Statistics and econometric models/
Christian Gourierour and Alain Monfort
- Cambridge: Cambridge University Press, 1995.
- 2 v. (xv, 526 p.) : ill. ; 24 cm.
- (Themes in modern econometrics) .
v. 1. General concepts, estimation, prediction, and algorighms. -- v. 2. Testing, confidence regions, model selection and asymptotic theory
1. Introduction to tests of hypotheses-- 2. Uniformly most powerful tests-- 3. Unbiased tests and invariant tests-- 4. Likelihood based tests-- 5. General asymptotic tests-- 6. Multiple tests-- 7. Set estimation and confidence regions-- 8. Inequality constraints: estimation and testing-- 9. Nonnested tests and model selection criteria-- 10. Asymptotic efficiency-- 11. Asymptotic theory-- Appendix A. Review of linear algebra and matrix calculus--Appendix B. Review of probability.