Modeling Dependence In Econometrics

Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta
Publisher : Springer Science & Business Media
Page : 575 pages
File Size : 42,9 Mb
Release : 2013-11-18
Category : Technology & Engineering
ISBN : 9783319033952

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Modeling Dependence in Econometrics by Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta Pdf

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta
Publisher : Unknown
Page : 596 pages
File Size : 54,8 Mb
Release : 2013-11-30
Category : Electronic
ISBN : 3319033964

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Modeling Dependence in Econometrics by Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta Pdf

Author : Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez
Publisher : Springer
Page : 258 pages
File Size : 48,6 Mb
Release : 2017-10-13
Category : Mathematics
ISBN : 9783319642215

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Copulas and Dependence Models with Applications by Manuel Úbeda Flores,Enrique de Amo Artero,Fabrizio Durante,Juan Fernández Sánchez Pdf

This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

Author : Pravin K. Trivedi,P. K. Trivedi,David M. Zimmer
Publisher : Now Publishers Inc
Page : 126 pages
File Size : 47,8 Mb
Release : 2007
Category : Business & Economics
ISBN : 9781601980205

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Copula Modeling by Pravin K. Trivedi,P. K. Trivedi,David M. Zimmer Pdf

Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties

Author : Christian Gourieroux
Publisher : Cambridge University Press
Page : 398 pages
File Size : 40,9 Mb
Release : 1991
Category : Business & Economics
ISBN : 0521589851

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Econometrics of Qualitative Dependent Variables by Christian Gourieroux Pdf

This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.

Author : Ibragimov Rustam,Prokhorov Artem
Publisher : World Scientific
Page : 304 pages
File Size : 52,8 Mb
Release : 2017-02-24
Category : Business & Economics
ISBN : 9789814689816

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Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance by Ibragimov Rustam,Prokhorov Artem Pdf

This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

Author : G. S. Maddala
Publisher : Cambridge University Press
Page : 418 pages
File Size : 44,5 Mb
Release : 1983
Category : Business & Economics
ISBN : 0521338255

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Limited-Dependent and Qualitative Variables in Econometrics by G. S. Maddala Pdf

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical (those for which a suitable category can be found but where no actual measurement exists) or truncated (those that can be observed only in certain ranges). Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling. Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author.

Author : Ivan Jeliazkov,Justin Tobias
Publisher : Emerald Group Publishing
Page : 272 pages
File Size : 47,8 Mb
Release : 2019-10-18
Category : Business & Economics
ISBN : 9781838674199

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Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling by Ivan Jeliazkov,Justin Tobias Pdf

Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression.

Author : Cheng Hsiao,M. Hashem Pesaran,Kajal Lahiri,Lung Fei Lee
Publisher : Cambridge University Press
Page : 128 pages
File Size : 51,9 Mb
Release : 1999-07-29
Category : Business & Economics
ISBN : 9781139431347

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Analysis of Panels and Limited Dependent Variable Models by Cheng Hsiao,M. Hashem Pesaran,Kajal Lahiri,Lung Fei Lee Pdf

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 : Harry Joe,Dorota Kurowicka
Publisher : World Scientific
Page : 370 pages
File Size : 42,9 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814299886

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Dependence Modeling by Harry Joe,Dorota Kurowicka Pdf

1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka

Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 1095 pages
File Size : 43,6 Mb
Release : 2010-10-01
Category : Business & Economics
ISBN : 9780262232586

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Econometric Analysis of Cross Section and Panel Data, second edition by Jeffrey M. Wooldridge Pdf

The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Author : L. Anselin
Publisher : Springer Science & Business Media
Page : 295 pages
File Size : 44,8 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9789401577991

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Spatial Econometrics: Methods and Models by L. Anselin Pdf

Spatial econometrics deals with spatial dependence and spatial heterogeneity, critical aspects of the data used by regional scientists. These characteristics may cause standard econometric techniques to become inappropriate. In this book, I combine several recent research results to construct a comprehensive approach to the incorporation of spatial effects in econometrics. My primary focus is to demonstrate how these spatial effects can be considered as special cases of general frameworks in standard econometrics, and to outline how they necessitate a separate set of methods and techniques, encompassed within the field of spatial econometrics. My viewpoint differs from that taken in the discussion of spatial autocorrelation in spatial statistics - e.g., most recently by Cliff and Ord (1981) and Upton and Fingleton (1985) - in that I am mostly concerned with the relevance of spatial effects on model specification, estimation and other inference, in what I caIl a model-driven approach, as opposed to a data-driven approach in spatial statistics. I attempt to combine a rigorous econometric perspective with a comprehensive treatment of methodological issues in spatial analysis.

Author : Myoung-jae Lee
Publisher : Springer Science & Business Media
Page : 770 pages
File Size : 47,6 Mb
Release : 2009-09-28
Category : Business & Economics
ISBN : 9780387688411

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Micro-Econometrics by Myoung-jae Lee Pdf

Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers

Author : Joseph Plasmans
Publisher : Springer Science & Business Media
Page : 412 pages
File Size : 40,7 Mb
Release : 2006-08-30
Category : Business & Economics
ISBN : 0387257608

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Modern Linear and Nonlinear Econometrics by Joseph Plasmans Pdf

The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are: -A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools. -Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others. -Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet. What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems.

Author : Stefan Klotz
Publisher : LIT Verlag Münster
Page : 212 pages
File Size : 44,7 Mb
Release : 2004
Category : Business & Economics
ISBN : 3825879186

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Cross Sectional Dependence in Spatial Econometric Models by Stefan Klotz Pdf

This book is concerned with spatial dependence in econometric models, offering a work of reference to the applied researcher. In economics, spatial aspects are usually somewhat disregarded, which - as is shown and quantified here - may seriously impair research results. It presents the basic tool kit of treating cross sectional dependence, which typically occurs between spatial observations. The methods are introduced as straightforward enhancement of standard econometric models and methods, placing emphasis on the practical aspects of their features.