The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis

Description

The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

'This volume is extremely wide ranging and has papers in the areas of interest of all econometricians. I highly commend the book. Econometricians will find it of interest both for their own areas of specialization and also for the opportunity to read well done papers in other areas.' Jerry Hausman, MacDonald Professor of Economics, MIT 'This remarkable collection of papers has been assembled in tribute to Michael Magdalinos, a much loved and admired econometrician who died tragically young. The highly distinguished group of contributors include among them former teachers, colleagues, collaborators, friends, and his son Tassos. While the book is a touching and fitting memorial to Michael, the papers cover such a range of topics, and are of such depth and quality, as to also constitute a valuable primer in modern econometric thinking. Researchers, practitioners and students alike will find much in these pages to profit and interest them.' James Davidson, Professor of Econometrics, University of Exeter 'This book is a tribute to one of the great contributors to the subject of econometrics. The excellent papers contributed here reflect on the research of the late Michael Magdalinos and acknowledge his solid and beneficial impact on the foundational issue of finite and asymptotic sample econometrics. They will make the book widely read and referenced.' Aman Ullah, Professor of Economics, University of California, Riverside