[分享]Identiﬁcation and Inference for Econometric Models

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收藏 2009-05-19

Part I.&nbsp;&nbsp; Identiﬁcation and Efﬁcient Estimation 1.&nbsp;&nbsp; Incredible Structural Inference 3 thomas j. rothenberg 2.&nbsp;&nbsp; Structural Equation Models in Human Behavior Genetics 11 arthur s. goldberger 3.&nbsp;&nbsp; Unobserved Heterogeneity and Estimation of Average Partial Effects 27 jeffrey m. wooldridge 4.&nbsp;&nbsp; On Specifying Graphical Models for Causation and the Identiﬁcation Problem 56 david a. freedman 5.&nbsp;&nbsp; Testing for Weak Instruments in Linear IV Regression 80 james h. stock and motohiro yogo 6.&nbsp;&nbsp; Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments 109 james h. stock and motohiro yogo 7.&nbsp;&nbsp; Identifying a Source of Financial Volatility 121 douglas g. steigerwald and richard j. vagnoni Part II.&nbsp;&nbsp; Asymptotic Approximations 8.&nbsp;&nbsp; Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 149 hidehiko ichimura and oliver linton 9.&nbsp;&nbsp; Higher-order Improvements of the Parametric Bootstrap for Markov Processes 171 donald w. k. andrews vi Contents 10.&nbsp;&nbsp; The Performance of Empirical Likelihood and Its Generalizations 216 guido w. imbens and richard h. spady 11.&nbsp;&nbsp; Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters 245 whitney k. newey, joaquim j. s. ramalho, and richard j. smith 12.&nbsp;&nbsp; Empirical Evidence Concerning the Finite Sample Performance of EL-type Structural Equation Estimation and Inference Methods&nbsp; 282 ron c. mittelhammer, george g. judge, and ron schoenberg 13.&nbsp;&nbsp; How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance? 306 ole e. barndorff-nielsen and neil shephard 14.&nbsp;&nbsp; Testing the Semiparametric Box–Cox Model with the Bootstrap 332 n. e. savin and allan h. w ¨urtz Part III.&nbsp;&nbsp; Inference Involving Potentially Nonstationary Time Series 15.&nbsp;&nbsp; Tests of the Null Hypothesis of Cointegration Based on Efﬁcient Tests for a Unit MA Root 357 michael jansson 16.&nbsp;&nbsp; Robust Conﬁdence Intervals for Autoregressive Coefﬁcients Near One 375 samuel b. thompson 17.&nbsp;&nbsp; A Uniﬁed Approach to Testing for Stationarity and Unit Roots&nbsp;&nbsp;&nbsp; 403 andrew c. harvey 18.&nbsp;&nbsp; A New Look at Panel Testing of Stationarity and the PPP Hypothesis 426 jushan bai and serena ng 19.&nbsp;&nbsp; Testing for Unit Roots in Panel Data: An Exploration Using Real and Simulated Data 451 brownwyn h. hall and jacques mairesse 20.&nbsp;&nbsp; Forecasting in the Presence of Structural Breaks and Policy Regime Shifts 480 david f. hendry and grayham e. mizon Part IV.&nbsp;&nbsp; Nonparametric and Semiparametric Inference 21.&nbsp;&nbsp; Nonparametric Testing of an Exclusion Restriction 505 peter j. bickel, ya’acov ritov, and thomasm. stoker 22.&nbsp;&nbsp; Pairwise Difference Estimators for Nonlinear Models 520 bo e. honor &acute;e and james l. powell 23.&nbsp;&nbsp; Density Weighted Linear Least Squares 554 whitney k. newey and paul a. ruud