Author : David E. A. Giles
Publisher : CRC Press
Page : 500 pages
File Size : 15,87 MB
Release : 2003-06-18
Category : Mathematics
ISBN : 0824755839
Emphasizing the impact of computer software and computational technology on econometric theory and development, this text presents recent advances in the application of computerized tools to econometric techniques and practices—focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.
Author : Juan Rodriguez Poo
Publisher : Springer Science & Business Media
Page : 346 pages
File Size : 37,17 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3642556868
The advent of low cost computation has made many previously intractable econometric models empirically feasible and computational methods are now realized as an integral part of the theory. This book provides graduate students and researchers not only with a sound theoretical introduction to the topic, but allows the reader through an internet based interactive computing method to learn from theory to practice the different techniques discussed in the book. Among the theoretical issues presented are linear regression analysis, univariate time series modelling with some interesting extensions such as ARCH models and dimensionality reduction techniques. The electronic version of the book including all computational possibilites can be viewed at http://www.xplore-stat.de/ebooks/ebooks.html
Author : Juan M. Rodríguez Poo
Publisher :
Page : 331 pages
File Size : 48,85 MB
Release : 2003
Category :
ISBN :
Author : Charles G. Renfro
Publisher : Springer Science & Business Media
Page : 317 pages
File Size : 23,12 MB
Release : 2009-06-29
Category : Business & Economics
ISBN : 3540755713
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 : Charles G. Renfro
Publisher : IOS Press
Page : 420 pages
File Size : 47,81 MB
Release : 2004
Category : Business & Economics
ISBN : 9781586034269
This publication contains a substantial amount of detail about the broad history of the development of econometric software based on the personal recollections of many people. For economists, the computer has increasingly become the primary applied research tool, and it is software that makes the computer work.
Author : Christian Gouriéroux
Publisher : OUP Oxford
Page : 190 pages
File Size : 18,78 MB
Release : 1997-01-09
Category : Business & Economics
ISBN : 019152509X
This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author : Humberto Barreto
Publisher : Cambridge University Press
Page : 810 pages
File Size : 48,62 MB
Release : 2006
Category : Business & Economics
ISBN : 9780521843195
This highly accessible and innovative text with supporting web site uses Excel (R) to teach the core concepts of econometrics without advanced mathematics. It enables students to use Monte Carlo simulations in order to understand the data generating process and sampling distribution. Intelligent repetition of concrete examples effectively conveys the properties of the ordinary least squares (OLS) estimator and the nature of heteroskedasticity and autocorrelation. Coverage includes omitted variables, binary response models, basic time series, and simultaneous equations. The authors teach students how to construct their own real-world data sets drawn from the internet, which they can analyze with Excel (R) or with other econometric software. The accompanying web site with text support can be found at www.wabash.edu/econometrics.
Author : David F. Hendry
Publisher : Princeton University Press
Page : 378 pages
File Size : 45,33 MB
Release : 2012-06-21
Category : Business & Economics
ISBN : 1400845653
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.
Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 1095 pages
File Size : 23,92 MB
Release : 2010-10-01
Category : Business & Economics
ISBN : 0262232588
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 : J.J. Heckman
Publisher : Elsevier
Page : 737 pages
File Size : 10,1 MB
Release : 2001-11-22
Category : Business & Economics
ISBN : 0080524796
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
