[S] call for papers on "estimating functions" econometric applications

Fri, 6 Mar 1998 13:59:20 -0500

Dear Computationally Talented Statisticians/Econometricians

Since working on applications of so-called "estimating functions"
needs computational talents, I am sending this call for papers
to this list. I hope you don't mind! If you are working on this
topic, read on, otherwise skip!

Subj: Call for Papers, Oct 1998, Hamilton, Ontario, Canada

Godambe-Durbin estimating functions from 1960's have lately been
developed by statisticians into a full-fledged theory of estimating
functions (EFs). When the heteroscedasticity is somehow related to the mean,
it can be proved that EFs provide a superior inference compared to the
Gauss-Markov theorem or compared to the usual method of maximum
likelihood (ML). It can also provide an alternative to GMM generalized
method of moments. In my experience EFs work rather well in practice.
Biostatisticians have used it extensively and a review appears in
1995 Statistical Science, Vol 10, p.158 (authors: Liang and Zeger).
The best reference is a 1997 book by C. C. Heyde (Springer Verlag)
"Quasi-likelihood and its applications" deals with the EF theory.
Institute of Math Stat (IMS) had a symposium of EFs and the
Selected Proceedings volume edited by I. Basawa et.al.
is published by the IMS as their vol. 32 of Lecture Notes-Monograph
Series. Section 4 deals with applications to econometrics, wherein
I have a paper on pages 215-238, which suggests an alternative to GMM
in Consumption based capital asset pricing model (C-CAPM).

I am interested organizing a session at a forthcoming meeting of
International Indian Statistical Asssociation on a weekend (Oct. 10-11)
in McMaster University, Hamilton, Ontario, Canada (near Toronto).
If any of you are working on application of EFs to econometrics,
please contact me. The conference proceedings will be published.
However, before making a formal announcement, I would like to assess
the interest of econometricians. I would need at least 4 potential papers
before taking the necessary steps for a formal announcement in Econometrica,
AER, etc.

If you are planning to write a paper, in what appears to be a hot new area,
and are at a preliminary stage, I might be of some assistance.
Please let me know as soon as possible.

H. D. Vinod
Professor of Economics
Fordham University
Bronx, NY 10458

tel: 718-817-4065 or 201-568-5976 (res)

This message was distributed by s-news@wubios.wustl.edu. To unsubscribe
send e-mail to s-news-request@wubios.wustl.edu with the BODY of the
message: unsubscribe s-news