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Author : Ernst R. Berndt
Publisher : Reading, Mass. ; Don Mills, Ont. : Addison-Wesley Publishing Company
Page : 728 pages
File Size : 41,9 Mb
Release : 1991
Category : Econometrics
ISBN : UIUC:30112096365280
Provides hands-on experience of econometrics with estimation and inference. Each chapter begins with a discussion of economic theory underlying the application.
Author : Marno Verbeek
Publisher : Walter de Gruyter GmbH & Co KG
Page : 284 pages
File Size : 52,6 Mb
Release : 2021-10-25
Category : Business & Economics
ISBN : 9783110660814
Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation
Author : George G. Judge,William E. Griffiths,R. Carter Hill,Helmut Lütkepohl,Tsoung-Chao Lee
Publisher : John Wiley & Sons
Page : 1062 pages
File Size : 48,9 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 : Jennifer Castle,Neil Shephard
Publisher : OUP Oxford
Page : 464 pages
File Size : 45,5 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 : Panchanan Das
Publisher : Springer Nature
Page : 565 pages
File Size : 52,6 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 : P. C. B. Phillips,Dean Corbae,Steven N. Durlauf,Bruce E. Hansen
Publisher : Cambridge University Press
Page : 390 pages
File Size : 53,6 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 : 45,6 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 : H. Neudecker,R.D.H. Heijmans
Publisher : Springer Science & Business Media
Page : 276 pages
File Size : 51,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789400935914
In the autumn of 1961 Jan Salomon ('Mars') Cramer was appointed to the newly established chair of econometrics at the University of Amsterdam. This volume is published to commemorate this event. It is well-known how much econometrics has developed over the period under consideration, the 25 years that elapsed between 1961 and 1986. This is specifically true for the areas in which Cramer has been actively interested. We mention the theory and measurement of consumer behaviour; money and income; regression, correla tion and forecasting. In the present volume this development will be high lighted. Sixteen contributions have been sollicited from scholars all over the world who have belonged to the circle of academic friends of Cramer for a shorter or longer part of the period of 25 years. The contributions fall broadly speaking into the four areas mentioned above. Theory and measurement of consumer behaviour is represented by four papers, whereas a fifth paper deals with a related area. Richard Blundell and Costas Meghir devote a paper to the estimation of Engel curves. They apply a discrete choice model to British (individual) data from the Family Expenditure Survey 1981. Their aim is to assess the impact of individual characteristics such as income, demographic structure, location, wages and prices on commodity expenditure.
Author : Jeffrey Zax
Publisher : Stanford University Press
Page : 672 pages
File Size : 40,6 Mb
Release : 2011-03-31
Category : Business & Economics
ISBN : 9780804777209
Introductory Econometrics: Intuition, Proof, and Practice attempts to distill econometrics into a form that preserves its essence, but that is acceptable—and even appealing—to the student's intellectual palate. This book insists on rigor when it is essential, but it emphasizes intuition and seizes upon entertainment wherever possible. Introductory Econometrics is motivated by three beliefs. First, students are, perhaps despite themselves, interested in questions that only econometrics can answer. Second, through these answers, they can come to understand, appreciate, and even enjoy the enterprise of econometrics. Third, this text, which presents select innovations in presentation and practice, can provoke readers' interest and encourage the responsible and insightful application of econometric techniques. In particular, author Jeffrey S. Zax gives readers many opportunities to practice proofs—which are challenging, but which he has found to improve student comprehension. Learning from proofs gives readers an organic understanding of the message behind the numbers, a message that will benefit them as they come across statistics in their daily lives. An ideal core text for foundational econometrics courses, this book is appropriate for any student with a solid understanding of basic algebra—and a willingness to use that tool to investigate complicated issues.
Author : Charles G. Renfro
Publisher : Springer Science & Business Media
Page : 317 pages
File Size : 40,9 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 : Christian Kleiber,Achim Zeileis
Publisher : Springer Science & Business Media
Page : 229 pages
File Size : 45,8 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 : R. Carter Hill,William E. Griffiths,George G. Judge
Publisher : Wiley
Page : 192 pages
File Size : 51,5 Mb
Release : 2000-10-26
Category : Business & Economics
ISBN : 0471412392
This book explores econometrics using an intuitive approach that begins with an economic model. It emphasizes motivation, understanding, and implementation and shows readers how economic data are used with economic and statistical models as a basis for estimating key economic parameters, testing economic hypotheses and predicting economic outcomes.
Author : Chris Brooks
Publisher : Cambridge University Press
Page : 752 pages
File Size : 54,7 Mb
Release : 2008-05-22
Category : Business & Economics
ISBN : 9781139472302
This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Author : R. D. H. Heijemans,Heinz Neudecker
Publisher : Unknown
Page : 273 pages
File Size : 51,7 Mb
Release : 1987
Category : Econometric models
ISBN : 9024727308
Author : George G. Judge
Publisher : Unknown
Page : 1072 pages
File Size : 52,9 Mb
Release : 1988-03-31
Category : Business & Economics
ISBN : STANFORD:36105009650578
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.