By D. A. Freedman, W. Navidi, S. C. Peters (auth.), Dr. Theo K. Dijkstra (eds.)

ISBN-10: 3540193677

ISBN-13: 9783540193678

ISBN-10: 3642615643

ISBN-13: 9783642615641

In this e-book difficulties on the topic of the alternative of types in such assorted fields as regression, covariance constitution, time sequence research and multinomial experiments are mentioned. The emphasis is at the statistical implications for version evaluation whilst the evaluate is completed with an analogous information that generated the version. this can be a challenge of lengthy status, infamous for its hassle. a few members talk about this challenge in an illuminating means. Others, and this can be a actually novel function, examine systematically even if pattern re-use tools just like the bootstrap can be utilized to evaluate the standard of estimators or predictors in a competent manner given the preliminary version uncertainty. The booklet may still end up to be helpful for complex practitioners and statistical methodologists alike.

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Additional resources for On Model Uncertainty and its Statistical Implications: Proceedings of a Workshop, Held in Groningen, The Netherlands, September 25–26, 1986

Example text

And Meese, R. (1981): Estimating regression models of finite but unknown order, International Economio Review, 22, 55-70. G. E. (1978): The statistical implTCations of pretest and Stein-rule estimators in econometrios, North-Holland, Amsterdam. E. (1983): Model choice and specification analysis, pp. 285330 in Griliches, Z. D. (eds): Handbook of Econometrics I, North-Holland, Amsterdam. Mosteller, F. W. (1977): Data analysis and regression, Addison-Wesley, Reading, Massachusetts. Verbeek, A. (1984): The geometry of model selection in regression, pp.

0 - 9' n - 20 *the mean se ub 3b. mean se ub 3a. 97 mc a Table 3. 000. S2 < a}. ' b2 and s2 are stochastically independent. So, asymptotically, 61' - (b1. ,0)' • More precisely, we can prove that A II x, II -0- A (6,-6,) I' ~ z, (19 ) So, ~ we have hit upon the simplest true model we can use the ~condi­ tional distribution to evaluate the accuracy of the ensuing estimator, provided the sample is sufficiently large. The latter proviso does not appear to be a real restriction. ' leading to model" for all situations described there plus a = 2 and a - log n.

0 Characteristic Jl - ~1) - ~1) - ~1) p - p1) var ~2) var ~2) 90% C.!. l. var C.!. 5 p - p1 ) var ~2) p var -2) 90% C.!. l. var C.!. 9 p1 ) var ~2) var ';;2) 90% C.!. l. var C.!. 0025 1) ABM( • ) in the case of the bootstrap. 2) ABV( • ) in the case of the bootstrap. l. length C.!. r. r. length C.!. var C.!. i3 _ p _ pl> ~1) var ~2) var ~2) 90% C. r. l. l. ) in the case of the bootstrap. ) in the case of the bootstrap. 8 1. 8 1. 75 1. 25 31. 25 53 lation pre-testing may give quite misleading results with regard to the autocorrelation parameter and the regression coefficient.

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On Model Uncertainty and its Statistical Implications: Proceedings of a Workshop, Held in Groningen, The Netherlands, September 25–26, 1986 by D. A. Freedman, W. Navidi, S. C. Peters (auth.), Dr. Theo K. Dijkstra (eds.)


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