Econometric Analysis of Model Selection And Model Testing

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ISBN: 9780754637158 | 0754637158
Cover: Hardcover
Copyright: 2/28/2006

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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.

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List of Figures and Tables	vi
Preface	xiv
Acknowledgements	xv
1Introduction	1	(4)
2 Testing Econometric Models	5	(22)
3 sting for Block Effects	27	(40)
4 Model Selection Procedures	67	(24)
5Information Criteria for Model Selection	91	(46)
6 Controlled Information Criteria for Model Selection	137	(92)
7 Arbitrage Pricing Model	229	(28)
8 Model Selection in Testing the Arbitrage Pricing Theory	257	(30)
9 Modelling the Risk Premium of Listed Stocks	287	(48)
Bibliography	335	(24)
Index	359

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Econometric Analysis of Model Selection And Model Testing

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