North-Holland, Jan 1, 1993 - Mathematics - 783 pages
Hardbound. This volume serves as a source, reference and teaching supplement in econometrics, the branch of economics which is concerned with statistical methods applied to the empirical study of economic relationships. The chapters comprise comprehensive and up-to-date surveys of developments in various aspects of econometrics. A wide variety of applications of statistical methodology to econometric problems are covered and written at a level intended for professional econometricians and statisticians, as well as advanced graduate students in econometrics.
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S R Cosslett Department of Economics Arps Hall Ohio State University
F Manski Department of Economics University of Wisconsin 1180
Sampling schemes and likelihood functions
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algorithm alternative Amemiya Amer analysis applications approximation Assoc assumed assumption asymptotic distribution asymptotic efficiency asymptotic variance asymptotically normal Bayesian bootstrap methods C. R. Rao censored choice coherency condition compute consider consistent estimator convergence Cosslett covariance matrix defined denote density derived discussed Econ Econometrica Econometrics economic empirical endogenous variables evaluated example exogenous finite given GMM estimator Gourieroux Hansen heteroskedasticity independent inference instrumental variables kernel least squares likelihood function limited dependent variable linear model Maddala Manski maximum likelihood estimator McFadden moments Monte Carlo multivariate Newey nonlinear nonparametric estimation nonparametric regression normal distribution observations obtained Ogaki outliers panel data parameters prediction probability probit problem procedure properties rational expectations reduced form regression model resampling residuals restrictions score Section semiparametric simulation simultaneous equation models specification standard errors stochastic stratified sampling structural term test statistic theory tobit model unknown vector Vinod weights zero