Estimation Of Simultaneous Equation Models With Error Components Structure

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Estimation of Simultaneous Equation Models with Error Components Structure

Jayalakshmi Krishnakumar
Estimation of Simultaneous Equation Models with Error Components Structure Book PDF

Author : Jayalakshmi Krishnakumar
Publisher : Springer Science & Business Media
Page : 371 pages
File Size : 44,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642456473

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Estimation of Simultaneous Equation Models with Error Components Structure by Jayalakshmi Krishnakumar Pdf

Economists can rarely perform controlled experiments to generate data. Existing information in the form of real-life observations simply has to be utilized in the best possible way. Given this, it is advantageous to make use of the increasing availability and accessibility of combinations of time-series and cross-sectional data in the estimation of economic models. But such data call for a new methodology of estimation and hence for the development of new econometric models. This book proposes one such new model which introduces error components in a system of simultaneous equations to take into account the temporal and cross-sectional heterogeneity of panel data. After a substantial survey of panel data models, the newly proposed model is presented in detail and indirect estimations, full information and limited information estimations, and estimations with and without the assumption of normal distribution errors. These estimation methods are then applied using a computer to estimate a model of residential electricity demand using data on American households. The results are analysed both from an economic and from a statistical point of view.

Panel Data Analysis

Baldev Raj,Badi H. Baltagi
Panel Data Analysis Book PDF

Author : Baldev Raj,Badi H. Baltagi
Publisher : Springer Science & Business Media
Page : 223 pages
File Size : 44,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642501272

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Panel Data Analysis by Baldev Raj,Badi H. Baltagi Pdf

A number of advances have taken place in panel data analysis during the pastthree decades and it continues to be one of the most active areas of research. This volume contains 13 significant contributions focusing on modelling strategies, data issues, theoretical analysis and applications. Applied econometrics papers on the economics of labor, health, telecommunications, finance and macroeconomics are provided as well as a survey of recent theoretical developments in panal data analysis. Contributors include both well known scholars and younger researchers from Australia, Canada, Europe and the United States of America.

The Econometrics of Panel Data

László Mátyás,Patrick Sevestre
The Econometrics of Panel Data Book PDF

Author : László Mátyás,Patrick Sevestre
Publisher : Springer Science & Business Media
Page : 564 pages
File Size : 53,9 Mb
Release : 2013-12-01
Category : Business & Economics
ISBN : 9789400903753

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The Econometrics of Panel Data by László Mátyás,Patrick Sevestre Pdf

The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross section and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, and point processes.

The Econometrics of Panel Data

Lászlo Mátyás,Patrick Sevestre
The Econometrics of Panel Data Book PDF

Author : Lászlo Mátyás,Patrick Sevestre
Publisher : Springer Science & Business Media
Page : 966 pages
File Size : 45,8 Mb
Release : 2008-04-06
Category : Business & Economics
ISBN : 9783540758921

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The Econometrics of Panel Data by Lászlo Mátyás,Patrick Sevestre Pdf

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.

Handbook of Applied Economic Statistics

Aman Ullah
Handbook of Applied Economic Statistics Book PDF

Author : Aman Ullah
Publisher : CRC Press
Page : 650 pages
File Size : 41,7 Mb
Release : 1998-02-03
Category : Mathematics
ISBN : 0824701291

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Handbook of Applied Economic Statistics by Aman Ullah Pdf

This work examines theoretical issues, as well as practical developments in statistical inference related to econometric models and analysis. This work offers discussions on such areas as the function of statistics in aggregation, income inequality, poverty, health, spatial econometrics, panel and survey data, bootstrapping and time series.

Econometric Analysis of Panel Data

Badi Baltagi
Econometric Analysis of Panel Data Book PDF

Author : Badi Baltagi
Publisher : John Wiley & Sons
Page : 239 pages
File Size : 45,9 Mb
Release : 2008-06-30
Category : Business & Economics
ISBN : 9780470518861

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Econometric Analysis of Panel Data by Badi Baltagi Pdf

Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.

From Data to Model

Jan C. Willems
From Data to Model Book PDF

Author : Jan C. Willems
Publisher : Springer Science & Business Media
Page : 254 pages
File Size : 44,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642750076

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From Data to Model by Jan C. Willems Pdf

The problem of obtaining dynamical models directly from an observed time-series occurs in many fields of application. There are a number of possible approaches to this problem. In this volume a number of such points of view are exposed: the statistical time series approach, a theory of guaranted performance, and finally a deterministic approximation approach. This volume is an out-growth of a number of get-togethers sponsered by the Systems and Decision Sciences group of the International Institute of Applied Systems Analysis (IIASA) in Laxenburg, Austria. The hospitality and support of this organization is gratefully acknowledged. Jan Willems Groningen, the Netherlands May 1989 TABLE OF CONTENTS Linear System Identification- A Survey page 1 M. Deistler A Tutorial on Hankel-Norm Approximation 26 K. Glover A Deterministic Approach to Approximate Modelling 49 C. Heij and J. C. Willems Identification - a Theory of Guaranteed Estimates 135 A. B. Kurzhanski Statistical Aspects of Model Selection 215 R. Shibata Index 241 Addresses of Authors 246 LINEAR SYSTEM IDENTIFICATION· A SURVEY M. DEISTLER Abstract In this paper we give an introductory survey on the theory of identification of (in general MIMO) linear systems from (discrete) time series data. The main parts are: Structure theory for linear systems, asymptotic properties of maximum likelihood type estimators, estimation of the dynamic specification by methods based on information criteria and finally, extensions and alternative approaches such as identification of unstable systems and errors-in-variables. Keywords Linear systems, parametrization, maximum likelihood estimation, information criteria, errors-in-variables.

Analysis of Panel Data

Cheng Hsiao
Analysis of Panel Data Book PDF

Author : Cheng Hsiao
Publisher : Cambridge University Press
Page : 539 pages
File Size : 48,9 Mb
Release : 2022-07-07
Category : Business & Economics
ISBN : 9781316512104

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Analysis of Panel Data by Cheng Hsiao Pdf

A comprehensive introduction of fundamental panel data methodologies.

Invariance and Structural Dependence

Jan Odelstad
Invariance and Structural Dependence Book PDF

Author : Jan Odelstad
Publisher : Springer Science & Business Media
Page : 255 pages
File Size : 54,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642483882

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Invariance and Structural Dependence by Jan Odelstad Pdf

This is a revised version of a doctoral thesis, submitted in mimeographed fonn to the Faculty of Arts, Uppsala University, 1988. It deals with the notions of struc tural dependence and independence, which are used in many applications of mathe matics to science. For instance, a physical law states that one physical aspect is structurally dependent on one or more other aspects. Structural dependence is closely related to the mathematical idea of functional dependence. However, struc tural dependence is primarily thought of as a relation holding between aspects rather than between their measures. In this book, the traditional way of treating aspects within measurement theory is modified. An aspect is not viewed as a set-theoretical structure but as a function which has sets as arguments and set-theoretical structures as values. This way of regarding aspects is illustrated with an application to social choice and group deci sion theory. Structural dependence is connected with the idea of concomitant variations and the mathematical notion of invariance. This implies that the study of this notion has roots going back to Mill's inductive logic, to Klein's Erlangen Program for geome try and to Padoa's method for proving the independence of symbols in formal logic.

Topics in Structural VAR Econometrics

Carlo Giannini
Topics in Structural VAR Econometrics Book PDF

Author : Carlo Giannini
Publisher : Springer Science & Business Media
Page : 144 pages
File Size : 50,9 Mb
Release : 2013-11-11
Category : Business & Economics
ISBN : 9783662027578

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Topics in Structural VAR Econometrics by Carlo Giannini Pdf

1. Introduction 1 2. Identification Analysis and F.I.M.L. Estimation for the K-Mode1 10 3. Identification Analysis and F.I.ML. Estimation for the C-Model 23 4. Identification Analysis and F.I.M.L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 .a Impulse Response Analysis 44 5.b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6.a Long-run A-priori Information 58 6.b Deterministic Components 62 6.c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U.S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.

Causal and Stochastic Elements in Business Cycles

Arvid Aulin
Causal and Stochastic Elements in Business Cycles Book PDF

Author : Arvid Aulin
Publisher : Springer Science & Business Media
Page : 132 pages
File Size : 45,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642957383

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Causal and Stochastic Elements in Business Cycles by Arvid Aulin Pdf

A critical examination of The prevailing orthodoxy according to which all macroeconomic theory should be reducible to microeconomics. The book provides a mathematical extension of the Lucas theory to allow for the effects of creation of knowledge upon economic development so as to improve the prediction of business cycle data.

The Elements of a Nonlinear Theory of Economic Dynamics

Carl Chiarella
The Elements of a Nonlinear Theory of Economic Dynamics Book PDF

Author : Carl Chiarella
Publisher : Springer Science & Business Media
Page : 162 pages
File Size : 50,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642467073

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The Elements of a Nonlinear Theory of Economic Dynamics by Carl Chiarella Pdf

Elements of a Nonlinear Theory of Economic Dynamics provides both a framework and a survey of its needs. First, principle results and techniques of the theory relevant to applications in dynamic economics are discussed, then their application in view of older endogenous cycle theories are considered in a unified mathematical framework. Models incorporating the government budget constraint and the Goodwin model are analysed using the method of averaging and the centre manifold theory. The dynamic instability problem is solved by placing models in a nonlinear framework.

Handbook of Research Methods and Applications in Economic Geography

Charlie Karlsson,Martin Andersson,Therese Norman
Handbook of Research Methods and Applications in Economic Geography Book PDF

Author : Charlie Karlsson,Martin Andersson,Therese Norman
Publisher : Edward Elgar Publishing
Page : 661 pages
File Size : 50,9 Mb
Release : 2015-02-27
Category : Social Science
ISBN : 9780857932679

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Handbook of Research Methods and Applications in Economic Geography by Charlie Karlsson,Martin Andersson,Therese Norman Pdf

The main purpose of this Handbook is to provide overviews and assessments of the state-of-the-art regarding research methods, approaches and applications central to economic geography. The chapters are written by distinguished researchers from a variet

Operator Theorems with Applications to Distributive Problems and Equilibrium Models

Antonio Villar
Operator Theorems with Applications to Distributive Problems and Equilibrium Models Book PDF

Author : Antonio Villar
Publisher : Springer Science & Business Media
Page : 166 pages
File Size : 43,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642457111

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Operator Theorems with Applications to Distributive Problems and Equilibrium Models by Antonio Villar Pdf

Presentation Many economic problems, as equilibrium models, input-output analysis, rational behaviour, etc. , are usually modelled in terms of operators in Euclidean spaces. This monograph deals with the analysis of a number of formal problems involving this kind of operators (with particular reference to complementarity problems and variational inequalities), and their applications to distributive problems and equilibrium models. Thus the purpose of this work is to provide a set of new results on the solvability of those problems, and a number of economic applications that will illustrate the interest of these results in economics. It is worth stressing from the very begining that our analysis concentrates on the existence (and in some cases optimality) of solutions. That is what is meant here by solvability (in particular, nothing will be said with respect to the uniqueness, stability, sensitivity analysis or computation of solutions). The results on the solvability of operator problems presented here, were actually arrived at as a way of solving specific economic models. Yet we are going to relate this case by somehow reversing the way it happened, that is, starting with the formal results and then presenting a number of economic models which appear as applications of VIII these formal results. The rationale for this approach is twofold. First, it provides a neat track via which to go through the whole work. Then, because I would like to emphasize the interest of complementarity and variational inequalities problems in economic modelling.

A Macroeconomic Model of West German Unemployment

Michael Reutter
A Macroeconomic Model of West German Unemployment Book PDF

Author : Michael Reutter
Publisher : Springer Science & Business Media
Page : 133 pages
File Size : 50,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642181597

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A Macroeconomic Model of West German Unemployment by Michael Reutter Pdf

This book was accepted in 1999 as doctoral thesis (Dr. oec. publ. ) by the faculty of economics of the Ludwig-Maximilians-Universitat in Munich. It won the dissertation price of the Alumni-Club of the economics faculty in the academic year 2000. Financial assistance by the German Research Asso ciation (DFG) for printing costs is gratefully acknowledged. I have to thank the people behind the B\'IF,X-project, in particular Donald Knuth and Leslie Lamport, for their wonderful typesetting program. The supervisors of my thesis were Prof. Dr. G. Flaig and Prof. Dr. D. Marin. I would like thank both for their thorough reading of the book and their ideas and critical remarks. lowe much gratitude to my academic teacher Prof. Dr. G. Flaig for many insightful conversations about modern time series econometrics, asymptotic theory and data problems. His empha sis on clear theory combined with sound econometric methods formed my personal ideal of how to do applied economics. After he left the university in 1998I had the opportunity to continue my work at the Center for Economic Studies. Prof. Dr. H. -W. Sinn and my new colleaguesat CES provided a stim ulating environment for the completion of my dissertation. Finally, I want to thank my parents, my sister and my friends for being there and sharing my cheers and worries. Munich, October 2000 Michael Reutter Our main concern in philosophy and in science should be the search fortruth. Justification is not an aim; and brilliance and cleverness as such are boring.