Applications of Differential Geometry to EconometricsPaul Marriott, Mark Salmon Cambridge University Press, 31.08.2000 - 324 Seiten Although geometry has always aided intuition in econometrics, more recently differential geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the essential issues which can be hidden in an algebraic development of a problem. Originally published in 2000, this volume was an early example of the application of these techniques to econometrics. An introductory chapter provides a brief tutorial for those unfamiliar with the tools of Differential Geometry. The topics covered in the following chapters demonstrate the power of the geometric method to provide practical solutions and insight into problems of econometric inference. |
Inhalt
| 64 | |
| 85 | |
Empirical likelihood estimation and inference | 119 |
112 | 128 |
115 | 149 |
Efficiency and robustness in a geometrical perspective | 151 |
Measuring earnings differentials with frontier functions | 184 |
Firstorder optimal predictive densities | 214 |
assessing | 230 |
Testing for unit roots in AR and MA models | 281 |
An elementary account of Amaris expected geometry | 294 |
Index | 316 |
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Applications of Differential Geometry to Econometrics Paul Marriott,Mark Salmon Keine Leseprobe verfügbar - 2011 |
Häufige Begriffe und Wortgruppen
affine connection affine space alternatives Amari asymptotic Barndorff-Nielsen boundary Christoffel symbols components consider consistent estimator constant MLE covariance critical region critical value curved exponential family defined denote Differential Geometry distribution econometric Efron embedding encompassing equation equivalent example exponential models Figure first-order Fisher information matrix full exponential family geodesic geodesic test given GMM estimator Hence Hilbert space human capital hyperplane inference integration inverse isocircle Lemma Levi-Civita connection linear log-likelihood LR test M₁ M₂ mapping maximum likelihood estimator metric tensor natural parameters nested normal one-dimensional optimal orthogonal projection parameter space power envelope properties random variables Rao distance regression model restrictions result sample space score function score vector sequence statistical manifold subset subspace sufficient statistic tangent space tangent vector test statistic Theorem theory tion unit root variance Wald test y₁ ᎧᎾ
Beliebte Passagen
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Seite 150 - Generalized Wald methods for testing nonlinear implicit and overidentifying restrictions", Econometrica, 51, 335-353.
Seite 151 - This research was supported, in part, by grants from the Social Sciences and Humanities Research Council of Canada and from the Fonds FCAR of the Province of Quebec.
Seite 62 - On the differential geometry of the Wald test with nonlinear restrictions, Econometrica, Sept.
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Seite 200 - ... are assumed to depend upon personal characteristics H augmenting human capital stock, job characteristics C and information / on labour market conditions, the wage distribution and job search methods. Individuals stop their search when a wage offer exceeds the reservation wage LINCr. For any set of H and C and perfect information /*, a potential maximum attainable wage LINC* exists. Then, LINC...
Seite 83 - Testing. Encompassing and Simulating Dynamic Econometric Models'.
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