Studies in Econometrics, Time Series, and Multivariate Statistics

Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics.

This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson's probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included.

This book will prove useful to statisticians, mathematicians, and advance mathematics students.

Inhalt

Contributors
Biographical Note
Bibliography of Theodore W. Anderson
Part I. Studies in Econometric and Quantitative Social Sciences
A Comparison of the Logit Model and Normal Discriminant Analysis When the Independent Variables are Binary
Maximum Likelihood Estimation in a Latent Variable Problem
Abnormal Selection Bias
A Note on a Supposed Criticism of an Anderson-Goodman Test in Markov Chain Analysis
Regression Analysis with a Categorized Explanatory Variable
Prediction-Based Tests for Misspecification in Nonlinear Simultaneous Systems
Asymptotic Properties of Some Estimators in Structural Models
Identification in Models with Autoregressive Errors
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags
Canonical Representation of Linear Structural Econometric Models, Rank Tests for Identification and Existence of Estimators' Moments
Part II. Studies in Time Series
The Price of Ignorance of the Autocorrelation Structure of the Errors of a Regression Model
Time Series Analysis of Error-Correction Models
Time Series Model Identification by Estimating Information
Linear Random Fields
On Segmentation of Time Series
Properties of Estimates of the Mean Square Error of Prediction in Autoregressive Models
A Reexamination of Some Basic Asymptotic Theory for Linear Processes in Time Series Analysis
Part III. Studies in Multivariate Statistics
Hypothesis Tests and Optimality Properties in Discrete Multivariate Analysis
On Anderson's Probability Inequality
On Asymptotic Distributions of Test Statistics for Covariance Matrices and Correlation Matrices
Joint Distributions of Some Indices Based on Correlation Coefficients
On the Wedge Product
Comparison of Measures, Multivariate Majorization, and Applications to Statistics
Comparison of Experiments for Some Multivariate Normal Situations
Bayes Procedures for Combining Independent F Tests
Likelihood Ratio Tests for Relationships Between Two Covariance Matrices
Rank Additivity and Matrix Polynomials
Limit Theorems on High Dimensional Spheres and Stiefel Manifolds