05548oam 2200709I 450 991046243130332120200520144314.01-283-60655-097866139190071-134-34045-10-203-18075-510.4324/9780203180754 (CKB)2670000000242434(EBL)1024466(OCoLC)811505523(SSID)ssj0000747504(PQKBManifestationID)11453726(PQKBTitleCode)TC0000747504(PQKBWorkID)10704627(PQKB)11225638(MiAaPQ)EBC1024466(Au-PeEL)EBL1024466(CaPaEBR)ebr10603870(CaONFJC)MIL391900(OCoLC)815477937(EXLCZ)99267000000024243420180706d2011 uy 0engur|n|---|||||txtccrAdvanced econometric theory /John S. ChipmanAbingdon, Oxon :Routledge,2011.1 online resource (409 p.)Routledge advanced texts in economics and finance ;14Description based upon print version of record.0-415-32630-3 0-415-32629-X Includes bibliographical references and index.Advanced Econometric Theory; Copyright; Contents; List of figures and tables; Preface; 1 Multivariate analysis and the linear regression model; 1.1 Introduction; 1.2 Existence of a solution to the normal equation; 1.3 The concept of wide-sense conditional expectation; 1.4 Conditional expectation with normal variables; 1.5 The relation between wide-sense and strict-sense conditional expectation; 1.6 Conditional means and minimum mean-square error; 1.7 Bayes estimation; 1.8 The relation between Bayes and Gauss-Markov estimation in the case of a single independent variable; 1.9 Exercises2 Least-squares and Gauss-Markov theory2.1 Least-squares theory; 2.2 Principles of estimation; 2.3 The concept of a generalized inverse of a matrix; 2.4 The matrix Cauchy-Schwarz inequality and an extension; 2.5 Gauss-Markov theory; 2.6 The relation between Gauss-Markov and least-squares estimators; 2.7 Minimum-bias estimation; 2.8 Multicollinearity and the imposition of dummy linear restrictions; 2.9 Specification error; 2.10 Exercises; 3 Multicollinearity and reduced-rank estimation; 3.1 Introduction; 3.2 Singular-value decomposition of a matrix; 3.3 The condition number of a matrix3.4 The Eckart-Young theorem3.5 Reduced-rank estimation; 3.6 Exercises; 4 The treatment of linear restrictions; 4.1 Estimation subject to linear restrictions; 4.2 Linear aggregation and duality; 4.3 Testing linear restrictions; 4.4 Reduction of mean-square error by imposition of linear restrictions; 4.5 Uncertain linear restrictions; 4.6 Properties of the generalized ridge estimator; 4.7 Comparison of restricted and generalized ridge estimators; 4A Appendix (to Section 4.4): Guide to the computation of percentage points of the noncentral F distribution; 4.8 Exercises; 5 Stein estimation5.1 Stein's theorem and the regression model5.2 Lemmas underlying the James-Stein theorem; 5.3 Some further developments of Stein estimation; 5.4 Exercises; 6 Autocorrelation of residuals - 1; 6.1 The first-order autoregressive model; 6.2 Efficiency of trend estimation: the ordinary least-squares estimator; 6.3 Efficiency of trend estimation: the Cochrane-Orcutt estimator; 6.4 Efficiency of trend estimation: the Prais-Winsten weighted-difference estimator; 6.5 Efficiency of trend estimation: the Prais-Winsten first-difference estimator; 6.6 Discussion of the literature; 6.7 Exercises7 Autocorrelation of residuals - 27.1 Anderson models; 7.2 Testing for autocorrelation: Anderson's theorem and the Durbin-Watson test; 7.3 Distribution and beta approximation of the Durbin-Watson statistic; 7.4 Bias in estimation of sampling variances; 7.5 Exercises; 8 Simultaneous-equations estimation; 8.1 The identification problem; 8.2 Anderson and Rubin's "limited-information maximum-likelihood" (LIML) method, 1: the handling of linear restrictions; 8.3 Anderson and Rubin's "limited-information maximum-likelihood" method, 2: constrained maximization of the likelihood function8.4 The contributions of Basmann and TheilWhen learning econometrics, what better way than to be taught by one of its masters. In this significant new volume, John Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory.Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. The text covers multicollinearity and reduced-rank estimation, the treatment of linear restrictions and minimax estimation. Also included are chapters on the autocorrRoutledge advanced texts in economics and finance.EconometricsEconomics, MathematicalElectronic books.Econometrics.Economics, Mathematical.330.015195Chipman John Somerset1926-,122854MiAaPQMiAaPQMiAaPQBOOK9910462431303321Advanced econometric theory2132149UNINA02056oam 2200529zu 450 991087299540332120241212215012.0(CKB)111026746740870(SSID)ssj0000436873(PQKBManifestationID)12139811(PQKBTitleCode)TC0000436873(PQKBWorkID)10428723(PQKB)10654033(EXLCZ)9911102674674087020160829d1995 uy engtxtccrProceedings of ISUMA-NAFIPS '95 : the Third International Symposium on Uncertainty Modeling and Analysis and Annual Conference of the North American Fuzzy Information Processing Society : September 17-20, 1995, College Park, Maryland[Place of publication not identified]IEEE Computer Society Press1995Bibliographic Level Mode of Issuance: Monograph9780818671265 0818671262 Fuzzy setsCongressesFuzzy systemsCongressesExpert systems (Computer science)CongressesMathematicsHILCCPhysical Sciences & MathematicsHILCCAlgebraHILCCFuzzy setsFuzzy systemsExpert systems (Computer science)MathematicsPhysical Sciences & MathematicsAlgebra511.3Ayyub Bilal M.University of Maryland, College Park,North American Fuzzy Information Processing Society,IEEE Computer Society,International Symposium on Uncertainty Modeling and Analysis.PQKBBOOK9910872995403321Proceedings of ISUMA-NAFIPS '95 : the Third International Symposium on Uncertainty Modeling and Analysis and Annual Conference of the North American Fuzzy Information Processing Society : September 17-20, 1995, College Park, Maryland2309323UNINA