Download or read book Econometrics Alchemy Or Science written by David F. Hendry and published by Oxford University Press on Demand. This book was released on 2000-10-26 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues.The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied andsimulation studies, it demonstrates that general-to-specific procedures have excellent properties.The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automatedmodel selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.
Download or read book Econometrics Alchemy Or Science written by David F. Hendry and published by . This book was released on 2000 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by OUP Oxford. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
Download or read book Econometrics as a Con Art written by Imad A. Moosa and published by Edward Elgar Publishing. This book was released on 2017-07-28 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.
Download or read book Dynamic Econometrics written by David F. Hendry and published by . This book was released on 1995 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Download or read book Advances in Econometrics Volume 2 written by Truman F. Bewley and published by Cambridge University Press. This book was released on 1994-11-25 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: With its focus on econometrics, this second volume contains key papers delivered at the Fifth World Congress in 1985.
Download or read book Probability Econometrics and Truth written by Hugo A. Keuzenkamp and published by Cambridge University Press. This book was released on 2000-11-02 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: When John Maynard Keynes likened Jan Tinbergen's early work in econometrics to black magic and alchemy, he was expressing a widely held view of a new discipline. However, even after half a century of practical work and theorizing by some of the most accomplished social scientists, Keynes' comments are still repeated today. This book assesses the foundations and development of econometrics and sets out a basis for the reconstruction of the foundations of econometric inference by examining the various interpretations of probability theory which underlie econometrics. Keuzenkamp claims that the probabilistic foundations of econometrics are weak, and although econometric inferences may yield interesting knowledge, claims to be able to falsify or verify economic theories are unwarranted. Methodological falsificationism in econometrics is an illusion. Instead, it is argued, econometrics should locate itself in the tradition of positivism.
Download or read book The Years of High Econometrics written by Francisco Louçã and published by Routledge. This book was released on 1998-11-05 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Econometrics and the Philosophy of Economics written by Bernt P. Stigum and published by Princeton University Press. This book was released on 2015-12-29 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: As most econometricians will readily agree, the data used in applied econometrics seldom provide accurate measurements for the pertinent theory's variables. Here, Bernt Stigum offers the first systematic and theoretically sound way of accounting for such inaccuracies. He and a distinguished group of contributors bridge econometrics and the philosophy of economics--two topics that seem worlds apart. They ask: How is a science of economics possible? The answer is elusive. Economic theory seems to be about abstract ideas or, it might be said, about toys in a toy community. How can a researcher with such tools learn anything about the social reality in which he or she lives? This book shows that an econometrician with the proper understanding of economic theory and the right kind of questions can gain knowledge about characteristic features of the social world. It addresses varied topics in both classical and Bayesian econometrics, offering ample evidence that its answer to the fundamental question is sound. The first book to comprehensively explore economic theory and econometrics simultaneously, Econometrics and the Philosophy of Economics represents an authoritative account of contemporary economic methodology. About a third of the chapters are authored or coauthored by Heather Anderson, Erik Biørn, Christophe Bontemps, Jeffrey A. Dubin, Harald E. Goldstein, Clive W.J. Granger, David F. Hendry, Herman Ruge-Jervell, Dale W. Jorgenson, Hans-Martin Krolzig, Nils Lid Hjort, Daniel L. McFadden, Grayham E. Mizon, Tore Schweder, Geir Storvik, and Herman K. van Dijk.
Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by Oxford University Press. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
Download or read book Econometrics written by Badi H. Baltagi and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended for a first year graduate course in econometrics. However, the first six chapters have no matrix algebra and can be used in an advanced undergraduate class. This can be supplemented by some of the material in later chapters that do not require matrix algebra, like the first part of Chapter 11 on simultaneous equations and Chapter 14 on time-series analysis. This book teaches some of the basic econometric methods and the underlying assumptions behind them. Estimation, hypotheses testing and prediction are three recurrent themes in this book. Some uses of econometric methods include (i) empirical testing of economic t- ory, whether it is the permanent income consumption theory or purchasing power parity, (ii) forecasting, whether it is GNP or unemployment in the U.S. economy or future sales in the c- puter industry. (iii) Estimation of price elasticities of demand, or returns to scale in production. More importantly, econometric methods can be used to simulate the effect of policy changes like a tax increase on gasoline consumption, or a ban on advertising on cigarette consumption.
Download or read book Cohort Analysis in Social Research written by W.M. Mason and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existence of the present volume can be traced to methodological concerns about cohort analysis, all of which were evident throughout most of the social sciences by the late 1970s. For some social scientists, they became part of a broader discussion concerning the need for new analytical techniques for research based on longitudinal data. In 1976, the Social Science Research Council (SSRC), with funds from the National Institute of Education, established a Committee on the Methodology of Longitudinal Research. (The scholars who comprised this committee are listed at the front of this volume. ) As part of the efforts of this Committee, an interdisciplinary conference on cohort analysis was held in the summer of 1979, in Snowmass, Colorado. Much of the work presented here stems from that conference, the purpose of which was to promote the development of general methodological tools for the study of social change. The conference included five major presentations by (1) William Mason and Herbert Smith, (2) Karl J6reskog and Dag S6rbom, (3) Gregory Markus, (4) John Hobcraft, Jane Menken and Samuel Preston, and (5) Stephen Fienberg and William Mason. The formal presentations were each followed by extensive discussion, which involved as participants: Paul Baltes, William Butz, Philip Converse, Otis Dudley Duncan, David Freedman, William Meredith, John Nesselroade, Daniel Price, Thomas Pullum, Peter Read, Matilda White Riley, Norman Ryder, Warren Sanderson, Warner Schaie, Burton Singer, Nancy Tuma, Harrison White, and Halliman Winsborough.
Download or read book Econometrics in a Formal Science of Economics written by Bernt P. Stigum and published by MIT Press. This book was released on 2015 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: An examination of the role of theory in applied econometrics.
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Download or read book The Art and Science of Econometrics written by Ping Zong and published by Routledge. This book was released on 2022-05-02 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today econometrics has been widely applied in the empirical study of economics. As an empirical science, econometrics uses rigorous mathematical and statistical methods for economic problems. Understanding the methodologies of both econometrics and statistics is a crucial departure for econometrics. The primary focus of this book is to provide an understanding of statistical properties behind econometric methods. Following the introduction in Chapter 1, Chapter 2 provides the methodological review of both econometrics and statistics in different periods since the 1930s. Chapters 3 and 4 explain the underlying theoretical methodologies for estimated equations in the simple regression and multiple regression models and discuss the debates about p-values in particular. This part of the book offers the reader a richer understanding of the methods of statistics behind the methodology of econometrics. Chapters 5–9 of the book are focused on the discussion of regression models using time series data, traditional causal econometric models, and the latest statistical techniques. By concentrating on dynamic structural linear models like state-space models and the Bayesian approach, the book alludes to the fact that this methodological study is not only a science but also an art. This work serves as a handy reference book for anyone interested in econometrics, particularly in relevance to students and academic and business researchers in all quantitative analysis fields.
Download or read book Time Series Econometrics written by John D. Levendis and published by Springer. This book was released on 2019-01-31 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Download or read book Social Ontology and Modern Economics written by Stephen Pratten and published by Routledge. This book was released on 2014-09-25 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists increasingly recognise that engagement with social ontology – the study of the basic subject matter and constitution of social reality - can facilitate more relevant analysis. This growing recognition amongst economists of the importance of social ontology is due very considerably to the work of members of the Cambridge Social Ontology Group. This volume brings together important papers by members of this group, some previously unpublished, in a collection that reveals the breadth and vitality of this Cambridge project. It provides a brilliant introduction to the central themes explored, perspectives sustained, insights achieved and how the project is moving forward. An initial set of papers examine how ontology is understood and justified within this Cambridge project and consider how it compares with prominent historical and contemporary alternatives. The majority of the included papers involve social ontological analysis being put to work directly in underlabouring for specific types of development in economics. The papers are grouped according to their contribution to clarifying and developing (i) various competing traditions and projects of modern economics, (ii) history of thought contributions, (iii) methodological concerns, (iv) ethics and (v) conceptions of particular aspects of social reality, including money, gender, technology and institutions. Background to and a brief history of the Cambridge group is provided in the Introduction. Social Ontology and Modern Economics will be of interest not only to economists but also philosophers of social science, social theorists and those eager to explore the nature of gender, social institutions and technology.
