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- DescriptionThe small sample properties of estimators and tests are frequently too complex to be useful or are unkwn. Much ecometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalis, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading ecometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in ecometric analysis.
- Author BiographyGarry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.
- PublisherCambridge University Press
- Date of Publication01/02/2007
- SubjectEconomics: Textbooks & Study Guides
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note33 tables
- Weight780 g
- Width152 mm
- Height228 mm
- Spine27 mm
- Edited byElias Tzavalis,Garry D. A. Phillips
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