Evaluation of Econometric Models - 1st Edition - ISBN: 9780124165502, 9781483267340

Evaluation of Econometric Models

1st Edition

Editors: Jan Kmenta James B. Ramsey
eBook ISBN: 9781483267340
Imprint: Academic Press
Published Date: 28th November 1980
Page Count: 424
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Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research.

This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior.

This publication is intended for students and researchers interested in evaluating econometric models.

Table of Contents

List Of Contributors


Problems and Issues in Evaluating Econometric Models

1. A Topical Overview

2. Research Recommendations


Part I Evaluation Of Informal Models

The Use of Exploratory Methods in Economic Analysis: Analyzing Residential Energy Demand

1. Introduction

2. The Strengths and Limitations of the Modes of Analysis

3. The Confirmatory Analysis of Residential Energy Consumption

4. An Exploratory Analysis of Residential Energy Demand

5. Conclusions


Model Construction and Evaluation When Theoretical Knowledge Is Scarce


1. Model Formulation When Theoretical Knowledge Is Scarce

2. Model Fitting and Parameter Estimation with PLS

3. Construction and Evaluation of PLS Models


Data Analysis by Partial Least Squares

1. Introduction. Latent Variables and Soft Models

2. The Command Diagram

3. Polygon Diagrams

4. Precise Forms of the Operator "Opt" for the Relationship Between Two Latent Variables

5. Precise Forms of the Operator "Opt" for the Relationships Among Several Latent Variables: Approaches to Eigenanalysis

6. How Soft Modeling Relates to Canonical Analysis and to Maximum-Likelihood Estimation

Prediction Analysis of Economic Models

1. Forms of Prediction

2. Evaluating Absolute Predictions

3. Evaluating Actuarial Predictions: An Interpretation of the Correlation Ratio and r2

4. Multivariate Prediction Analysis

5. Estimation of ∇ from Sample Data

6. Summary and Directions for Research



Some Comments on the Evaluation of Informal Models

1. Exploratory Data Analysis

2. Partial Least Squares (PLS)

3. Set Predictions and Econometric Models

4. Summary


Part II Specification Errors And Sensitivity Analysis

Aggregation and Disaggregation of Nonlinear Equations

1. Introduction

2. Single Equation Models

3. A Systems Generalization

4. Conclusions


Regression Sensitivity Analysis and Bounded-Influence Estimation

1. Introduction

2. Data and Model

3. Robust Estimation

4. Regression Diagnostics

5. Multiple-Row Diagnostics

6. Bounded-Influence Estimation


On Specification in Simultaneous Equation Models

1. Introduction

2. The Complete Dynamic Simultaneous Equation Model

3. Testing the Exogeneity Specification

4. Testing the Overidentifying Restrictions

5. Empirical Illustrations

6. A Suggestion for Standards in Empirical Work


Robust Analysis of the Random Model and Weighted Least Squares Regression

1. Introduction

2. One-Way Random Model Under Conventional Assumptions

3. Random Model without Normality

4. Random Model Weighted Regression

5. On Robustness


Some Comments on Papers by Dent and Geweke, Welsch, and Kelejian


Some Comments on the Papers by Welsch and Hill

Part III Formal Decision Rules For Comparing Models

Comparison of Econometric Models by Optimal Control Techniques

1. Existing Characterizations of an Econometric Model

2. Characterization of an Econometric Model by Deterministic Control

3. Characterization of an Econometric Model by Stochastic Control

4. An Illustration Using the Michigan Model


Bayesian Decision Theory and the Simplification of Models

1. Introduction

2. Bayesian Response to Data; Odds

3. Prediction

4. Discussion


Some Comments on "Comparison of Econometric Models by Optimal Control Techniques" by Gregory C. Chow


Part IV Role Of Time Series Analysis In Econometrics

The Role of Time Series Analysis in Econometric Model Evaluation

1. Introduction

2. Evaluation of Dynamic Econometric Models

3. Univariate Time Series Analysis

4. Multivariate Time Series Analysis

5. An Analysis of Aggregate Consumption Data

6. Conclusion


Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic

1. Introduction

2. Serial Correlation

3. Band Spectrum Regression

4. General Linear Hypothesis Test

5. A Comparison of Test Criteria

6. A Time Domain Example

7. A Frequency Domain Example


Multicollinearity and the Estimation of Low-Order Moments in Stable Lag Distributions

1. Introduction

2. Objectives and Precision Criteria

3. A Numerical Example Using δ2(h) Criterion

4. Theoretical Arguments Supporting Claims of Precision

5. Other Considerations


Some Comments on the Role of Time-Series Analysis in Econometrics


Part V Experimentation And Tests Of Economic Hypotheses

Relevance of Laboratory Experiments to Testing Resource Allocation Theory

1. Introduction

2. Some Preceptual Foundations of Experimental Economics

3. Dynamic Market Adjustment Hypotheses

4. Effect of Information on Price Convergence in Competitive Markets

5. Sealed-Bid Mechanisms for Private Goods

6. Choice Mechanisms for Public Goods

7. Conclusion


Token Economy and Animal Models for the Experimental Analysis of Economic Behavior


1. Experimental Studies of Individual Behavior

2. Studies of Aggregate Economic Behavior and More Policy Oriented Research Questions

3. Conclusion


Some Comments on the Papers by Kagel and Battalio and by Smith


Some Comments on the Papers by Kagel and Battalio and by Smith



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© Academic Press 1980
Academic Press
eBook ISBN:

About the Editor

Jan Kmenta

James B. Ramsey

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