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Author : P. C. B. Phillips,Dean Corbae,Steven N. Durlauf,Bruce E. Hansen
Publisher : Cambridge University Press
Page : 390 pages
File Size : 55,9 Mb
Release : 2006-01-09
Category : Business & Economics
ISBN : 0521807239
The essays in this book explore important theoretical and applied advances in econometrics.
Author : Qi Li,Jeffrey Scott Racine
Publisher : Princeton University Press
Page : 768 pages
File Size : 44,5 Mb
Release : 2023-07-18
Category : Business & Economics
ISBN : 9780691248080
A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Author : Panchanan Das
Publisher : Springer Nature
Page : 565 pages
File Size : 40,5 Mb
Release : 2019-09-05
Category : Business & Economics
ISBN : 9789813290198
This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Author : George G. Judge,William E. Griffiths,R. Carter Hill,Helmut Lütkepohl,Tsoung-Chao Lee
Publisher : John Wiley & Sons
Page : 1062 pages
File Size : 48,7 Mb
Release : 1991-01-16
Category : Business & Economics
ISBN : 9780471895305
This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Author : Jeffrey S. Racine
Publisher : Cambridge University Press
Page : 435 pages
File Size : 50,9 Mb
Release : 2019-06-27
Category : Business & Economics
ISBN : 9781108483407
Provides theory, open source R implementations, and the latest tools for reproducible nonparametric econometric research.
Author : John Chipman
Publisher : Routledge
Page : 409 pages
File Size : 55,6 Mb
Release : 2013-03-01
Category : Business & Economics
ISBN : 9781134340453
When learning econometrics, what better way than to be taught by one of its masters. In this significant new volume, John Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory. Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. The text covers multicollinearity and reduced-rank estimation, the treatment of linear restrictions and minimax estimation. Also included are chapters on the autocorrelation of residuals and simultaneous-equation estimation. By the end of the text, students will have a solid grounding in econometrics. Despite the frequent complexity of the subject matter, Chipman's clear explanations, concise prose and sharp analysis make this book stand out from others in the field. With mathematical rigor sharpened by a lifetime of econometric analysis, this significant volume is sure to become a seminal and indispensable text in this area.
Author : Mehmet Terzioğlu,Gordana Djurovic,Martin Bojaj
Publisher : BoD – Books on Demand
Page : 339 pages
File Size : 47,9 Mb
Release : 2021-03-17
Category : Business & Economics
ISBN : 9781839624865
The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.
Author : George G. Judge
Publisher : Unknown
Page : 1082 pages
File Size : 48,9 Mb
Release : 1988-03-31
Category : Business & Economics
ISBN : STANFORD:36105038429002
The second edition of this introduction to econometrics retains its comprehensive approach and includes new material such as a complete treatment of Bayesian inference, sampling theory, an appendix on linear algebra, and a computer handbook.
Author : Charles G. Renfro
Publisher : Springer Science & Business Media
Page : 317 pages
File Size : 52,6 Mb
Release : 2009-06-29
Category : Business & Economics
ISBN : 9783540755715
Econometric theory, as presented in textbooks and the econometric literature generally, is a somewhat disparate collection of findings. Its essential nature is to be a set of demonstrated results that increase over time, each logically based on a specific set of axioms or assumptions, yet at every moment, rather than a finished work, these inevitably form an incomplete body of knowledge. The practice of econometric theory consists of selecting from, applying, and evaluating this literature, so as to test its applicability and range. The creation, development, and use of computer software has led applied economic research into a new age. This book describes the history of econometric computation from 1950 to the present day, based upon an interactive survey involving the collaboration of the many econometricians who have designed and developed this software. It identifies each of the econometric software packages that are made available to and used by economists and econometricians worldwide.
Author : James Davidson
Publisher : Wiley-Blackwell
Page : 528 pages
File Size : 52,9 Mb
Release : 2000-04-07
Category : Business & Economics
ISBN : 0631215840
This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.
Author : Jennifer Castle,Neil Shephard
Publisher : OUP Oxford
Page : 464 pages
File Size : 54,9 Mb
Release : 2009-04-30
Category : Business & Economics
ISBN : 9780191553257
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
Author : Lászlo Mátyás,Patrick Sevestre
Publisher : Springer Science & Business Media
Page : 950 pages
File Size : 45,6 Mb
Release : 2008-04-06
Category : Business & Economics
ISBN : 9783540758921
This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Author : Bruce Hansen
Publisher : Princeton University Press
Page : 1080 pages
File Size : 50,7 Mb
Release : 2022-08-16
Category : Business & Economics
ISBN : 9780691235899
The most authoritative and up-to-date core econometrics textbook available Econometrics is the quantitative language of economic theory, analysis, and empirical work, and it has become a cornerstone of graduate economics programs. Econometrics provides graduate and PhD students with an essential introduction to this foundational subject in economics and serves as an invaluable reference for researchers and practitioners. This comprehensive textbook teaches fundamental concepts, emphasizes modern, real-world applications, and gives students an intuitive understanding of econometrics. Covers the full breadth of econometric theory and methods with mathematical rigor while emphasizing intuitive explanations that are accessible to students of all backgroundsDraws on integrated, research-level datasets, provided on an accompanying websiteDiscusses linear econometrics, time series, panel data, nonparametric methods, nonlinear econometric models, and modern machine learningFeatures hundreds of exercises that enable students to learn by doingIncludes in-depth appendices on matrix algebra and useful inequalities and a wealth of real-world examplesCan serve as a core textbook for a first-year PhD course in econometrics and as a follow-up to Bruce E. Hansen’s Probability and Statistics for Economists
Author : Christian Kleiber,Achim Zeileis
Publisher : Springer Science & Business Media
Page : 229 pages
File Size : 54,7 Mb
Release : 2008-12-10
Category : Business & Economics
ISBN : 9780387773186
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Author : Ben Vogelvang
Publisher : Pearson Education
Page : 390 pages
File Size : 46,6 Mb
Release : 2005
Category : Business & Economics
ISBN : 0273683748
This work provides a broad introduction to quantitative economic methods, for example how models arise, their underlying assumptions and how estimates of parameters or other economic quantities are computed. The emphasis is on understanding how to select the right method of analysis for a given situation.
