Messy Data

Missing Observations, Outliers, and Mixed-Frequency Data

AvR. Carter Hill,Thomas B. Fomby

Inbunden, Engelska, 1999

Del 13 i serien Advances in Econometrics

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Beskrivning

Often applied econometricians are faced with working with data that is less than ideal. The data may be observed with gaps in it, a model may suggest variables that are observed at different frequencies, and sometimes econometric results are very fragile to the inclusion or omission of just a few observations in the sample. Papers in this volume discuss new econometric techniques for addressing these problems.

Produktinformation

Utgivningsdatum:1999-01-19
Mått:156 x 234 x 19 mm
Vikt:625 g
Format:Inbunden
Språk:Engelska
Serie:Advances in Econometrics
Antal sidor:320
Förlag:Emerald Publishing Limited
ISBN:9780762303038

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap

Innehållsförteckning

List of contributors. Introduction (T.B. Fomby, R. Carter Hill). Testing for random individual and time effects using unbalanced panel data (B.H. Baltagi et al.). A statistical approach for disaggregating mixed-frequency economic time series data (Wai-Sum Chan, Zhao-Guo Chen). An extended Yule-Walker method for estimating a vector autoregressive model with mixed-frequency data (B. Chen, P.A. Zadrozny). Missing data from infrequency of purchase: Bayesian estimation of a linear expenditure system (W. Griffiths, M.R. Valenzuela). Messy time series: a unified approach (A. Harvey et al.). Simulation of multinomial probit probabilities and imputation of missing data (V. Lavy et al.). Temporal disaggregation, missing observations, outliers, and forecasting: a unifying non-model based procedure (M. Marcellino). Testing for unit roots in economic time-series with missing observations (K.F. Ryan, D.E.A. Giles). Influential data diagnostics for transition data (L.W. Taylor). The effects of different types of outliers on unit root tests (Yong Yin, G.S. Maddala).