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Specifying and Diagnostically Testing Econometric Models Second Edition
(Click to Enlarge)
Houston H. Stokes
Book Code: Q069
ISBN: 1-56720-069-9
ISBN-13: 978-1-56720-069-0
464 pages, figures, tables
Quorum Books
Publication: 2/28/1997
List Price: $125.00 (UK Sterling Price: £70.00)
Availability: Print on demand
Media Type: Hardcover
Trim Size: 6 1/8 x 9 1/4
Subjects: Related Web Pages:
Description: This work illustrates the use of model specification and diagnostic tests applied to a variety of econometric modeling techniques. For each technique discussed the basic mathematical models are outlined. A sample problem is discussed and estimated using the B34STM Data Analysis System. The output of the program is displayed in the text and discussed. Where appropriate, output from the RATSTM software is displayed. Follow-up models are estimated and discussed. The examples selected are taken from a variety of sources and reflect actual applied research. Complete data are given in the text to enable the reader to use these problems with other programs and techniques. It is the author's experience that applied econometric techniques are best learned by running actual problems. Since most users experiment with a limited number of techniques, their experience is limited. This book discusses a broad range of techniques and shows how they are interrelated.

The techniques discussed include the following: simple, one-equation OLS and GLS models with continuous variables on the left-hand side, which are tested with recursive residual and BLUS residual techniques. Another class of models includes restrictions on the left-hand side variables. Models studied and illustrated with data include probit, logit, multinomial logit, and ordered probit models. Other techniques discussed and illustrated include two-stage least squares, limited information maximum likelihood, three-stage least squares, iterative three-stage least squares, error component models and Markov probability models, which are illustrated with a model of OPEC production dynamics. ARIMA and transfer function models are shown to be generalizations of the single-equation model, while VAR and VARMA models are shown to be a time series generalization of three-stage least squares and full information maximum likelihood models. VAR models are viewed in the frequency domain for added insight, and extensive nonlinearity tests are developed and applied. More specialized techniques include state space models, optimal control analysis, nonlinear analysis, and the QR approach to computation. An important feature of the book is the emphasis on nonlinear model building. The Hinich nonlinear testing approach is discussed and integrated into the OLS, times series, and nonlinear estimation procedures. The MARS and PISPLINE methods of analysis are illustrated with models that failed linearity tests when estimated with linear methods. The purpose of the monograph is to illustrate the above techniques, using actual research data. To facilitate the calculations, the B34STM Data Analysis System was developed. Sample output for all procedures discussed in the text has been provided so that the availability of the B34STM program is not required in order to benefit from this book. While the book is self-contained, interested readers can obtain the B34STM Data Analysis program and do further research with the datasets discussed in the book which are supplied with the software.
Table of Contents:
  • Preface
  • Applied Econometric Modeling
  • Regression Analysis with Appropriate Specification Tests
  • Logit, Tobit, Probit
  • Simultaneous Equations Systems
  • Error-Components Analysis
  • Markov Probability Analysis
  • Time Series Analysis Part I: Identification of ARIMA and Transfer Function Models
  • Time Series Analysis Part II: VAR, VARMA and VMU Models
  • Testing the Specification of OLS Equations with Recursive Residuals
  • Special Topics in OLS Estimation
  • Nonlinear Estimation Options in B34STM
  • Special Topics in Time Series Analysis
  • Optimal Control Analysis
  • MARS and PISPLINE Model Building
  • Spectral Analysis of Time Series
  • Bibliography
  • Index
LC Card Number: 96-46718
LCC Class: HB141
Dewey Class: 330
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