Econometric Analysis of Model Selection and Model Testing
Seiten
2006
Routledge (Verlag)
978-0-7546-3715-8 (ISBN)
Routledge (Verlag)
978-0-7546-3715-8 (ISBN)
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This book brings together the issues of optimal testing for misspecification in econometric modelling, the method of recent development in model selection and model testing with reference to applications in real data sets. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers alike.
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
M. Ishaq Bhatti is Senior Lecturer at La Trobe University in Melbourne, Australia. Hatem Al-Shanfari and M. Zakir Hossain are both Assistant Professors at Sultan Qaboos University, Sultanate of Oman.
Contents: Introduction; Testing econometric models; Testing for block effects; Model selection procedures; Information criteria for model selection; Controlled information criteria for model selection; Arbitrage pricing model; Model selection in testing the arbitrage pricing theory; Modelling the risk premium of listed stocks; Bibliography; Index.
| Verlagsort | London |
|---|---|
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Gewicht | 870 g |
| Themenwelt | Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| ISBN-10 | 0-7546-3715-8 / 0754637158 |
| ISBN-13 | 978-0-7546-3715-8 / 9780754637158 |
| Zustand | Neuware |
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