Advances In Econometrics And Modelling
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Econometric Modeling
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Author : David F. Hendry
language : en
Publisher: Princeton University Press
Release Date : 2012-06-21
Econometric Modeling written by David F. Hendry and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-21 with Business & Economics categories.
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Financial Econometrics
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-22
Financial Econometrics written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-22 with Business & Economics categories.
A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
The Econometrics Of Macroeconomic Modelling
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Author : Gunnar Bårdsen
language : en
Publisher: Oxford University Press, USA
Release Date : 2005
The Econometrics Of Macroeconomic Modelling written by Gunnar Bårdsen and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
This work describes how the discipline has adapted to changing demands by adopting new insights from economic theory and by taking advantage of the methodological and conceptual advances within time series econometrics.
Dynamic Factor Models
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Author : Siem Jan Koopman
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-01-08
Dynamic Factor Models written by Siem Jan Koopman and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Business & Economics categories.
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Advances In Economics And Econometrics
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Author : Econometric Society. World Congress
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-27
Advances In Economics And Econometrics written by Econometric Society. World Congress and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-27 with Business & Economics categories.
The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
Advanced Econometrics
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Author : Takeshi Amemiya
language : en
Publisher: Harvard University Press
Release Date : 1985
Advanced Econometrics written by Takeshi Amemiya and has been published by Harvard University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Business & Economics categories.
The main features of this text are a thorough treatment of cross-section models—including qualitative response models, censored and truncated regression models, and Markov and duration models—and a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.
Advances In Non Linear Economic Modeling
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Author : Frauke Schleer-van Gellecom
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-11
Advances In Non Linear Economic Modeling written by Frauke Schleer-van Gellecom and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-11 with Business & Economics categories.
In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.
Advances In Econometrics And Modelling
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Author : B. Raj
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Advances In Econometrics And Modelling written by B. Raj and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.
During 1985-86, the acquisition editor for the humanities and social sciences division of Kluwer Academic Publishers in the Netherlands visited the University of Horida (where I was also visiting while on sabbatical leave from Wilfrid Laurier University as the McKethan-Matherly Senior Research Fellow) to discuss publishing plans of the faculty. He expressed a keen interest in publishing the proceedings of the conference of the Canadian Econometric Study Group (CESG) that was to be held the following year at WLU. This volume is the end product of his interest, endurance, and persistence. But for his persistence I would have given up on th~ project Most of the papers (though not all) included in this volume are based on presentations at CESG conferences. In some cases scholars were invited to contribute to this volume where their research complimented those presented at these conferences even though they were not conference participants. Since papers selected for presentation at the CESG conferences are generally the finished product of scholarly research and often under submission to refereed journals, it was not possible to publish the conference proceedings in their entirety. Accordingly it was decided, in consultation with the publisher, to invite a select list of authors to submit significant extensions of the papers they presented at the CESG conferences for inclusion in this volume. The editor wishes to express gratitude to all those authors who submitted their papers for evaluation by anonymous referees and for making revisions to conform to our editorial process.
Econometric Modelling With Time Series
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Author : Vance Martin
language : en
Publisher: Cambridge University Press
Release Date : 2013
Econometric Modelling With Time Series written by Vance Martin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.
Modelling Nonlinear Economic Time Series
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Author : Timo Teräsvirta
language : en
Publisher:
Release Date : 2010
Modelling Nonlinear Economic Time Series written by Timo Teräsvirta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Econometric models categories.
A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses their practical use, encouraging the reader to apply nonlinear models to their practical modelling problems.