Book contents
- Frontmatter
- Contents
- List of figures
- List of tables
- List of contributors
- Preface
- Acknowledgements
- Michael Magdalinos 1949–2002
- Introduction
- 1 Conditional Heteroskedasticity Models with Pearson Disturbances
- 2 The Instrumental Variables Method Revisited: On the Nature and Choice of Optimal Instruments
- 3 Nagar-Type Moment Approximations in Simultaneous Equation Models: Some Further Results
- 4 Local GEL Methods for Conditional Moment Restrictions
- 5 Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence
- 6 The Structure of Multiparameter Tests
- 7 Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors
- 8 Non-Parametric Specification Testing of Non-Nested Econometric Models
- 9 Testing for Autocorrelation in Systems of Equations
- 10 Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns
- 11 Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
- 12 A Statistical Proof of the Transformation Theorem
- 13 On the Joint Density of the Sum and Sum of Squares of Non-Negative Random Variables
- 14 Conditional Response Analysis
- References
- Index
Preface
Published online by Cambridge University Press: 22 September 2009
- Frontmatter
- Contents
- List of figures
- List of tables
- List of contributors
- Preface
- Acknowledgements
- Michael Magdalinos 1949–2002
- Introduction
- 1 Conditional Heteroskedasticity Models with Pearson Disturbances
- 2 The Instrumental Variables Method Revisited: On the Nature and Choice of Optimal Instruments
- 3 Nagar-Type Moment Approximations in Simultaneous Equation Models: Some Further Results
- 4 Local GEL Methods for Conditional Moment Restrictions
- 5 Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence
- 6 The Structure of Multiparameter Tests
- 7 Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors
- 8 Non-Parametric Specification Testing of Non-Nested Econometric Models
- 9 Testing for Autocorrelation in Systems of Equations
- 10 Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns
- 11 Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
- 12 A Statistical Proof of the Transformation Theorem
- 13 On the Joint Density of the Sum and Sum of Squares of Non-Negative Random Variables
- 14 Conditional Response Analysis
- References
- Index
Summary
This book is dedicated to the memory of Michael Magdalinos, formerly Professor of Econometrics at the Athens University of Economics and Business, who died in August 2002 at the age of 52.
Professor Magdalinos was, in the opinion of many, the leading econometric theorist in Greece for a substantial number of years. In 1998 he was ranked among the top few econometricians in Europe, and compared favourably with the world's best, in the Journal of Econometric Theory rankings. In 1999 his achievements were recognised when he was appointed to a Personal Chair in Theoretical Econometrics. He had a considerable international reputation and his untimely death at the peak of his academic powers deprived not only Greece but the academic world as a whole of an outstanding scholar. However, as well as being a fine scholar he was a warm and friendly person and an inspiration to others. He was a great personality and enormous fun to be with, he was an altogether delightful man.
In November 2003 the Department of Economics of the Athens University of Economics and Business promoted a one-day conference to honour the memory and achievements of Michael Magdalinos. A distinguished group of international scholars were invited to participate in the programme. Some of them had been his co-authors and some, such as Elias Tzavalis, were former students.
- Type
- Chapter
- Information
- The Refinement of Econometric Estimation and Test ProceduresFinite Sample and Asymptotic Analysis, pp. xvii - xviiiPublisher: Cambridge University PressPrint publication year: 2007