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Author : Herman J. Bierens
Publisher : Cambridge University Press
Page : 274 pages
File Size : 51,7 Mb
Release : 1996-02-23
Category : Business & Economics
ISBN : 0521565111
A rigorous treatment of a number of timely topics in advanced econometrics.
Author : Phoebus J. Dhrymes
Publisher : Springer Science & Business Media
Page : 390 pages
File Size : 52,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461245483
For sometime now, I felt that the evolution of the literature of econo metrics had mandated a higher level of mathematical proficiency. This is particularly evident beyond the level of the general linear model (GLM) and the general linear structural econometric model (GLSEM). The problems one encounters in nonlinear econometrics are not easily amenable to treatment by the analytical methods one typically acquires, when one learns about probability and inference through the use of den sity functions. Even in standard traditional topics, one is often compelled to resort to heuristics; for example, it is difficult to prove central limit theorems for nonidentically distributed or martingale sequences, solely by the use of characteristic functions. Yet such proofs are essential, even in only moderately sophisticated classroom exposition. Unfortunately, relatively few students enter a graduate economics de partment ready to tackle probability theory in measure theoretic terms. The present volume has grown out of the need to lay the foundation for such discussions. The motivating forces were, chiefly, (a) the frustration one encounters in attempting to communicate certain concepts to stu dents wholly in analytic terms; and (b) the unwillingness of the typical student to sit through several courses in mathematics departments, in order to acquire the requisite background.
Author : Herman J. Bierens
Publisher : Unknown
Page : 258 pages
File Size : 42,8 Mb
Release : 1994
Category : Business & Economics
ISBN : 052141900X
A rigorous treatment of a number of timely topics in advanced econometrics.
Author : Phoebus James Dhrymes
Publisher : Unknown
Page : 128 pages
File Size : 45,5 Mb
Release : 2024-07-04
Category : Electronic
ISBN : 3540971785
Author : Phoebus J. Dhrymes
Publisher : Springer Science & Business Media
Page : 411 pages
File Size : 49,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461243021
This book is intended for second year graduate students and professionals who have an interest in linear and nonlinear simultaneous equations mod els. It basically traces the evolution of econometrics beyond the general linear model (GLM), beginning with the general linear structural econo metric model (GLSEM) and ending with the generalized method of mo ments (GMM). Thus, it covers the identification problem (Chapter 3), maximum likelihood (ML) methods (Chapters 3 and 4), two and three stage least squares (2SLS, 3SLS) (Chapters 1 and 2), the general nonlinear model (GNLM) (Chapter 5), the general nonlinear simultaneous equations model (GNLSEM), the special ca'3e of GNLSEM with additive errors, non linear two and three stage least squares (NL2SLS, NL3SLS), the GMM for GNLSEIVl, and finally ends with a brief overview of causality and re lated issues, (Chapter 6). There is no discussion either of limited dependent variables, or of unit root related topics. It also contains a number of significant innovations. In a departure from the custom of the literature, identification and consistency for nonlinear models is handled through the Kullback information apparatus, as well as the theory of minimum contrast (MC) estimators. In fact, nearly all estimation problems handled in this volume can be approached through the theory of MC estimators. The power of this approach is demonstrated in Chapter 5, where the entire set of identification requirements for the GLSEM, in an ML context, is obtained almost effortlessly, through the apparatus of Kullback information.
Author : Thomas B. Fomby,R. Carter Hill,Stanley R. Johnson
Publisher : Springer Science & Business Media
Page : 637 pages
File Size : 45,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781441987464
This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Author : John Chipman
Publisher : Routledge
Page : 409 pages
File Size : 54,7 Mb
Release : 2013-03-01
Category : Business & Economics
ISBN : 9781134340453
When learning econometrics, what better way than to be taught by one of its masters. In this significant new volume, John Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory. Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. The text covers multicollinearity and reduced-rank estimation, the treatment of linear restrictions and minimax estimation. Also included are chapters on the autocorrelation of residuals and simultaneous-equation estimation. By the end of the text, students will have a solid grounding in econometrics. Despite the frequent complexity of the subject matter, Chipman's clear explanations, concise prose and sharp analysis make this book stand out from others in the field. With mathematical rigor sharpened by a lifetime of econometric analysis, this significant volume is sure to become a seminal and indispensable text in this area.
Author : Phoebus J. Dhrymes
Publisher : Unknown
Page : 379 pages
File Size : 52,7 Mb
Release : 1989
Category : Econometrics
ISBN : OCLC:843740371
Author : Arthur Stanley Goldberger
Publisher : Harvard University Press
Page : 430 pages
File Size : 45,5 Mb
Release : 1991
Category : Business & Economics
ISBN : 0674175441
This text prepares first-year graduate students and advanced undergraduates for empirical research in economics, and also equips them for specialization in econometric theory, business, and sociology. A Course in Econometrics is likely to be the text most thoroughly attuned to the needs of your students. Derived from the course taught by Arthur S. Goldberger at the University of Wisconsin-Madison and at Stanford University, it is specifically designed for use over two semesters, offers students the most thorough grounding in introductory statistical inference, and offers a substantial amount of interpretive material. The text brims with insights, strikes a balance between rigor and intuition, and provokes students to form their own critical opinions. A Course in Econometrics thoroughly covers the fundamentals--classical regression and simultaneous equations--and offers clear and logical explorations of asymptotic theory and nonlinear regression. To accommodate students with various levels of preparation, the text opens with a thorough review of statistical concepts and methods, then proceeds to the regression model and its variants. Bold subheadings introduce and highlight key concepts throughout each chapter. Each chapter concludes with a set of exercises specifically designed to reinforce and extend the material covered. Many of the exercises include real microdata analyses, and all are ideally suited to use as homework and test questions.
Author : Fumio Hayashi
Publisher : Princeton University Press
Page : 708 pages
File Size : 55,9 Mb
Release : 2011-12-12
Category : Business & Economics
ISBN : 9781400823833
The most authoritative and comprehensive synthesis of modern econometrics available Econometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results. Econometrics covers all the important topics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models, such as probit and tobit, are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.
Author : Frederick van Der Ploeg
Publisher : Academic Press
Page : 649 pages
File Size : 52,5 Mb
Release : 2014-05-01
Category : Business & Economics
ISBN : 9781483270364
Advanced Lectures in Quantitative Economics summarizes some of the efforts of a second-phase program for first-rate candidates with a Master's degree in economics who wish to continue with a doctoral degree in quantitative economics. This book is organized into three main topics—macroeconomics, microeconomics, and econometrics. This text specifically discusses the Neo-Keynesian macroeconomics in an open economy, international coordination of monetary policies under alternative exchange-rate regimes, and prospects for global trade imbalances. The post-war developments in labor economics, introduction to overlapping generation models, and measurement of expectations and direct tests of the REH are also elaborated. This monograph likewise covers the dynamic econometric modeling of decisions under uncertainty and fundamental bordered matrix of linear estimation. This publication is a good reference for students and specialists interested in quantitative economics.
Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 784 pages
File Size : 49,5 Mb
Release : 2002
Category : Business & Economics
ISBN : 0262232197
A comprehensive state-of-the-art text on microeconometric methods.
Author : Oliver Linton
Publisher : Academic Press
Page : 388 pages
File Size : 55,8 Mb
Release : 2017-03-04
Category : Business & Economics
ISBN : 9780128104965
Probability, Statistics and Econometrics provides a concise, yet rigorous, treatment of the field that is suitable for graduate students studying econometrics, very advanced undergraduate students, and researchers seeking to extend their knowledge of the trinity of fields that use quantitative data in economic decision-making. The book covers much of the groundwork for probability and inference before proceeding to core topics in econometrics. Authored by one of the leading econometricians in the field, it is a unique and valuable addition to the current repertoire of econometrics textbooks and reference books. Synthesizes three substantial areas of research, ensuring success in a subject matter than can be challenging to newcomers Focused and modern coverage that provides relevant examples from economics and finance Contains some modern frontier material, including bootstrap and lasso methods not treated in similar-level books Collects the necessary material for first semester Economics PhD students into a single text
Author : Oliver Linton
Publisher : Cambridge University Press
Page : 585 pages
File Size : 54,7 Mb
Release : 2019-02-21
Category : Business & Economics
ISBN : 9781107177154
Presents an up-to-date treatment of the models and methodologies of financial econometrics by one of the world's leading financial econometricians.
Author : Edward Greenberg,Charles Edward Webster
Publisher : Unknown
Page : 374 pages
File Size : 49,7 Mb
Release : 1991
Category : Business & Economics
ISBN : UOM:39015042087299