Author : Myoung-jae Lee
Publisher : Springer Science & Business Media
Page : 285 pages
File Size : 48,6 MB
Release : 2013-04-17
Category : Business & Economics
ISBN : 1475725507
In this book the author surveys new techniques in econometrics which may be used to analyse semiparametric models. As well as covering topics such as instrumental variable estimation, nonparametric density and regression function estimation and semiparametric limited dependent variable models, the book provides details of how these methods may be implemented using software.
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Page : pages
File Size : 44,36 MB
Release : 2010
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Author : Myoung-jae Lee
Publisher : Springer Science & Business Media
Page : 789 pages
File Size : 33,39 MB
Release : 2009-09-28
Category : Business & Economics
ISBN : 0387688412
Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers
Author : Myoung-jae Lee
Publisher : Emerald Group Pub Limited
Page : 195 pages
File Size : 29,18 MB
Release : 2002
Category : Business & Economics
ISBN : 9780124406568
Disk contains: Four data sets -- Ten GAUSS programs for empirical examples in text.
Author : Christian Gouriéroux
Publisher : OUP Oxford
Page : 190 pages
File Size : 40,28 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 : A. Colin Cameron
Publisher : Cambridge University Press
Page : 1058 pages
File Size : 42,72 MB
Release : 2005-05-09
Category : Business & Economics
ISBN : 1139444867
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Author : Laszlo Matyas
Publisher : Cambridge University Press
Page : 332 pages
File Size : 13,56 MB
Release : 1999-04-13
Category : Business & Economics
ISBN : 9780521669672
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Author : Cheng Hsiao
Publisher : Cambridge University Press
Page : 352 pages
File Size : 13,82 MB
Release : 1999-07-29
Category : Business & Economics
ISBN : 113943134X
This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.
Author : Grace Y. Yi
Publisher : CRC Press
Page : 648 pages
File Size : 28,55 MB
Release : 2021-09-28
Category : Mathematics
ISBN : 1351588591
Measurement error arises ubiquitously in applications and has been of long-standing concern in a variety of fields, including medical research, epidemiological studies, economics, environmental studies, and survey research. While several research monographs are available to summarize methods and strategies of handling different measurement error problems, research in this area continues to attract extensive attention. The Handbook of Measurement Error Models provides overviews of various topics on measurement error problems. It collects carefully edited chapters concerning issues of measurement error and evolving statistical methods, with a good balance of methodology and applications. It is prepared for readers who wish to start research and gain insights into challenges, methods, and applications related to error-prone data. It also serves as a reference text on statistical methods and applications pertinent to measurement error models, for researchers and data analysts alike. Features: Provides an account of past development and modern advancement concerning measurement error problems Highlights the challenges induced by error-contaminated data Introduces off-the-shelf methods for mitigating deleterious impacts of measurement error Describes state-of-the-art strategies for conducting in-depth research
Author : Ron Mittelhammer (Prof.)
Publisher : Cambridge University Press
Page : 794 pages
File Size : 12,78 MB
Release : 2000-07-28
Category : Business & Economics
ISBN : 9780521623940
The text and accompanying CD-ROM develop step by step a modern approach to econometric problems. They are aimed at talented upper-level undergraduates, graduate students, and professionals wishing to acquaint themselves with the pinciples and procedures for information processing and recovery from samples of economic data. The text fully provides an operational understanding of a rich set of estimation and inference tools, including tradional likelihood based and non-traditional non-likelihood based procedures, that can be used in conjuction with the computer to address economic problems.
