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Information économique et marchés financiers
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ISBN: 2717840613 Year: 2000 Publisher: Paris Economica

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Abstract

Identification and inference for econometric models
Authors: --- ---
ISBN: 052184441X 9780521844413 9780511614491 9780521154741 0511115695 9780511115691 0511614497 1280162287 9781280162282 1107151937 0511122128 0511198523 0511299427 0511115148 052115474X Year: 2005 Publisher: Cambridge New York Cambridge University Press

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Abstract

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

Biens publics avec exclusion: allocations efficaces, production décentralisée
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ISBN: 2271053803 Year: 1997 Publisher: Paris CNRS

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Estimation, inference, and specification analysis
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ISBN: 0521252806 0521574463 1139052233 9780521252805 9781139052238 9780521574464 Year: 1994 Volume: no. 22 Publisher: Cambridge Cambridge University Press

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This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying motivation for maximum-likelihood estimation, treats the interpretation of the maximum-likelihood estimator (MLE) for misspecified probability models, and gives the conditions under which parameters of interest can be consistently estimated despite misspecification, and the consequences of misspecification, for hypothesis testing in estimating the asymptotic covariance matrix of the parameters. Although the theory presented in the book is motivated by econometric problems, its applicability is by no means restricted to economics. Subject to defined limitations, the theory applies to any scientific context in which statistical analysis is conducted using approximate models.


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The economics of inaction : stochastic control models with fixed costs
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ISBN: 9780691135052 0691135053 9786612158735 1282158732 140082981X 9781400829811 9781282158733 Year: 2009 Publisher: Princeton : Princeton University Press,

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In economic situations where action entails a fixed cost, inaction is the norm. Action is taken infrequently, and adjustments are large when they occur. Interest in economic models that exhibit ''lumpy'' behavior of this kind has exploded in recent years, spurred by growing evidence that it is typical in many important economic decisions, including price setting, investment, hiring, durable goods purchases, and portfolio management. In The Economics of Inaction, leading economist Nancy Stokey shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. Stokey provides a self-contained, rigorous, and clear treatment of two types of models, impulse and instantaneous control. She presents the relevant results about Brownian motion and other diffusion processes, develops methods for analyzing each type of problem, and discusses applications to price setting, investment, and durable goods purchases. This authoritative book will be essential reading for graduate students and researchers in macroeconomics.


Book
The logit model : an introduction for economists.
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ISBN: 0340541113 9780340541111 Year: 1991 Publisher: London : Arnold,


Book
Quantifying the Roman economy : methods and problems
Authors: ---
ISBN: 9780199562596 0199562598 019172145X 0199679290 0191570044 9786612348969 1282348965 Year: 2009 Volume: *1 Publisher: Oxford: Oxford university press,

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