Econometric Analysis of Model Selection and Model Testing

M. Ishaq Bhatti,Hatem Al-Shanfari

• Editorial: Routledge
• Año: 2017
• ISBN:
  9781351941952
• Edición: 1
• Categoría: Économie
• Categoría: Économétrie

In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.

Índice

• Cover
• Half Title
• Title Page
• Copyright Page
• Table of Contents
• List of Figures and Tables
• Preface
• Acknowledgements
• 1 Introduction
• 2 Testing Econometric Models
• 3 Testing for Block Effects
• 4 Model Selection Procedures
• 5 Information Criteria for Model Selection
• 6 Controlled Information Criteria for Model Selection
• 7 Arbitrage Pricing Model
• 8 Model Selection in Testing the Arbitrage Pricing Theory
• 9 Modelling the Risk Premium of Listed Stocks
• Bibliography
• Index