The Refinement of Econometric Estimation and Test Procedures - 9780521870535

The Refinement of Econometric Estimation and Test ProceduresFinite Sample and Asymptotic Analysis\nAuthor(s): Garry D. A. Phillips, Elias Tzavalis\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521870535, 978-0521870535\nSynopsis\nThe small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new .