Bhatti / Al-Shanfari Econometric Analysis of Model Selection and Model Testing

Erscheinungsjahr 2017
ISBN: 978-1-351-94195-2
Verlag: Taylor & Francis
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 384 Seiten

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.

Autoren/Hrsg.

Bhatti, M. Ishaq

Al-Shanfari, Hatem

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

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.

Über Autor(innen)

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.