Advances in econometrics and quantitative economics : essays in honor of Professor C.R. Rao / edited by G.S. Maddala, Peter C.B. Phillips and T.N. Srinivasan.

Includes bibliographical references (pages [463]-489) and index.

A Conversation with C. R. Rao / M. H. DeGroot -- 1. Specification Tests in Limited Dependent Variable Models / G. S. Maddala -- 2. The Optimality of Extended Score Tests with Applications to Testing for a Moving Average Unit Root / Katsuto Tanaka -- 3. Score Diagnostics for Linear Models Estimated by Two Stage Least Squares / Jeffrey M. Wooldridge -- 4. Asymptotic Expansions in Statistics: a Review of Methods and Applications / Rabi N. Bhattacharya and Madan L. Puri -- 5. An Asymptotic Expansion for the Distribution of Test Criteria Which Are Asymptotically Distributed as Chi-squared under Contiguous Alternatives / Alberto Holly and Lucien Gardiol -- 6. Estimation in Semiparametric Models: a Review / Oliver Linton -- 7. Pooling Nonparametric Estimates of Regression Functions with a Similar Shape / C. A. P. Pinkse and P. M. Robinson -- 8. On the Theory of Testing Covariance Stationarity under Moment Condition Failure / Peter C. B. Phillips and Mico Loretan --

9. Pattern Identification of ARMA Models / T. W. Anderson -- 10. Convergence Rates for Series Estimators / Whitney K. Newey -- 11. Generalized Least Squares with Nonnormal Errors / Christopher L. Cavanagh and Thomas J. Rothenberg -- 12. Factor Analysis under More General Conditions with Reference to Heteroskedasticity of Unknown Form / John G. Cragg and Stephen G. Donald -- 13. Inference in Factor Models / Christian Gourieroux, Alain Monfort and Eric Renault -- 14. Expectations: Are They Rational, Adaptive, or Naive? / Marc Nerlove and Til Schuermann -- 15. Tests of Some Hypotheses about the Time Series Behavior of Commodity Prices / Pravin K. Trivedi -- 16. A Review of the Derivation and Calculation of Rao Distances with an Application to Portfolio Theory / Uwe Jensen -- A Brief Biography of C. R. Rao and a List of His Publications.

Advances in Econometrics and Quantitative Economics brings together contributions from those acknowledged to be among the world's leading econometricians and statisticians.

The focus of the volume is the application of statistical methods to econometrics. The range and quality of the contributions gives unparalleled coverage of the current state of knowledge in the field. Each article is designed to be both rigorous and accessible to give in-depth coverage of key topics such as: semiparametric and nonparametric inference; multivariate analysis; diagnostic tests; time series models; and asymptotic expansions.

The book is dedicated to Professor C.R. Rao in honor of his unique contribution to the subject. It will be an essential text and reference tool for both students and researchers in statistics and economics.