Part I.&nbsp;&nbsp; Identification and Efficient Estimation<br/>1.&nbsp;&nbsp; Incredible Structural Inference 3<br/>thomas j. rothenberg<br/>2.&nbsp;&nbsp; Structural Equation Models in Human Behavior Genetics 11<br/>arthur s. goldberger<br/>3.&nbsp;&nbsp; Unobserved Heterogeneity and Estimation of Average Partial Effects 27<br/>jeffrey m. wooldridge<br/>4.&nbsp;&nbsp; On Specifying Graphical Models for Causation and the Identification Problem 56<br/>david a. freedman<br/>5.&nbsp;&nbsp; Testing for Weak Instruments in Linear IV Regression 80<br/>james h. stock and motohiro yogo<br/>6.&nbsp;&nbsp; Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments 109<br/>james h. stock and motohiro yogo<br/>7.&nbsp;&nbsp; Identifying a Source of Financial Volatility 121<br/>douglas g. steigerwald and richard<br/>j. vagnoni<br/>Part II.&nbsp;&nbsp; Asymptotic Approximations<br/>8.&nbsp;&nbsp; Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 149<br/>hidehiko ichimura and oliver linton<br/>9.&nbsp;&nbsp; Higher-order Improvements of the Parametric Bootstrap for Markov Processes 171<br/>donald w. k. andrews<br/>vi<br/>Contents<br/>10.&nbsp;&nbsp; The Performance of Empirical Likelihood and Its Generalizations 216<br/>guido w. imbens and richard h. spady<br/>11.&nbsp;&nbsp; Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters 245<br/>whitney k. newey, joaquim j. s. ramalho, and<br/>richard j. smith<br/>12.&nbsp;&nbsp; Empirical Evidence Concerning the Finite Sample Performance of EL-type Structural Equation Estimation and Inference Methods&nbsp; 282<br/>ron c. mittelhammer, george g. judge, and ron schoenberg<br/>13.&nbsp;&nbsp; How Accurate is the Asymptotic Approximation to the Distribution of Realised Variance? 306<br/>ole e. barndorff-nielsen and neil shephard<br/>14.&nbsp;&nbsp; Testing the Semiparametric Box–Cox Model with the Bootstrap 332<br/>n. e. savin and allan h. w ¨urtz<br/>Part III.&nbsp;&nbsp; Inference Involving Potentially Nonstationary Time Series<br/>15.&nbsp;&nbsp; Tests of the Null Hypothesis of Cointegration Based on Efficient Tests for a Unit MA Root 357<br/>michael jansson<br/>16.&nbsp;&nbsp; Robust Confidence Intervals for Autoregressive Coefficients Near One 375<br/>samuel b. thompson<br/>17.&nbsp;&nbsp; A Unified Approach to Testing for Stationarity and Unit Roots&nbsp;&nbsp;&nbsp; 403<br/>andrew c. harvey<br/>18.&nbsp;&nbsp; A New Look at Panel Testing of Stationarity and the PPP Hypothesis 426<br/>jushan bai and serena ng<br/>19.&nbsp;&nbsp; Testing for Unit Roots in Panel Data: An Exploration Using Real and Simulated Data 451<br/>brownwyn h. hall and jacques mairesse<br/>20.&nbsp;&nbsp; Forecasting in the Presence of Structural Breaks and Policy Regime Shifts 480<br/>david f. hendry and grayham e. mizon<br/>Part IV.&nbsp;&nbsp; Nonparametric and Semiparametric Inference<br/>21.&nbsp;&nbsp; Nonparametric Testing of an Exclusion Restriction 505<br/>peter j. bickel, ya’acov ritov, and thomasm. stoker<br/>22.&nbsp;&nbsp; Pairwise Difference Estimators for Nonlinear Models 520<br/>bo e. honor &acute;e and james l. powell<br/>23.&nbsp;&nbsp; Density Weighted Linear Least Squares 554<br/>whitney k. newey and paul a. ruud
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