Studies in Econometrics, Time Series, and Multivariate Statistics

Studies in Econometrics, Time Series, and Multivariate Statistics

1st Edition - September 28, 1983

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  • Editors: Samuel Karlin, Takeshi Amemiya, Leo A. Goodman
  • eBook ISBN: 9781483268033

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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

  • Contributors

    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

Product details

  • No. of pages: 590
  • Language: English
  • Copyright: © Academic Press 1983
  • Published: September 28, 1983
  • Imprint: Academic Press
  • eBook ISBN: 9781483268033

About the Editors

Samuel Karlin

Affiliations and Expertise

Stanford University and The Weizmann Institute of Science

Takeshi Amemiya

Leo A. Goodman

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