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

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

• ISBN13: 9780521844413
• ISBN10: 052184441X
• Format: Hardcover
• Copyright: 2005-07-04
• Publisher: Cambridge University Press

Summary

This 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 new ones. 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

List of Contributors	vii
Preface	ix
Part I. Identification and Efficient Estimation
Incredible Structural Inference	3	(8)
Thomas J. Rothenberg
Structural Equation Models in Human Behavior Genetics	11	(16)
Arthur S. Goldberger
Unobserved Heterogeneity and Estimation of Average Partial Effects	27	(29)
Jeffrey M. Wooldridge
On Specifying Graphical Models for Causation and the Identification Problem	56	(24)
David A. Freedman
Testing for Weak Instruments in Linear IV Regression	80	(29)
James H. Stock
Motohiro Yogo
Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments	109	(12)
James H. Stock
Motohiro Yogo
Identifying a Source of Financial Volatility	121	(28)
Douglas G. Steigerwald
Richard J. Vagnoni
Part II. Asymptotic Approximations
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators	149	(22)
Hidehiko Ichimura
Oliver Linton
Higher-order Improvements of the Parametric Bootstrap for Markov Processes	171	(45)
Donald W. K. Andrews
The Performance of Empirical Likelihood and Its Generalizations	216	(29)
Guido W. Imbens
Richard H. Spady
Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters	245	(37)
Whitney K. Newey
Joaquim J. S. Ramalho
Richard J. Smith
Empirical Evidence Concerning the Finite Sample Performance of EL-type Structural Equation Estimation and Inference Methods	282	(24)
Ron C. Mittelhammer
George G. Judge
Ron Schoenberg
How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance?	306	(26)
Ole E. Barndorff-Nielsen
Neil Shephard
Testing the Semiparametric Box--Cox Model with the Bootstrap	332	(25)
N. E. Savin
Allan H. Wurtz
Part III. Inference Involving Potentially Nonstationary Time Series
Tests of the Null Hypothesis of Cointegration Based on Efficient Tests for a Unit MA Root	357	(18)
Michael Jansson
Robust Confidence Intervals for Autoregressive Coefficients Near One	375	(28)
Samuel B. Thompson
A Unified Approach to Testing for Stationarity and Unit Roots	403	(23)
Andrew C. Harvey
A New Look at Panel Testing of Stationarity and the PPP Hypothesis	426	(25)
Jushan Bai
Serena Ng
Testing for Unit Roots in Panel Data: An Exploration Using Real and Simulated Data	451	(29)
Brownwyn H. Hall
Jacques Mairesse
Forecasting in the Presence of Structural Breaks and Policy Regime Shifts	480	(25)
David F. Hendry
Grayham E. Mizon
Part IV. Nonparametric and Semiparametric Inference
Nonparametric Testing of an Exclusion Restriction	505	(15)
Peter J. Bickel
Ya'acov Ritov
Thomas M. Stoker
Pairwise Difference Estimators for Nonlinear Models	520	(34)
Bo E. Honore
James L. Powell
Density Weighted Linear Least Squares	554
Whitney K. Newey
Paul A. Ruud