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9780762303038

Messy Data - Missing Observations, Outliers and Mixed Frequency Data Vol. 13

by ;
  • ISBN13:

    9780762303038

  • ISBN10:

    0762303034

  • Format: Hardcover
  • Copyright: 1999-01-19
  • Publisher: Elsevier Science & Technology

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Summary

Often applied econometricians are faced with working with data that is less than ideal. The data may be observed with gaps in it, a model may suggest variables that are observed at different frequencies, and sometimes econometric results are very fragile to the inclusion or omission of just a few observations in the sample. Papers in this volume discuss new econometric techniques for addressing these problems.

Table of Contents

List of contributors
Introduction
Testing for random individual and time effects using unbalanced panel data
A statistical approach for disaggregating mixed-frequency economic time series data
An extended Yule-Walker method for estimating a vector autoregressive model with mixed-frequency data
Missing data from infrequency of purchase: Bayesian estimation of a linear expenditure system
Messy time series: a unified approach
Simulation of multinomial probit probabilities and imputation of missing data
Temporal disaggregation, missing observations, outliers, and forecasting: a unifying non-model based procedure
Testing for unit roots in economic time-series with missing observations
Influential data diagnostics for transition data
The effects of different types of outliers on unit root tests
Table of Contents provided by Publisher. All Rights Reserved.

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