Econometric Analysis of Model Selection And Model Testing, Hardcover by Bhatti, M. Ishaq; Al-shanfari, Hatem; Hossain, M. Zakir, ISBN 0754637158, ISBN-13 9780754637158, Like New Used, Free shipping in the US

The discipline of econometrics began with problems of estimation and inference from a sample of economic data, with the goal of producing consistent and efficient estimates of parameters and to construct a good confidence interval. More recently practitioners have been examining diagnostic testing, specifications testing, semiparametric estimation and model selection, and some researchers are considering whether to use model testing and model selection procedures to choose models for particular data sets. This text examines both sets of issues and applications to regression models, including arbitrage pricing theory models, covering the testing process for econometric models, testing for block effects, model selection procedures, information criteria and controlled information criteria for model selection, the arbitrage pricing model and model selection for testing the arbitrage pricing theory, and case studies for modeling the risk premium of listed stocks. Annotation ©2006 Book News, Inc., Portland, OR ()