Optimal Inference in Regression Models with Nearly Integrated Regressors


Book Description

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.




Statistical Inference in Random Coefficient Regression Models


Book Description

This short monograph which presents a unified treatment of the theory of estimating an economic relationship from a time series of cross-sections, is based on my Ph. D. dissertation submitted to the University of Wisconsin, Madison. To the material developed for that purpose, I have added the substance of two subsequent papers: "Efficient methods of estimating a regression equation with equi-correlated disturbances", and "The exact finite sample properties of estimators of coefficients in error components regression models" (with Arora) which form the basis for Chapters 11 and III respectively. One way of increasing the amount of statistical information is to assemble the cross-sections of successive years. To analyze such a body of data the traditional linear regression model is not appropriate and we have to introduce some additional complications and assumptions due to the hetero geneity of behavior among individuals. These complications have been discussed in this monograph. Limitations of economic data, particularly their non-experimental nature, do not permit us to know a priori the correct specification of a model. I have considered several different sets of assumptionR about the stability of coeffi cients and error variances across individuals and developed appropriate inference procedures. I have considered only those sets of assumptions which lead to opera tional procedures. Following the suggestions of Kuh, Klein and Zellner, I have adopted the linear regression models with some or all of their coefficients varying randomly across individuals.










Simultaneous Inference in Regression


Book Description

Simultaneous confidence bands enable more intuitive and detailed inference of regression analysis than the standard inferential methods of parameter estimation and hypothesis testing. Simultaneous Inference in Regression provides a thorough overview of the construction methods and applications of simultaneous confidence bands for various inferentia




The SAGE Handbook of Regression Analysis and Causal Inference


Book Description

′The editors of the new SAGE Handbook of Regression Analysis and Causal Inference have assembled a wide-ranging, high-quality, and timely collection of articles on topics of central importance to quantitative social research, many written by leaders in the field. Everyone engaged in statistical analysis of social-science data will find something of interest in this book.′ - John Fox, Professor, Department of Sociology, McMaster University ′The authors do a great job in explaining the various statistical methods in a clear and simple way - focussing on fundamental understanding, interpretation of results, and practical application - yet being precise in their exposition.′ - Ben Jann, Executive Director, Institute of Sociology, University of Bern ′Best and Wolf have put together a powerful collection, especially valuable in its separate discussions of uses for both cross-sectional and panel data analysis.′ -Tom Smith, Senior Fellow, NORC, University of Chicago Edited and written by a team of leading international social scientists, this Handbook provides a comprehensive introduction to multivariate methods. The Handbook focuses on regression analysis of cross-sectional and longitudinal data with an emphasis on causal analysis, thereby covering a large number of different techniques including selection models, complex samples, and regression discontinuities. Each Part starts with a non-mathematical introduction to the method covered in that section, giving readers a basic knowledge of the method’s logic, scope and unique features. Next, the mathematical and statistical basis of each method is presented along with advanced aspects. Using real-world data from the European Social Survey (ESS) and the Socio-Economic Panel (GSOEP), the book provides a comprehensive discussion of each method’s application, making this an ideal text for PhD students and researchers embarking on their own data analysis.







Many Instruments And/or Regressors


Book Description

This article surveys the state of the art in the econometrics of regression models with many instruments or many regressors based on alternative - namely, dimension - asymptotics. We list critical results of dimension asymptotics that lead to better approximations of properties of familiar and alternative estimators and tests when the instruments and/or regressors are numerous. Then we consider the problem of estimation and inference in the basic linear instrumental variables regression setup with many strong instruments. We describe the failures of conventional estimation and inference, as well as alternative tools that restore consistency and validity. We then add various other features to the basic model such as heteroskedasticity, instrument weakness, etc., in each case providing a review of the existing tools for proper estimation and inference. Subsequently, we consider a related but different problem of estimation and testing in a linear mean regression with many regressors. We also describe various extensions and connections to other settings, such as panel data models, spatial models, time series models, and so on. Finally, we provide practical guidance regarding which tools are most suitable to use in various situations when many instruments and/or regressors turn out to be an issue.




Seemingly Unrelated Regression Equations Models


Book Description

This book brings together the scattered literature associated with the seemingly unrelated regression equations (SURE) model used by econometricians and others. It focuses on the theoretical statistical results associated with the SURE model.