Econometric Analysis of Model Selection and Model Testing: 1st Edition (Hardback) book cover

Econometric Analysis of Model Selection and Model Testing

1st Edition

By M. Ishaq Bhatti, Hatem Al-Shanfari

Routledge

384 pages

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Hardback: 9780754637158
pub: 2006-02-28
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Description

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. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.

Reviews

'This is an advanced research work on some new directions of statistical analysis. It will prove to be useful particularly to the seriously committed in theoretical statistics…It is hoped that the book will open directions for future research in the area of establishing the rationale on model building using underlying economic and econometric reasoning with complexity as phenomenon.' Professor Masudul Alam Choudhury, Cape Breton University, Canada '…a very good introduction to anyone interested in the basics of model selection and model choice, and any applied economist wishing to apply information criteria in his or her work.' South-Eastern Europe Journal of Economics

Table of Contents

Contents: Introduction; Testing econometric models; Testing for block effects; Model selection procedures; Information criteria for model selection; Controlled information criteria for model selection; Arbitrage pricing model; Model selection in testing the arbitrage pricing theory; Modelling the risk premium of listed stocks; Bibliography; Index.

About the Authors

M. Ishaq Bhatti is Senior Lecturer at La Trobe University in Melbourne, Australia. Hatem Al-Shanfari and M. Zakir Hossain are both Assistant Professors at Sultan Qaboos University, Sultanate of Oman.

Subject Categories

BISAC Subject Codes/Headings:
BUS021000
BUSINESS & ECONOMICS / Econometrics