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Statistics and Econometric Models : Statistics and Econometric Models Testing, Confidence Regions, Model Selection and Asymptotic Theory v.2 - Christian Gourieroux

Statistics and Econometric Models

Statistics and Econometric Models Testing, Confidence Regions, Model Selection and Asymptotic Theory v.2

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Published: 25th December 1995
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    $80.25

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.

Introduction to tests of hypotheses
Uniformly most powerful tests
Unbiased tests and invariant tests
Likelihood based tests
General asymptotic tests
Multiple tests
Set estimation and confidence regions
Inequality constraints: estimation and testing
Nonnested tests and model selection criteria
Asymptotic efficiency
Asymptotic theory
Review of linear algebra and matrix calculus
Review of probability
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521477451
ISBN-10: 052147745X
Series: Themes in Modern Econometrics : Book 2
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 544
Published: 25th December 1995
Publisher: CAMBRIDGE UNIV PR
Country of Publication: GB
Dimensions (cm): 23.04 x 15.11  x 3.25
Weight (kg): 0.79