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Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors by Phillips, Garry D. A.; Tzavalis, Elias is a scholarly article available to read on EtoBox.

What is Cornish-Fisher Size Corrected t and F Statistics for the Linear Regression Model with Heteroscedastic Errors about?

The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis

Author

Phillips, Garry D. A.; Tzavalis, Elias

Publisher

Cambridge University Press (Virtual Publishing)

Published

2007

Language

EN

ISBN

9781280917516