Specification Analysis in the Linear Model
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Specification Analysis in the Linear Model
(In Honour of Donald Cochrane)
King, Maxwell L.; Giles, David E. A.
Taylor & Francis Inc
06/2019
370
Mole
Inglês
9780815350552
15 a 20 dias
680
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Preface 1. Introduction Maxwell L. King and David E. A. Giles Part 1: Linear Regression with Autocorrelated Errors 2. The Cochrane and Orcutt Papers E. J. Harman 3. Testing for Autocorrelation in Linear Regression Models Maxwell L. King 4. Linear regression with Correlated Errors: Bounds on Coefficient Estimates and t-values Grant H. Hillier and Maxwell L. King 5. Efficiency of Estimators in the Regression Model with First-order Autoregressive errors L. Magee, A. Ullah, and V. K. Srivastava 6. Autocorrelation Pre-test Estimation in Models with a Lagged Dependent Variable David E. A. Giles and Murray Beanie 7. Some Aspects of Mis-specification in the Linear Model Peter Praetz Part 2: General Model Specification Issues 8. Joint Conditional Probability Functions for Modeling National Economies Guy H. Orcutt 9. Specification Tests for Separate Models: A Survey Michael McAleer 10. Functional Forms in Intertemporal Duality Keith R. McLaren and Russel J. Cooper Part 3: Some Statistical Issues 11. Asymptotic Spectral Analysis of Cross-product Matrices G. S. Watson 12. Bayesian Prediction with Random Regressors Arnold Zellner and Soo-Bin Park Part 4: Applications 13. How Accurate are the British National Accounts? Richard Stone 14. The Pattern of Financial Asset Holdings in Australia Kenneth W. Clements and John C. Taylor 15. Dwelling Commencements in Australia: Lags and Autocorrelation Ross A. Williams. Appendix 1: Application of Least Squares Regression to Relationships Containing Auto-correlated Error Terms D. Cochrane and G. H. Orcutt. Appendix 2: A Sampling Study of the Merits of Autoregressive and Reduced Form Transformations in Regression Analysis Guy H. Orcutt and Donald Cochrane. Appendix 3: The Method of Iterative Maximization J. D. Sargan
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Pre-test Estimators;Functional Form Mis-specification;A. Ullah;Specification Error Test;Arnold Zellner;OLS Estimator;David E. A. Giles;Regression Model;E. J. Hannan;Autocorrelated Errors;G.S. Watson;Durbin Watson Test;Grant H. Hillier;Monte Carlo Experiment;Guy H. Orcutt;OLS Residual;John C. Taylor;Lagrange Multiplier Tests;Keith R. Mclaren;Serial Correlation;Kenneth W. Clements;Covariance Matrix;L. Magee;Recursive Regressions;Michael Mcaleer;Durbin Watson Test Statistic;Murray Beattie;Cot;Peter Praetz;Logistic Growth Model;Richard Stone;Durbin Watson Statistic;Ross A. Williams;Autocorrelation Coefficient;Russel J. Cooper;Autocorrelated Disturbances;Soo-Bin Park;OLS Estimate;V.K. Srivastava;Autoregressive Error Process;MC Study;Likelihood Ratio Test;Cox Test;Linear Unbiased Estimator
Preface 1. Introduction Maxwell L. King and David E. A. Giles Part 1: Linear Regression with Autocorrelated Errors 2. The Cochrane and Orcutt Papers E. J. Harman 3. Testing for Autocorrelation in Linear Regression Models Maxwell L. King 4. Linear regression with Correlated Errors: Bounds on Coefficient Estimates and t-values Grant H. Hillier and Maxwell L. King 5. Efficiency of Estimators in the Regression Model with First-order Autoregressive errors L. Magee, A. Ullah, and V. K. Srivastava 6. Autocorrelation Pre-test Estimation in Models with a Lagged Dependent Variable David E. A. Giles and Murray Beanie 7. Some Aspects of Mis-specification in the Linear Model Peter Praetz Part 2: General Model Specification Issues 8. Joint Conditional Probability Functions for Modeling National Economies Guy H. Orcutt 9. Specification Tests for Separate Models: A Survey Michael McAleer 10. Functional Forms in Intertemporal Duality Keith R. McLaren and Russel J. Cooper Part 3: Some Statistical Issues 11. Asymptotic Spectral Analysis of Cross-product Matrices G. S. Watson 12. Bayesian Prediction with Random Regressors Arnold Zellner and Soo-Bin Park Part 4: Applications 13. How Accurate are the British National Accounts? Richard Stone 14. The Pattern of Financial Asset Holdings in Australia Kenneth W. Clements and John C. Taylor 15. Dwelling Commencements in Australia: Lags and Autocorrelation Ross A. Williams. Appendix 1: Application of Least Squares Regression to Relationships Containing Auto-correlated Error Terms D. Cochrane and G. H. Orcutt. Appendix 2: A Sampling Study of the Merits of Autoregressive and Reduced Form Transformations in Regression Analysis Guy H. Orcutt and Donald Cochrane. Appendix 3: The Method of Iterative Maximization J. D. Sargan
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Pre-test Estimators;Functional Form Mis-specification;A. Ullah;Specification Error Test;Arnold Zellner;OLS Estimator;David E. A. Giles;Regression Model;E. J. Hannan;Autocorrelated Errors;G.S. Watson;Durbin Watson Test;Grant H. Hillier;Monte Carlo Experiment;Guy H. Orcutt;OLS Residual;John C. Taylor;Lagrange Multiplier Tests;Keith R. Mclaren;Serial Correlation;Kenneth W. Clements;Covariance Matrix;L. Magee;Recursive Regressions;Michael Mcaleer;Durbin Watson Test Statistic;Murray Beattie;Cot;Peter Praetz;Logistic Growth Model;Richard Stone;Durbin Watson Statistic;Ross A. Williams;Autocorrelation Coefficient;Russel J. Cooper;Autocorrelated Disturbances;Soo-Bin Park;OLS Estimate;V.K. Srivastava;Autoregressive Error Process;MC Study;Likelihood Ratio Test;Cox Test;Linear Unbiased Estimator
