Griffiths / Lütkepohl / Bock Readings in Econometric Theory and Practice

A Volume in Honor of George Judge
1. Auflage 2014
ISBN: 978-1-4832-9708-8
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 209, 389 Seiten, Web PDF

Reihe: Contributions to Economic Analysis

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.

Autoren/Hrsg.

Griffiths, W. E.

Lütkepohl, H.

Bock, M. E.

Inhaltsverzeichnis

1;Front Cover;1
2;Readings in Econometric Theory and Practice: A Volume in Honor of George Judge;4
3;Copyright Page;5
4;Table of Contents;10
5;Introduction to the Series;6
6;Preface;8
7;List of Contributors;12
8;PART I: PRE-TEST AND STEIN-RULE ESTIMATION;14
8.1;CHAPTER 1. THE EFFECTS OF EXTRAPOLATION ON MINIMAX STEIN-RULE PREDICTION;16
8.1.1;1. Introduction;16
8.1.2;2. The Statistical Model and Estimators;17
8.1.3;3. Multivariate Data Extrapolation;28
8.1.4;4. Design of the Monte Carlo Experiment;29
8.1.5;5. Results of the Monte Carlo Experiment;33
8.1.6;6. Concluding Remarks;42
8.1.7;References;44
8.2;CHAPTER 2. RISK AND POWER FOR INEQUALITY PRE-TEST ESTIMATORS: GENERAL CASE IN TWO DIMENSIONS;46
8.2.1;1. Introduction;46
8.2.2;2. Statistical Model, Estimators and Test Statistics: the Two-Dimensional Case;47
8.2.3;3. Pre-Test Estimator Risk Functions;56
8.2.4;4. Risk Evaluations for the Pre-test Estimators;59
8.2.5;5. Unweighted Risk Functions in Theta Space;64
8.2.6;6. Summary and Conclusions;65
8.2.7;References;67
8.3;CHAPTER 3. THE EXACT DISTRIBUTION OF A SIMPLE PRETEST ESTIMATOR;70
8.3.1;1. Motivation;70
8.3.2;2. The Pre-test Problem;71
8.3.3;3. The Exact Distribution Function;72
8.3.4;4. Numerical Results;76
8.3.5;5. Implications for Confidence Intervals;80
8.3.6;6. Conclusions;83
8.3.7;Appendix;84
8.3.8;References;86
9;PART II: BAYESIAN ECONOMETRICS;88
9.1;CHAPTER 4. BAYESIAN ANALYSIS IN ECONOMETRICS;90
9.1.1;1. Introduction;90
9.1.2;2. Foundational Issues and Applied Econometrics;91
9.1.3;3. Specific Problems and Bayesian Solutions;98
9.1.4;4. Summary and Concluding Remarks;110
9.1.5;References;111
9.2;CHAPTER 5. DATA POOLING AND SELF-SELECTION: A MIXED EFFECTS HIERARCHICAL APPROACH;116
9.2.1;1. Introduction;116
9.2.2;2, Methodology;117
9.2.3;3. A Mixed Effects Linear Hierarchical Model (MELHM);121
9.2.4;4. Application;135
9.2.5;5. Conclusion;146
9.2.6;6. Appendix;147
9.2.7;References;153
9.3;CHAPTER 6. ESTIMATION OF SYSTEMATIC RISK USING BAYESIAN ANALYSIS WITH HIERARCHICAL AND NON-NORMAL PRIORS;156
9.3.1;1. Introduction;156
9.3.2;2. Analysis with Hierarchical Priors;158
9.3.3;3. Analysis of Hierarchical Model with Non-normal Prior;163
9.3.4;4. Non-hierarchical Approach with Non-normal Prior;167
9.3.5;5. Concluding Remarks;169
9.3.6;References;169
9.4;CHAPTER 7. BAYESIAN ANALYSIS AND REGULARITY CONDITIONS ON FLEXIBLE FUNCTIONAL FORMS: APPLICATION TO THE U.S. MOTOR CARRIER INDUSTRY;172
9.4.1;1. Introduction;172
9.4.2;2. The Model;174
9.4.3;3. The Bayesian Approach to Inequality Restrictions;176
9.4.4;4. Application to the Motor Carrier Industry;181
9.4.5;5. Conclusions;185
9.4.6;References;186
9.5;CHAPTER 8. FURTHER RESULTS ON INTERVAL ESTIMATION IN AN AR(1) ERROR MODEL;188
9.5.1;1. Introduction;188
9.5.2;2. The Model, Experiments and Estimators;190
9.5.3;3. Monte Carlo Results;194
9.5.4;4. Frequency Domain Interpretation;199
9.5.5;5. Summary and Conclusions;206
9.5.6;References;207
10;PART III: TOPICS IN ECONOMETRICS AND TIME SERIES;208
10.1;CHAPTER 9. SMOOTH IMPROVED ESTIMATORS OF ECONOMETRIC PARAMETERS;210
10.1.1;1. Introduction;210
10.1.2;2. The Model and Estimators;211
10.1.3;3. Simulation;219
10.1.4;4. Smooth 2SLS Estimators;220
10.1.5;5. Derivation of Results in Section 3;224
10.1.6;References;226
10.2;CHAPTER 10. ESTIMATING THE SMOOTHING PARAMETER IN PIECEWISE CONSTANT REGRESSION;228
10.2.1;1. Introduction;228
10.2.2;2. Model and Smoothers;229
10.2.3;3. Simulation Experiment;236
10.2.4;4. Results;239
10.2.5;5. Conclusions;252
10.2.6;References;253
10.3;CHAPTER 11. TESTING FOR TIME VARYING PARAMETERS IN VECTOR AUTOREGRESSIVE MODELS;256
10.3.1;1. Introduction;256
10.3.2;2. The General Model and Tests;257
10.3.3;3. Periodic Processes;262
10.3.4;4. Intervention Models;270
10.3.5;5. Conclusions;276
10.3.6;References;276
10.4;CHAPTER 12. CHANGES OF EMPLOYMENT AMONG SECTORS OF THE FAST GROWING ECONOMY IN TAIWAN: A MARKOV CHAIN ANALYSIS;278
10.4.1;1. Introduction;278
10.4.2;2. Economic Background;279
10.4.3;3. Employment Shares Among Sectors of Taiwan Economy;281
10.4.4;4. Estimation of Employment Transition Probabilities;283
10.4.5;5. Forecast of Employment Shares among Sectors;286
10.4.6;6. The Effect of Per Capita Income on Transition Probabilities;291
10.4.7;7. Summary and Conclusion;294
10.4.8;Appendix A: Estimating Transition Probabilities with Restrictions by Using Aggregate Data;295
10.4.9;References;305
11;PART IV: SPATIAL EQUILIBRIUM MODELING;308
11.1;CHAPTER 13. ALTERNATIVE SPATIAL EQUILIBRIUM FORMULATIONS: A SYNTHESIS;310
11.1.1;Introduction;310
11.1.2;A General Formulation;311
11.1.3;Ad Valorem Effects;318
11.1.4;Policy Intervention Functions;321
11.1.5;Alternative Behavioural Assumptions;322
11.1.6;Recursive and Intertemporal Systems;328
11.1.7;Investment Models;329
11.1.8;Untitled;330
11.1.9;Concluding Comment;331
11.1.10;Appendix A;332
11.1.11;References;336
11.2;CHAPTER 14. THE APPLICATION OF VARIATIONAL INEQUALITY THEORY TO THE STUDY OF SPATIAL EQUILIBRIUM AND DISEQUILIBRIUM;340
11.2.1;1. Introduction;340
11.2.2;2 Background;344
11.2.3;3. Equilibrium Models;348
11.2.4;4. Disequilibrium or Constrained Equilibrium Models;354
11.2.5;5. The Variational Inequality Decomposition Algorithm;357
11.2.6;6. Numerical Experience;362
11.2.7;7. Summary and Conclusions;365
11.2.8;References;366
11.3;CHAPTER 15. IMPERFECT COMPETITION AND ARBITRAGE IN SPATIALLY SEPARATED MARKETS;370
11.3.1;1. Introduction;370
11.3.2;2. Motivation;371
11.3.3;3. A Model of Oligopoly Behavior;373
11.3.4;4. Arbitrage Opportunities;376
11.3.5;5. Directions for Future Research;383
11.3.6;References;386
12;INDEX;388