Messy data missing observations, outliers, and mixed-frequency data

Often applied econometricians are faced with working with data that is less than ideal. The data may be observed with gaps in it, a model may suggest variables that are observed at different frequencies, and sometimes econometric results are very fragile to the inclusion or omission of just a few ob...

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Bibliographic Details
Other Authors Hill, R. Carter
Format Electronic eBook
LanguageEnglish
Published Bingley, U.K. : Emerald, 1999.
SeriesAdvances in econometrics ; v. 13.
Subjects
Econometrics.
elektronické knihy
electronic books
Online AccessFull text
ISBN9781849508230
ISSN0731-9053 ;
DOI10.1108/S0731-9053(1999)13
Physical Description1 online resource (xii, 305 p.).

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Table of Contents:
  • Testing for random individual and time effects using unbalanced panel data / Qi Li
  • Messy time series : a unified approach / Jeremy Penzer
  • Simulation of multinomial probit probabilities and imputation of missing data / Steven Stern
  • Temporal disaggregation, missing observations, outliers, and forecasting : a unifying non-model-based procedure / Massimiliano Marcellino
  • Testing for unit roots in economic time series with missing observations / David E.A. Giles
  • A statistical approach for disaggregating mixed-frequency economic / Zhao-Guo Chen
  • Influential data diagnostics for transition data / Larry W. Taylor
  • The effects of different types of outliers on unit root tests / G.S. Maddala
  • An extended yule-walker method for estimating a vector autoregressive model with mixed-frequencey data / Peter A. Zadrozny
  • Missing data from infrequency of purchase : Bayesian estimation of a linear expenditure system / Ma. Rebecca Valenzuela
  • Introduction / Carter Hill.

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