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Econometric Analysis of Model Selection and Model Testing
ISBN-13:
9781351941969
Veröffentl:
2017
Seiten:
384
Autor:
M. Ishaq Bhatti
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
2 - DRM Adobe
Sprache:
Englisch
Beschreibung:
This book brings together the issues of optimal testing for misspecification in econometric modelling, the method of recent development in model selection and model testing with reference to applications in real data sets. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers alike.
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.
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