Small Sample Properties of Improved Estimators in Econometrics
価格：13,200円 (消費税：1,200円)
ISBN978-4-8329-0272-5(4-8329-0272-5) C3033
奥付の初版発行年月：1998年12月 ／ 発売日：1999年01月下旬
経済データはその数に限りがある． そのような状況での推定量の小標本特性を調べ，いかなる条件でどのような推定量を用いればよいかを示すことは， 理論的のみならず， 実証分析を行う研究者にも， 大きな示唆を与える．気鋭の研究者による，はじめての包括的研究．
長谷川 光（ハセガワ ヒカル）
Econometrics
Faculty of Economics and Business Administration
Hokkaido University
Kita 9 Nishi 7, Kita-ku, Sapporo 060-0809
Japan
目次
1 Introduction and outline.
Ⅰ Small sample properties of estimators in a normal and a linear regression model with inequality constraints.
2 Introduction to a model with inequality constraints.
3 Bayesian estimator of a normal mean subject to an inequality constraint.
4 Linear regression model with an interval constraint on coefficients.
5 Inequality constrained estimators in the heteroscedastic linear model.
Ⅱ Small sample properties of estimators in SURE model.
6 Introduction to SURE model.
7 Two SURE model with specification error.
8 Pre-test estimators after a test of independence in two SURE model.
9 Two SURE model with compound normal disturbances.
Ⅲ Risk comparisons of estimators under some loss functions.
10 Introduction of risk comparisons under some loss functions.
11 Risk comparisons under Inagaki's liss function.
12 Summary.