Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg

by Edited by Donald W. K. Andrews , James H. Stock

• ISBN13: 9780521154741
• ISBN10: 052115474X
• Edition: Reprint
• Format: Paperback
• Copyright: 2010-06-24
• Publisher: Cambridge University Press

Summary

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

Table of Contents

Identification and Efficient Estimation

Incredible structural inference

Structural equation models in human behavior genetics

Unobserved heterogeneity and estimation of average partial effects

On specifying graphical models for causation and the identification problem

Testing for weak instruments in linear IV regression

Asymptotic distributions of instrumental variables statistics with many instruments

Identifying a source of financial volatility

Asymptotic Approximations

Asymptotic expansions for some semiparametric program evaluation estimators

Higher-order improvements of the parametric bootstrap for Markov processes

The performance of empirical likelihood and its generalizations

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods

How accurate is the asymptotic approximation to the distribution of realised variance?

Testing the semiparametric Box-Cox model with the bootstrap

Inference Involving Potentially Nonstationary Time Series

Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root

Robust confidence intervals for autoregressive coefficients near one

A unified approach to testing for stationarity and unit roots

A new look at panel testing of stationarity and the PPP hypothesis

Testing for unit roots in panel data: an exploration using real and simulated data

Forecasting in the presence of structural breaks and policy regime shifts

Nonparametric and Semiparametric Inference

Nonparametric testing of an exclusion restriction

Density weighted linear least squares

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