Readings in Econometric Theory and Practice (eBook)

A Volume in Honor of George Judge

M.E. Bock, W.E. Griffiths, H. Lutkepohl (Herausgeber)

eBook Download: PDF

2014 | 1. Auflage
389 Seiten
Elsevier Science (Verlag)
978-1-4832-9708-8 (ISBN)

Infos

This volume honors George Judge and his many, varied and outstanding contributions to econometrics, statistics, mathematical programming and spatial equilibrium modeling. The papers are grouped into four parts, each part representing an area in which Professor Judge has made a significant contribution. The authors have all benefited in some way, directly or indirectly, through an association with George Judge and his work.The three papers in Part I are concerned with various aspects of pre-test and Stein-rule estimation. Part II contains applications of Bayesian methodology, new developments in Bayesian methodology, and an overview of Bayesian econometrics. The papers in Part III comprise new developments in time-series analysis, improved estimation and Markov chain analysis. The final part on spatial equilibrium modeling contains papers that had their origins from Professor Judge's pioneering work in the 60's.

Inhalt

Front Cover 1
Readings in Econometric Theory and Practice: A Volume in Honor of George Judge 4
Copyright Page 5
Table of Contents 10
Introduction to the Series 6
Preface 8
List of Contributors 12
PART I: PRE-TEST AND STEIN-RULE ESTIMATION 14
CHAPTER 1. THE EFFECTS OF EXTRAPOLATION ON MINIMAX STEIN-RULE PREDICTION 16
1. Introduction 16
2. The Statistical Model and Estimators 17
3. Multivariate Data Extrapolation 28
4. Design of the Monte Carlo Experiment 29
5. Results of the Monte Carlo Experiment 33
6. Concluding Remarks 42
References 44
CHAPTER 2. RISK AND POWER FOR INEQUALITY PRE-TEST ESTIMATORS: GENERAL CASE IN TWO DIMENSIONS 46
1. Introduction 46
2. Statistical Model, Estimators and Test Statistics: the Two-Dimensional Case 47
3. Pre-Test Estimator Risk Functions 56
4. Risk Evaluations for the Pre-test Estimators 59
5. Unweighted Risk Functions in Theta Space 64
6. Summary and Conclusions 65
References 67
CHAPTER 3. THE EXACT DISTRIBUTION OF A SIMPLE PRETEST ESTIMATOR 70
1. Motivation 70
2. The Pre-test Problem 71
3. The Exact Distribution Function 72
4. Numerical Results 76
5. Implications for Confidence Intervals 80
6. Conclusions 83
Appendix 84
References 86
PART II: BAYESIAN ECONOMETRICS 88
CHAPTER 4. BAYESIAN ANALYSIS IN ECONOMETRICS 90
1. Introduction 90
2. Foundational Issues and Applied Econometrics 91
3. Specific Problems and Bayesian Solutions 98
4. Summary and Concluding Remarks 110
References 111
CHAPTER 5. DATA POOLING AND SELF-SELECTION: A MIXED EFFECTS HIERARCHICAL APPROACH 116
1. Introduction 116
2, Methodology 117
3. A Mixed Effects Linear Hierarchical Model (MELHM) 121
4. Application 135
5. Conclusion 146
6. Appendix 147
References 153
CHAPTER 6. ESTIMATION OF SYSTEMATIC RISK USING BAYESIAN ANALYSIS WITH HIERARCHICAL AND NON-NORMAL PRIORS 156
1. Introduction 156
2. Analysis with Hierarchical Priors 158
3. Analysis of Hierarchical Model with Non-normal Prior 163
4. Non-hierarchical Approach with Non-normal Prior 167
5. Concluding Remarks 169
References 169
CHAPTER 7. BAYESIAN ANALYSIS AND REGULARITY CONDITIONS ON FLEXIBLE FUNCTIONAL FORMS: APPLICATION TO THE U.S. MOTOR CARRIER INDUSTRY 172
1. Introduction 172
2. The Model 174
3. The Bayesian Approach to Inequality Restrictions 176
4. Application to the Motor Carrier Industry 181
5. Conclusions 185
References 186
CHAPTER 8. FURTHER RESULTS ON INTERVAL ESTIMATION IN AN AR(1) ERROR MODEL 188
1. Introduction 188
2. The Model, Experiments and Estimators 190
3. Monte Carlo Results 194
4. Frequency Domain Interpretation 199
5. Summary and Conclusions 206
References 207
PART III: TOPICS IN ECONOMETRICS AND TIME SERIES 208
CHAPTER 9. SMOOTH IMPROVED ESTIMATORS OF ECONOMETRIC PARAMETERS 210
1. Introduction 210
2. The Model and Estimators 211
3. Simulation 219
4. Smooth 2SLS Estimators 220
5. Derivation of Results in Section 3 224
References 226
CHAPTER 10. ESTIMATING THE SMOOTHING PARAMETER IN PIECEWISE CONSTANT REGRESSION 228
1. Introduction 228
2. Model and Smoothers 229
3. Simulation Experiment 236
4. Results 239
5. Conclusions 252
References 253
CHAPTER 11. TESTING FOR TIME VARYING PARAMETERS IN VECTOR AUTOREGRESSIVE MODELS 256
1. Introduction 256
2. The General Model and Tests 257
3. Periodic Processes 262
4. Intervention Models 270
5. Conclusions 276
References 276
CHAPTER 12. CHANGES OF EMPLOYMENT AMONG SECTORS OF THE FAST GROWING ECONOMY IN TAIWAN: A MARKOV CHAIN ANALYSIS 278
1. Introduction 278
2. Economic Background 279
3. Employment Shares Among Sectors of Taiwan Economy 281
4. Estimation of Employment Transition Probabilities 283
5. Forecast of Employment Shares among Sectors 286
6. The Effect of Per Capita Income on Transition Probabilities 291
7. Summary and Conclusion 294
Appendix A: Estimating Transition Probabilities with Restrictions by Using Aggregate Data 295
References 305
PART IV: SPATIAL EQUILIBRIUM MODELING 308
CHAPTER 13. ALTERNATIVE SPATIAL EQUILIBRIUM FORMULATIONS: A SYNTHESIS 310
Introduction 310
A General Formulation 311
Ad Valorem Effects 318
Policy Intervention Functions 321
Alternative Behavioural Assumptions 322
Recursive and Intertemporal Systems 328
Investment Models 329
Untitled 330
Concluding Comment 331
Appendix A 332
References 336
CHAPTER 14. THE APPLICATION OF VARIATIONAL INEQUALITY THEORY TO THE STUDY OF SPATIAL EQUILIBRIUM AND DISEQUILIBRIUM 340
1. Introduction 340
2 Background 344
3. Equilibrium Models 348
4. Disequilibrium or Constrained Equilibrium Models 354
5. The Variational Inequality Decomposition Algorithm 357
6. Numerical Experience 362
7. Summary and Conclusions 365
References 366
CHAPTER 15. IMPERFECT COMPETITION AND ARBITRAGE IN SPATIALLY SEPARATED MARKETS 370
1. Introduction 370
2. Motivation 371
3. A Model of Oligopoly Behavior 373
4. Arbitrage Opportunities 376
5. Directions for Future Research 383
References 386
INDEX 388

Produkt-Details

• Erscheint lt. Verlag: 28.6.2014
• Sprache: englisch
• Themenwelt: Schulbuch / Wörterbuch ► Lexikon / Chroniken
• Themenwelt: Mathematik / Informatik ► Informatik
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Sozialwissenschaften ► Soziologie ► Empirische Sozialforschung
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 1-4832-9708-X / 148329708X
• ISBN-13: 978-1-4832-9708-8 / 9781483297088