Download or read book Advanced Econometrics written by Takeshi Amemiya and published by Harvard University Press. This book was released on 1985 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Advanced Econometric Theory written by John Chipman and published by Routledge. This book was released on 2013-03-01 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Course in Econometrics written by Arthur Stanley Goldberger and published by Harvard University Press. This book was released on 1991 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Applied Econometrics with R written by Christian Kleiber and published by Springer Science & Business Media. This book was released on 2008-12-10 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Download or read book Econometrics written by Fumio Hayashi and published by Princeton University Press. This book was released on 2011-12-12 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Introduction to Statistics and Econometrics written by Takeshi Amemiya and published by Harvard University Press. This book was released on 1994 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comic Amy Schumer performs a stand-up set in San Francisco devoted to various aspects of her sex life and her feelings about her own body. ~ Perry Seibert, Rovi
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Download or read book Mastering Metrics written by Joshua D. Angrist and published by Princeton University Press. This book was released on 2014-12-21 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: From Joshua Angrist, winner of the Nobel Prize in Economics, and Jörn-Steffen Pischke, an accessible and fun guide to the essential tools of econometric research Applied econometrics, known to aficionados as 'metrics, is the original data science. 'Metrics encompasses the statistical methods economists use to untangle cause and effect in human affairs. Through accessible discussion and with a dose of kung fu–themed humor, Mastering 'Metrics presents the essential tools of econometric research and demonstrates why econometrics is exciting and useful. The five most valuable econometric methods, or what the authors call the Furious Five—random assignment, regression, instrumental variables, regression discontinuity designs, and differences in differences—are illustrated through well-crafted real-world examples (vetted for awesomeness by Kung Fu Panda's Jade Palace). Does health insurance make you healthier? Randomized experiments provide answers. Are expensive private colleges and selective public high schools better than more pedestrian institutions? Regression analysis and a regression discontinuity design reveal the surprising truth. When private banks teeter, and depositors take their money and run, should central banks step in to save them? Differences-in-differences analysis of a Depression-era banking crisis offers a response. Could arresting O. J. Simpson have saved his ex-wife's life? Instrumental variables methods instruct law enforcement authorities in how best to respond to domestic abuse. Wielding econometric tools with skill and confidence, Mastering 'Metrics uses data and statistics to illuminate the path from cause to effect. Shows why econometrics is important Explains econometric research through humorous and accessible discussion Outlines empirical methods central to modern econometric practice Works through interesting and relevant real-world examples
Download or read book Econometric Methods with Applications in Business and Economics written by Christiaan Heij and published by OUP Oxford. This book was released on 2004-03-25 with total page 1132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). · Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. · Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. · Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. · Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.
Download or read book A Guide to Econometrics written by Peter Kennedy and published by John Wiley & Sons. This book was released on 2008-02-19 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.
Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Download or read book Introduction to Econometrics written by Christopher Dougherty and published by Oxford University Press, USA. This book was released on 2011-03-03 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking a modern approach to the subject, this text provides students with a solid grounding in econometrics, using non-technical language wherever possible.
Download or read book Econometric Modelling with Time Series written by Vance Martin and published by Cambridge University Press. This book was released on 2013 with total page 925 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Download or read book Modeling Financial Time Series with S PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Download or read book Time Series Econometrics written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Part I. Unit roots and trend breaks -- Part II. Structural change
Download or read book Econometrics written by Bruce Hansen and published by Princeton University Press. This book was released on 2022-08-16 with total page 1080 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most authoritative and up-to-date core econometrics textbook available Econometrics is the quantitative language of economic theory, analysis, and empirical work, and it has become a cornerstone of graduate economics programs. Econometrics provides graduate and PhD students with an essential introduction to this foundational subject in economics and serves as an invaluable reference for researchers and practitioners. This comprehensive textbook teaches fundamental concepts, emphasizes modern, real-world applications, and gives students an intuitive understanding of econometrics. Covers the full breadth of econometric theory and methods with mathematical rigor while emphasizing intuitive explanations that are accessible to students of all backgroundsDraws on integrated, research-level datasets, provided on an accompanying websiteDiscusses linear econometrics, time series, panel data, nonparametric methods, nonlinear econometric models, and modern machine learningFeatures hundreds of exercises that enable students to learn by doingIncludes in-depth appendices on matrix algebra and useful inequalities and a wealth of real-world examplesCan serve as a core textbook for a first-year PhD course in econometrics and as a follow-up to Bruce E. Hansen’s Probability and Statistics for Economists
