Overview

Methods for Estimation and Inference in Modern Econometrics provides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also addresses several problems often arising in the analysis of economic data, including weak identification, model misspecification, and possible nonstationarity. The book’s appendix provides a review of some basic concepts and results from linear algebra, probability theory, and statistics that are used throughout the book. Topics covered include: Well-established nonparametric and parametric approaches to estimation and conventional (asymptotic and bootstrap) frameworks for statistical inference Estimation of models based on moment restrictions implied by economic theory, including various method-of-moments estimators for unconditional and conditional moment restriction models, and asymptotic theory for correctly specified and misspecified models Non-conventional asymptotic tools that lead to improved finite sample inference, such as higher-order asymptotic analysis that allows for more accurate approximations via various asymptotic expansions, and asymptotic approximations based on drifting parameter sequences Offering a unified approach to studying econometric problems, Methods for Estimation and Inference in Modern Econometrics links most of the existing estimation and inference methods in a general framework to help readers synthesize all aspects of modern econometric theory. Various theoretical exercises and suggested solutions are included to facilitate understanding.

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9780367382667

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Reviews

.. . a very successful attempt to systematically survey several rapidly evolving research areas in modern econometrics by summarizing a wide range of research papers and condensing them into a relatively short textbook. ... an excellent reference. ... The book has many good pedagogical features, including well-thought-out introductions to each chapter summarizing its main ideas. The language and exposition are very clear and concise. The book contains many problems that on one hand should enhance the understanding of the material and on the other be very helpful in developing the skills needed by a theoretical econometrician. The book is a good fit for advanced students with good econometrics backgrounds ... . I plan to use some of the chapters of this book when I next teach my advanced topics course at the Ph.D. level. --Anna Mikusheva, Journal of the American Statistical Association, September 2013 This book is a timely introduction to many of the latest techniques for estimation and inference in economic models. ... There is sufficient detail, so the concepts and techniques are clearly explained and yet the reader is not overburdened with excessive minutiae. The authors also spend a lot of effort motivating and giving the intuition behind the various techniques involved. ... this book is well written and up to date. It would be suitable for graduate students and others looking for an accessible introduction to modern econometric methodology and thinking. --Brendan McCabe, CHANCE, 26.2 This book provides a valuable addition to the literature by compiling recently developed techniques and the mathematical theory behind such a broad range of statistical approaches. ... the book is well written, presents updated developments in the area and is an excellent guide to researchers who are interested in theoretical aspects. The contents of the book can be used for doctoral-level courses and for research purposes. It is highly recommended for libraries. Overall, the book is a valuable reference for those involved in research and advanced-level teaching in this area. --Shalabh, Journal of the Royal Statistical Society, Series A, 2012

Author Information

Stanislav Anatolyev is Professor at the New Economic School, Moscow. He completed his Ph.D. degree at the University of Wisconsin-Madison in 2000, and now holds a Chair of Access Industries Professor of Economics at the New Economic School. Dr. Anatolyev has published his work in Econometrica, Econometric Theory, Journal of Business and Economic Statistics, Econometric Reviews, and other economic journals. Nikolay Gospodinov is Associate Professor of Economics at Concordia University, Montreal, and a Research Fellow of CIREQ. He completed his Ph.D. degree at Boston College in 2000. Dr. Gospodinov's previous research has appeared in Econometric Theory, Econometric Reviews, Econometrics Journal, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Financial Econometrics, and other economic journals.

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