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

List of figures; List of tables; Contributors; Preface; Michael Magdalinos 1949-2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias Tzavalis;

1. Conditional heteroscedasticity models with Pearson disturbances Michael A. Magdalinos and George P. Mitsopoulos;
2. The Instrumental Variables method revisited: on the nature and choice of optimal instruments Aris Spanos;
3. Nagar-type moment approximations in simultaneous equation models: some further results Garry D. A. Phillips;
4. Local GEL methods for conditional moment restrictions Richard J. Smith;
5. Limit theory for moderate deviations from a unit root under weak dependence Peter C. B. Phillips and Tassos Magdalinos;
6. The structure of multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg;
7. Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors Spyridon D. Symeonides, Hellen Kandiloriou and Elias Tzavalis;
8. Non-parametric specification testing of non-nested econometric models Qi Li and Thanasis Stengos;
9. Testing for autocorrelation in systems of equations Phoebus J. Dhrymes;
10. Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of Asset Returns G. Kapetanios and M. Hashem Pesaran;
11. Judging contending estimators by simulation: tournaments in dynamic panel data models Jan F. Kiviet;
12. A statistical proof of the transformation theorem Karim M. Abadir and Jan R. Magnus;
13. On the joint density of the sum and sum of squares of nonnegative random variables Grant Hillier;
14. ConditionalResponse Analysis Grayham E. Mizon and Anna Staszewska; Index.