Studies in estimation and testing

摘要

This collection of papers grew out of a weekend meeting of econometricians held at the Wrigley Conference Center of the University of Southern California at Catalina Island in May 1998. This conference, the fifth of them, was given the descriptive name "Camp Econometrics" by its originator Dennis J. Aigner. Forty participants of the six campuses of the University of California (Berkeley, Davis, Irvine, Los Angeles, San Diego, Riverside), the University of Southern California, the California Institute of Technology, the Rand Corporation, and visitors from Brown, Chicago, Cornell, Massachusetts Institute of Technology, Southern Methodist University, INRA, University of Aarhus, University of Wellington, and Tilburg University spent almost 3 days together in meetings and casual conversations to share thoughts on a wide range of research topics in econometrics. The diversity and energy that characterize the Camp Econometrics conference may be illustrated by the nine papers appearing here. There is nodominant theme. Nevertheless, they fall into two main categories estimation and testing. They cover a fairly wide range of topics, from the estimation of nonlinear models, censored regression models, panel dynamic discrete choice model to the construction of confidence intervals for autoregressive coefficients near one, tests of spillover effects and conditional symmetry in time series, tests of equality in nonparametric regression to the choice of the repetition size for bootstrapping methods to achieve desirable accuracy. Moreover, all the papers make contributions that are readily useful to practitioners. Some contain empirical examples that demonstrate this directly for new methods. Others aim to evaluate available methods and hence give advice that is of specific practical usefulness.