review of the Derivation and Calculation of Rao Distances with an Application to Portfolio Theory: U. Jensen (Christian-Albrechts Universitat).

ISBN: 9781557863829
ISBN-10: 1557863822
Series: Essays in Honor or Professor C.R. Rao
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 528
Published: 5th July 1995
Country of Publication: GB
Dimensions (cm): 23.86 x 16.39  x 3.43
Weight (kg): 0.87
Edition Number: 1

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