Studies in Econometrics, Time Series, and Multivariate Statistics - 1st Edition - ISBN: 9780123987501, 9781483268033

Studies in Econometrics, Time Series, and Multivariate Statistics

1st Edition

Editors: Samuel Karlin Takeshi Amemiya Leo A. Goodman
eBook ISBN: 9781483268033
Imprint: Academic Press
Published Date: 28th September 1983
Page Count: 590
Sales tax will be calculated at check-out Price includes VAT/GST
Price includes VAT/GST

Institutional Subscription

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.


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.

Table of Contents


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


No. of pages:
© Academic Press 1983
Academic Press
eBook ISBN:

About the Editor

Samuel Karlin

Affiliations and Expertise

Stanford University and The Weizmann Institute of Science

Takeshi Amemiya

Leo A. Goodman

Ratings and Reviews