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Author : XY. Deistler,XY. Fürst,XY. Schwödlauer
Publisher : Springer Science & Business Media
Page : 380 pages
File Size : 50,8 Mb
Release : 2013-12-14
Category : Business & Economics
ISBN : 9783662415337
Author : M. Deistler,E. Furst,G. Schwodlauer
Publisher : Unknown
Page : 388 pages
File Size : 42,5 Mb
Release : 2014-09-01
Category : Electronic
ISBN : 3662415348
Author : Andrew C. Harvey
Publisher : Cambridge University Press
Page : 578 pages
File Size : 51,8 Mb
Release : 1990-02-22
Category : Business & Economics
ISBN : 9781107717145
In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.
Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 49,5 Mb
Release : 1982
Category : Electronic
ISBN : OCLC:841200494
Author : Klaus Neusser
Publisher : Springer
Page : 421 pages
File Size : 42,6 Mb
Release : 2016-06-14
Category : Business & Economics
ISBN : 9783319328621
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author : Cheng Hsiao,M. Hashem Pesaran,Kajal Lahiri,Lung Fei Lee
Publisher : Cambridge University Press
Page : 352 pages
File Size : 43,6 Mb
Release : 1999-07-29
Category : Business & Economics
ISBN : 9781139431347
This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.
Author : Tatsuro Ichiishi
Publisher : Elsevier
Page : 177 pages
File Size : 42,7 Mb
Release : 2014-06-28
Category : Mathematics
ISBN : 9781483295060
Game Theory for Economic Analysis
Author : Sanjit S. Dhami
Publisher : Oxford University Press
Page : 1799 pages
File Size : 54,9 Mb
Release : 2016
Category : Economics
ISBN : 9780198715528
It considers the evidence against the exponential discounted utility model and describes several behavioral models such as hyperbolic discounting, attribute based models and the reference time theory. Part IV describes the evidence on classical game theory and considers several models of behavioral game theory, including level-k and cognitive hierarchy models, quantal response equilibrium, and psychological game theory. Part V considers behavioral models of learning that include evolutionary game theory, classical models of learning, experience weighted attraction model, learning direction theory, and stochastic social dynamics. Part VI studies the role of emotions; among other topics it considers projection bias, temptation preferences, happiness economics, and interaction between emotions and cognition. Part VII considers bounded rationality. The three main topics considered are judgment heuristics and biases, mental accounting, and behavioral finance.
Author : Peter Hackl
Publisher : Springer Science & Business Media
Page : 495 pages
File Size : 41,5 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9783662025710
In 1984, the University of Bonn (FRG) and the International Institute for Applied System Analysis (IIASA) in Laxenburg (Austria), created a joint research group to analyze the relationship between economic growth and structural change. The research team was to examine the commodity composition as well as the size and direction of commodity and credit flows among countries and regions. Krelle (1988) reports on the results of this "Bonn-IIASA" research project. At the same time, an informal IIASA Working Group was initiated to deal with prob lems of the statistical analysis of economic data in the context of structural change: What tools do we have to identify nonconstancy of model parameters? What type of models are particularly applicable to nonconstant structure? How is forecasting affected by the presence of nonconstant structure? What problems should be anticipated in applying these tools and models? Some 50 experts, mainly statisticians or econometricians from about 15 countries, came together in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to present and discuss their findings. This volume contains a selected set of those conference contributions as well as several specially invited chapters.
Author : Lyman L. McDonald,Bryan F.J. Manly,Jeffrey A. Lockwood,Jesse A. Logan
Publisher : Springer Science & Business Media
Page : 500 pages
File Size : 48,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461236641
The papers in this volume were presented at a symposium/workshop on "The Estimation and Analysis of Insect Populations" that was held at the University of Wyoming, Laramie, in January, 1988. The meeting was organized with financial support from the United States - New Zealand Cooperative Science Program and the University of Wyoming. The purpose was to bring together approximately equal numbers of quantitative biologists and biometricians in order to (1) provide a synthesis and evaluation of currently available methods for modeling and estimating parameters of insect population, and to (2) stimulate research into new methods where this is appropriate. The symposium/workshop attracted 46 participants. There were 35 papers presented in four subject areas: analysis of stage-frequency data, modeling of population dynamiCS, analysis of spatial data, and general sampling and estimation methods. New results were presented in all these areas. All except one of the papers is included in the present volume.
Author : C. Wells
Publisher : Springer Science & Business Media
Page : 181 pages
File Size : 41,9 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9789401586115
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
Author : Kathleen M. Gates,Sy-Miin Chow,Peter C. M. Molenaar
Publisher : CRC Press
Page : 260 pages
File Size : 48,9 Mb
Release : 2023-01-31
Category : Mathematics
ISBN : 9781482230604
This book focuses on a span of statistical topics relevant to researchers who seek to conduct person-specific analysis of human data. Our purpose is to provide one consolidated resource that includes techniques from disciplines such as engineering, physics, statistics, and quantitative psychology and outlines their application to data often seen in human research. The book balances mathematical concepts with information needed for using these statistical approaches in applied settings, such as interpretative caveats and issues to consider when selecting an approach. The statistical topics covered here include foundational material as well as state-of-the-art methods. These analytic approaches can be applied to a range of data types such as psychophysiological, self-report, and passively collected measures such as those obtained from smartphones. We provide examples using varied data sources including functional MRI (fMRI), daily diary, and ecological momentary assessment data. Features: Description of time series, measurement, model building, and network methods for person-specific analysis Discussion of the statistical methods in the context of human research Empirical and simulated data examples used throughout the book R code for analyses and recorded lectures for each chapter available via a link available at www.routledge.com/9781482230598 Across various disciplines of human study, researchers are increasingly seeking to conduct person-specific analysis. This book provides comprehensive information, so no prior knowledge of these methods is required. We aim to reach active researchers who already have some understanding of basic statistical testing. Our book provides a comprehensive resource for those who are just beginning to learn about person-specific analysis as well as those who already conduct such analysis but seek to further deepen their knowledge and learn new tools.
Author : A. Colin Cameron,Pravin K. Trivedi
Publisher : Cambridge University Press
Page : 597 pages
File Size : 50,6 Mb
Release : 2013-05-27
Category : Business & Economics
ISBN : 9781107717794
Students in both social and natural sciences often seek regression methods to explain the frequency of events, such as visits to a doctor, auto accidents, or new patents awarded. This book, now in its second edition, provides the most comprehensive and up-to-date account of models and methods to interpret such data. The authors combine theory and practice to make sophisticated methods of analysis accessible to researchers and practitioners working with widely different types of data and software in areas such as applied statistics, econometrics, marketing, operations research, actuarial studies, demography, biostatistics and quantitative social sciences. The new material includes new theoretical topics, an updated and expanded treatment of cross-section models, coverage of bootstrap-based and simulation-based inference, expanded treatment of time series, multivariate and panel data, expanded treatment of endogenous regressors, coverage of quantile count regression, and a new chapter on Bayesian methods.
Author : Adrian Colin Cameron,Pravin K. Trivedi
Publisher : Cambridge University Press
Page : 597 pages
File Size : 51,9 Mb
Release : 2013-05-27
Category : Business & Economics
ISBN : 9781107014169
This book provides the most comprehensive and up-to-date account of regression methods to explain the frequency of events.
Author : Malte Faber
Publisher : Springer Science & Business Media
Page : 321 pages
File Size : 55,7 Mb
Release : 2013-03-14
Category : Business & Economics
ISBN : 9783642517013
The neglect of time in general and of the time structure of production in particular in mainstream economics led to the rebirth of the Austrian tradition in the seventies. The names of BERNHCLZ, HICKS, KIRZNER and VON WEIZSACKER are representative of different approaches. In 1979 my "Introduction to Modern Austrian Capital Theory" appeared, in which I unified various papers BERNHOLZ and I had written. I also linked our approach to those of VON NEUMANN, of HICKS and of neoclassical capital theory. These "Studies" supplement and continue my "Introduction" in various ways. With all the authors of the present volume I have cooperated for several years. This volume is subdivided into five parts. The first one, Historical Perspectives, gives first an outline on the development of Austrian capital theory from its origins to the present. Next it relates Modern Austrian Capital Theory to SRAFFA's theory and to the Austrian subjectivists' pure time preference theory of interest. The latter theory is represented in its opposition to the traditional productivity-cum-time preference explanation of interest, which is. common t9 neoclassical and BOHM-BAWERKian capital theory alike. The Austrian subjectivist pure time preference theory has been misinterpreted in its recent presentation, which has led to misunderstandings. It is shown that there is no real contradiction between the two appoaches.
