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Wald Tests And Systems Of Stochastic Equations

In: Econometrics, Statistics And Computational Approaches In Food And Health Sciences

Author

Listed:
  • ALOK BHARGAVA

    (University of Pennsylvania, U.S.A.)

Abstract

AbstractThe following sections are included:INTRODUCTIONTHE DERIVATION OF THE VARIANCE COVARIANCE MATRIX UNDER THE MULTIVARIATE NORMALITY ASSUMPTIONDISTRIBUTIONAL MISSPECIFICATION AND WALD TESTSAN EMPIRICAL APPLICATION TO PANEL DATACONCLUSIONREFERENCES

Suggested Citation

  • Alok Bhargava, 2006. "Wald Tests And Systems Of Stochastic Equations," World Scientific Book Chapters,in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 2, pages 29-48 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812773319_0002
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    Cited by:

    1. Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Finite sample performance of the robust Wald test in simultaneous equation systems," MPRA Paper 22557, University Library of Munich, Germany.
    2. Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M., 2014. "Minimum distance estimation of the errors-in-variables model using linear cumulant equations," Journal of Econometrics, Elsevier, vol. 183(2), pages 211-221.
    3. repec:spr:adstae:978-3-540-75571-5 is not listed on IDEAS
    4. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
    5. Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014. "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, vol. 183(2), pages 151-167.
    6. Bhargava, Alok, 2014. "Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US," Journal of Econometrics, Elsevier, vol. 183(2), pages 241-250.
    7. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
    8. Alok Bhargava, 2013. "Executive compensation, share repurchases and investment expenditures: econometric evidence from US firms," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 403-422, April.

    More about this item

    Keywords

    Econometrics; Nutrition; Health; Child Development; Psychology; Behavioral Nutrition; Demography; Anthropology; Economic Development; Agricultural Economics; Environmental Sciences; Epidemiology; Nonlinear Optimization;

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
    • Z18 - Other Special Topics - - Cultural Economics - - - Public Policy

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