Econometric Analysis of Model Selection and Model Testing

Inbunden, Engelska, 2006

591 kr

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Beskrivning

In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.

Produktinformation

Utgivningsdatum:2006-02-28
Mått:156 x 234 x undefined mm
Vikt:870 g
Format:Inbunden
Språk:Engelska
Antal sidor:384
Förlag:Taylor & Francis Ltd
ISBN:9780754637158

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Makroekonomi inom Ekonomi och Ledarskap

Mer om författaren

M. Ishaq Bhatti is Senior Lecturer at La Trobe University in Melbourne, Australia. Hatem Al-Shanfari and M. Zakir Hossain are both Assistant Professors at Sultan Qaboos University, Sultanate of Oman.

Recensioner i media

'This is an advanced research work on some new directions of statistical analysis. It will prove to be useful particularly to the seriously committed in theoretical statistics...It is hoped that the book will open directions for future research in the area of establishing the rationale on model building using underlying economic and econometric reasoning with complexity as phenomenon.' Professor Masudul Alam Choudhury, Cape Breton University, Canada '...a very good introduction to anyone interested in the basics of model selection and model choice, and any applied economist wishing to apply information criteria in his or her work.' South-Eastern Europe Journal of Economics

Innehållsförteckning

Contents: Introduction; Testing econometric models; Testing for block effects; Model selection procedures; Information criteria for model selection; Controlled information criteria for model selection; Arbitrage pricing model; Model selection in testing the arbitrage pricing theory; Modelling the risk premium of listed stocks; Bibliography; Index.