Methods for Estimation and Inference in Modern Econometrics by Stanislav AnatolyevMethods for Estimation and Inference in Modern Econometrics by Stanislav Anatolyev

Methods for Estimation and Inference in Modern Econometrics

byStanislav Anatolyev, Nikolay GospodinovEditorStanislav Anatolyev

Hardcover | July 6, 2011

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Methods for Estimation and Inference in Modern Econometricsprovides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also addresses several problems often arising in the analysis of economic data, including weak identification, model misspecification, and possible nonstationarity. The book's appendix provides a review of some basic concepts and results from linear algebra, probability theory, and statistics that are used throughout the book.

Topics covered include:

  • Well-established nonparametric and parametric approaches to estimation and conventional (asymptotic and bootstrap) frameworks for statistical inference
  • Estimation of models based on moment restrictions implied by economic theory, including various method-of-moments estimators for unconditional and conditional moment restriction models, and asymptotic theory for correctly specified and misspecified models
  • Non-conventional asymptotic tools that lead to improved finite sample inference, such as higher-order asymptotic analysis that allows for more accurate approximations via various asymptotic expansions, and asymptotic approximations based on drifting parameter sequences

Offering a unified approach to studying econometric problems,Methods for Estimation and Inference in Modern Econometricslinks most of the existing estimation and inference methods in a general framework to help readers synthesize all aspects of modern econometric theory. Various theoretical exercises and suggested solutions are included to facilitate understanding.

Stanislav Anatolyevis Professor at the New Economic School, Moscow. He completed his Ph.D. degree at the University of Wisconsin-Madison in 2000, and now holds a Chair of Access Industries Professor of Economics at the New Economic School. Dr. Anatolyev has published his work inEconometrica,Econometric Theory, Journal of Business and E...
Title:Methods for Estimation and Inference in Modern EconometricsFormat:HardcoverDimensions:234 pages, 9.5 × 6.5 × 0.85 inPublished:July 6, 2011Publisher:Taylor and FrancisLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:1439838240

ISBN - 13:9781439838242

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Table of Contents

Review of Conventional Econometric Methods
Standard Approaches to Estimation and Statistical Inference
Parametric Estimators
Long-Run Variance
Nonparametric Regression
Hypothesis Testing and Confidence Intervals
Bootstrap Inference

Estimation of Moment Condition Models
Generalized Empirical Likelihood Estimators

Empirical Likelihood and Generalized Empirical Likelihood
Relation of GEL to Other Methods and Notions
GEL for Time Series Data
Bias Properties of Method of Moments Estimators
Appendix: Solutions to Selected Exercises

Estimation of Models Defined by Conditional Moment Restrictions
Optimal Instruments
Alternative Approaches
Appendix: Solutions to Selected Exercises

Inference in Misspecified Models
Quasi-Maximum Likelihood
Pseudo Likelihood Methods
Comparison of Misspecified Models
Appendix: Solutions to Selected Exercises

Higher-Order and Alternative Asymptotics
Higher-Order Asymptotic Approximations
Stochastic Expansions
Higher-Order Approximations of Sampling Distributions
Appendix: Solutions to Selected Exercises

Asymptotics Under Drifting Parameter Sequences
Weak Identification and Many Instruments
Local-to-Unity and Local-to-Zero Parameterizations in Nearly Nonstationary Models
Appendix: Solutions to Selected Exercises

Results from Linear Algebra, Probability Theory and Statistics
Spaces and Norms
Matrix Notation and Definitions
Some Distributional Results
Convergence of Sequences of Random Variables
Orders of Magnitude
Laws of Large Numbers
Central Limit Theorems
Characteristic and Cumulant Generating Functions
Dependent Sequences
Nonstationary Processes


Editorial Reviews

"¿ a very successful attempt to systematically survey several rapidly evolving research areas in modern econometrics by summarizing a wide range of research papers and condensing them into a relatively short textbook. ¿ an excellent reference. ¿ The book has many good pedagogical features, including well-thought-out introductions to each chapter summarizing its main ideas. The language and exposition are very clear and concise. The book contains many problems that on one hand should enhance the understanding of the material and on the other be very helpful in developing the skills needed by a theoretical econometrician. The book is a good fit for advanced students with good econometrics backgrounds ¿ . I plan to use some of the chapters of this book when I next teach my advanced topics course at the Ph.D. level."¿Anna Mikusheva, Journal of the American Statistical Association, September 2013 "This book is a timely introduction to many of the latest techniques for estimation and inference in economic models. ¿ There is sufficient detail, so the concepts and techniques are clearly explained and yet the reader is not overburdened with excessive minutiae. The authors also spend a lot of effort motivating and giving the intuition behind the various techniques involved. ¿ this book is well written and up to date. It would be suitable for graduate students and others looking for an accessible introduction to modern econometric methodology and thinking."¿Brendan McCabe, CHANCE, 26.2 "This book provides a valuable addition to the literature by compiling recently developed techniques and the mathematical theory behind such a broad range of statistical approaches. ¿ the book is well written, presents updated developments in the area and is an excellent guide to researchers who are interested in theoretical aspects. The contents of the book can be used for doctoral-level courses and for research purposes. It is highly recommended for libraries. Overall, the book is a valuable reference for those involved in research and advanced-level teaching in this area."¿Shalabh, Journal of the Royal Statistical Society, Series A, 2012