The Years Of High Econometrics

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The Years of High Econometrics

Francisco Louçã
The Years of High Econometrics Book PDF

Author : Francisco Louçã
Publisher : Routledge
Page : 401 pages
File Size : 48,5 Mb
Release : 1998-11-05
Category : Business & Economics
ISBN : 9781134111480

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The Years of High Econometrics by Francisco Louçã Pdf

A fascinating and comprehensive history, this book explores the most important transformation in twentieth century economics: the creation of econometrics. Containing fresh archival material that has not been published before and taking Ragnar Frisch as the narrator, Francisco Louca discusses both the keys events - the establishment of the Econometric Society, the Cowles Commission and the journal Econometrica – and the major players - economists like Wesley Mitchell, mathematicians like John von Neumann and statisticians like Karl Pearson - in history that shaped the development of econometrics. He discusses the evolution of their thought, detailing the debates, the quarrels and the interrogations that crystallized their work and even offers a conclusion of sorts, suggesting that some of the more influential thinkers abandoned econometrics or became critical of its development. International in scope and appeal, The Years of High Econometrics is an excellent accompaniment for students taking courses on probability, econometric methods and the history of economic thought.

Handbook of Econometrics

Anonim
Handbook of Econometrics Book PDF

Author : Anonim
Publisher : North Holland
Page : 592 pages
File Size : 54,9 Mb
Release : 2020-12-14
Category : Business & Economics
ISBN : 9780444636492

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Handbook of Econometrics by Anonim Pdf

Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes the connection between econometrics and economics Highlights current topics for which no good summaries exist

Advances in Econometrics: Volume 1

Truman F. Bewley,Truman Fassett Bewley
Advances in Econometrics Volume 1 Book PDF

Author : Truman F. Bewley,Truman Fassett Bewley
Publisher : Cambridge University Press
Page : 332 pages
File Size : 52,5 Mb
Release : 1994-06-24
Category : Business & Economics
ISBN : 0521467268

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Advances in Econometrics: Volume 1 by Truman F. Bewley,Truman Fassett Bewley Pdf

With its focus on econometrics, this volume contains key papers delivered at the Fifth World Congress in 1985.

An Introduction to Mathematical Analysis for Economic Theory and Econometrics

Dean Corbae,Maxwell Stinchcombe,Juraj Zeman
An Introduction to Mathematical Analysis for Economic Theory and Econometrics Book PDF

Author : Dean Corbae,Maxwell Stinchcombe,Juraj Zeman
Publisher : Princeton University Press
Page : 696 pages
File Size : 53,5 Mb
Release : 2009-02-17
Category : Business & Economics
ISBN : 9781400833085

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An Introduction to Mathematical Analysis for Economic Theory and Econometrics by Dean Corbae,Maxwell Stinchcombe,Juraj Zeman Pdf

Providing an introduction to mathematical analysis as it applies to economic theory and econometrics, this book bridges the gap that has separated the teaching of basic mathematics for economics and the increasingly advanced mathematics demanded in economics research today. Dean Corbae, Maxwell B. Stinchcombe, and Juraj Zeman equip students with the knowledge of real and functional analysis and measure theory they need to read and do research in economic and econometric theory. Unlike other mathematics textbooks for economics, An Introduction to Mathematical Analysis for Economic Theory and Econometrics takes a unified approach to understanding basic and advanced spaces through the application of the Metric Completion Theorem. This is the concept by which, for example, the real numbers complete the rational numbers and measure spaces complete fields of measurable sets. Another of the book's unique features is its concentration on the mathematical foundations of econometrics. To illustrate difficult concepts, the authors use simple examples drawn from economic theory and econometrics. Accessible and rigorous, the book is self-contained, providing proofs of theorems and assuming only an undergraduate background in calculus and linear algebra. Begins with mathematical analysis and economic examples accessible to advanced undergraduates in order to build intuition for more complex analysis used by graduate students and researchers Takes a unified approach to understanding basic and advanced spaces of numbers through application of the Metric Completion Theorem Focuses on examples from econometrics to explain topics in measure theory

Contemporary Issues in Economics and Econometrics

Stan Hurn,Ralf Becker
Contemporary Issues in Economics and Econometrics Book PDF

Author : Stan Hurn,Ralf Becker
Publisher : Edward Elgar Publishing
Page : 264 pages
File Size : 42,5 Mb
Release : 2004-01-01
Category : Business & Economics
ISBN : 1782543759

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Contemporary Issues in Economics and Econometrics by Stan Hurn,Ralf Becker Pdf

'All of the papers share a high level of practical relevance and usefulness that is sometimes missing in economic research. Indeed, the reader will find that very issue taken up as the theme of Paul Klemperer's delightful essay, and all five papers under the heading of "econometric theory" will be extremely useful for most applied researchers. I hope that the reader will also share my feeling of gratitude toward Ralf Becker and Stan Hurn for putting together this outstanding permanent record of some of the conference's most important contributions.' - From the foreword by James D. Hamilton, University of California, San Diego, US This authoritative collection of papers covers a broad spectrum of topics in theoretical and applied economics and econometrics. The tone of the book is set by Paul Klemperer's contribution on using and abusing economic theory, in which academics are encouraged to widen the scope of their analyses beyond the confines of elegant models which sometimes lack 'real-world' detail. As a result, many of the chapters in this volume share a high degree of practical relevance.

High-Frequency Financial Econometrics

Yacine Aït-Sahalia,Jean Jacod
High Frequency Financial Econometrics Book PDF

Author : Yacine Aït-Sahalia,Jean Jacod
Publisher : Princeton University Press
Page : 683 pages
File Size : 40,7 Mb
Release : 2014-07-21
Category : Business & Economics
ISBN : 9780691161433

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High-Frequency Financial Econometrics by Yacine Aït-Sahalia,Jean Jacod Pdf

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

High-dimensional Econometrics And Identification

Kao Chihwa,Liu Long
High dimensional Econometrics And Identification Book PDF

Author : Kao Chihwa,Liu Long
Publisher : World Scientific
Page : 180 pages
File Size : 55,7 Mb
Release : 2019-04-10
Category : Business & Economics
ISBN : 9789811200175

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High-dimensional Econometrics And Identification by Kao Chihwa,Liu Long Pdf

In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could be very noisy, such as time-series spurious regression and weak instruments problems, to name a few. In this book, High-Dimensional Econometrics and Identification, we illustrate the true signal and, hence, identification can be recovered even with noisy data in high-dimensional data, e.g., large panels. High-dimensional data in econometrics is the rule rather than the exception. One of the tools to analyze large, high-dimensional data is the panel data model.High-Dimensional Econometrics and Identification grew out of research work on the identification and high-dimensional econometrics that we have collaborated on over the years, and it aims to provide an up-todate presentation of the issues of identification and high-dimensional econometrics, as well as insights into the use of these results in empirical studies. This book is designed for high-level graduate courses in econometrics and statistics, as well as used as a reference for researchers.

A History of Econometrics

Duo Qin
A History of Econometrics Book PDF

Author : Duo Qin
Publisher : OUP Oxford
Page : 258 pages
File Size : 47,7 Mb
Release : 2013-07-25
Category : Business & Economics
ISBN : 9780191668685

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A History of Econometrics by Duo Qin Pdf

Reformation of Econometrics is a sequel to The Formation of Econometrics: A Historical Perspective (1993, OUP) which traces the formation of econometric theory during the period 1930-1960. This book provides an account of the advances in the field of econometrics since the 1970s. Based on original research, it focuses on the reformists' movement and schools of thought and practices that attempted a paradigm shift in econometrics in the 1970s and 1980s. It describes the formation and consolidation of the Cowles Commission (CC) paradigm and traces and analyses the three major methodological attempts to resolve problems involved in model choice and specification of the CC paradigm. These attempts have reoriented the focus of econometric research from internal questions (how to optimally estimate a priori given structural parameters) to external questions (how to choose, design, and specify models). It also examines various modelling issues and problems through two case studies - modelling the Phillips curve and business cycles. The third part of the book delves into the development of three key aspects of model specification in detail - structural parameters, error terms, and model selection and design procedures. The final chapter uses citation analyses to study the impact of the CC paradigm over the span of three and half decades (1970-2005). The citation statistics show that the impact has remained extensive and relatively strong in spite of certain weakening signs. It implies that the reformative attempts have fallen short of causing a paradigm shift.

Nonparametric and Semiparametric Methods in Econometrics and Statistics

William A. Barnett,James Powell,George E. Tauchen
Nonparametric and Semiparametric Methods in Econometrics and Statistics Book PDF

Author : William A. Barnett,James Powell,George E. Tauchen
Publisher : Cambridge University Press
Page : 512 pages
File Size : 55,9 Mb
Release : 1991-06-28
Category : Business & Economics
ISBN : 0521424313

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Nonparametric and Semiparametric Methods in Econometrics and Statistics by William A. Barnett,James Powell,George E. Tauchen Pdf

Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.

Essays in Nonlinear Time Series Econometrics

Niels Haldrup,Mika Meitz,Pentti Saikkonen
Essays in Nonlinear Time Series Econometrics Book PDF

Author : Niels Haldrup,Mika Meitz,Pentti Saikkonen
Publisher : OUP Oxford
Page : 352 pages
File Size : 44,5 Mb
Release : 2014-06-26
Category : Business & Economics
ISBN : 9780191669545

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Essays in Nonlinear Time Series Econometrics by Niels Haldrup,Mika Meitz,Pentti Saikkonen Pdf

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Advances in Econometrics: Volume 1

Christopher A. Sims
Advances in Econometrics Volume 1 Book PDF

Author : Christopher A. Sims
Publisher : Cambridge University Press
Page : 334 pages
File Size : 53,9 Mb
Release : 1996-03-07
Category : Business & Economics
ISBN : 052156610X

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Advances in Econometrics: Volume 1 by Christopher A. Sims Pdf

The first of a two-volume set of articles reflecting the current state of research in econometrics.

Econometric Analysis of Cross Section and Panel Data, second edition

Jeffrey M. Wooldridge
Econometric Analysis of Cross Section and Panel Data second edition Book PDF

Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 1095 pages
File Size : 49,5 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.

Rescuing Econometrics

Duo Qin
Rescuing Econometrics Book PDF

Author : Duo Qin
Publisher : Taylor & Francis
Page : 129 pages
File Size : 41,9 Mb
Release : 2023-12-01
Category : Business & Economics
ISBN : 9781003819387

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Rescuing Econometrics by Duo Qin Pdf

Haavelmo’s 1944 monograph, The Probability Approach in Econometrics, is widely acclaimed as the manifesto of econometrics. This book challenges Haavelmo’s probability approach, shows how its use is delivering defective and inefficient results, and argues for a paradigm shift in econometrics towards a full embrace of machine learning, with its attendant benefits. Machine learning has only come into existence over recent decades, whereas the universally accepted and current form of econometrics has developed over the past century. A comparison between the two is, however, striking. The practical achievements of machine learning significantly outshine those of econometrics, confirming the presence of widespread inefficiencies in current econometric research. The relative efficiency of machine learning is based on its theoretical foundation, and particularly on the notion of Probably Approximately Correct (PAC) learning. Careful examination reveals that PAC learning theory delivers the goals of applied economic modelling research far better than Haavelmo’s probability approach. Econometrics should therefore renounce its outdated foundation, and rebuild itself upon PAC learning theory so as to unleash its pent-up research potential. The book is catered for applied economists, econometricians, economists specialising in the history and methodology of economics, advanced students, philosophers of social sciences.

Financial, Macro and Micro Econometrics Using R

Anonim
Financial Macro and Micro Econometrics Using R Book PDF

Author : Anonim
Publisher : Elsevier
Page : 352 pages
File Size : 43,5 Mb
Release : 2020-01-25
Category : Mathematics
ISBN : 9780128202517

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Financial, Macro and Micro Econometrics Using R by Anonim Pdf

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Finance in America

Kevin R. Brine,Mary Poovey
Finance in America Book PDF

Author : Kevin R. Brine,Mary Poovey
Publisher : University of Chicago Press
Page : 510 pages
File Size : 49,9 Mb
Release : 2017-11-14
Category : Business & Economics
ISBN : 9780226502212

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Finance in America by Kevin R. Brine,Mary Poovey Pdf

The economic crisis of 2008 led to an unprecedented focus on the world of high finance—and revealed it to be far more arcane and influential than most people could ever have imagined. Any hope of avoiding future crises, it’s clear, rest on understanding finance itself. To understand finance, however, we have to learn its history, and this book fills that need. Kevin R. Brine, an industry veteran, and Mary Poovey, an acclaimed historian, show that finance as we know it today emerged gradually in the late nineteenth century and only coalesced after World War II, becoming ever more complicated—and ever more central to the American economy. The authors explain the models, regulations, and institutions at the heart of modern finance and uncover the complex and sometimes surprising origins of its critical features, such as corporate accounting standards, the Federal Reserve System, risk management practices, and American Keynesian and New Classic monetary economics. This book sees finance through its highs and lows, from pre-Depression to post-Recession, exploring the myriad ways in which the practices of finance and the realities of the economy influenced one another through the years. A masterwork of collaboration, Finance in America lays bare the theories and practices that constitute finance, opening up the discussion of its role and risks to a broad range of scholars and citizens.