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 Advanced Econometric Methods written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Download or read book Econometric Applications of Maximum Likelihood Methods written by Jan Salomon Cramer and published by CUP Archive. This book was released on 1989-04-28 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of electronic computing permits the empirical analysis of economic models of far greater subtlety and rigour than before, when many interesting ideas were not followed up because the calculations involved made this impracticable. The estimation and testing of these more intricate models is usually based on the method of Maximum Likelihood, which is a well-established branch of mathematical statistics. Its use in econometrics has led to the development of a number of special techniques; the specific conditions of econometric research moreover demand certain changes in the interpretation of the basic argument. This book is a self-contained introduction to this field. It consists of three parts. The first deals with general features of Maximum Likelihood methods; the second with linear and nonlinear regression; and the third with discrete choice and related micro-economic models. Readers should already be familiar with elementary statistical theory, with applied econometric research papers, or with the literature on the mathematical basis of Maximum Likelihood theory. They can also try their hand at some advanced econometric research of their own.
Download or read book Econometric Methods and Applications written by G. S. Maddala and published by Edward Elgar Publishing. This book was released on 1994 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together G.S. Maddala's contributions to economics. Among the articles reprinted here are those on the bituminous coal industry, his criticism of the pseudo-data approach and size distribution of incomes. Each part offers a reconsideration of the issues in terms of recent developments.
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Download or read book Econometrics written by Badi H. Baltagi and published by Springer Science & Business Media. This book was released on 2007-11-21 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here at last is the fourth edition of the textbook that is required reading for economics students as well as those practising applied economics. Not only does it teach some of the basic econometric methods and the underlying assumptions behind them, but it also includes a simple and concise treatment of more advanced topics from spatial correlation to time series analysis. This book’s strength lies in its ability to present complex material in a simple, yet rigorous manner. This superb fourth edition updates identification and estimation methods in the simultaneous equation model. It also reviews the problem of weak instrumental variables as well as updating panel data methods.
Download or read book Econometrics written by Badi Hani Baltagi and published by Springer Science & Business Media. This book was released on 2002 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: As well as specification testing, Gauss-Newton regressions and regression diagnostics. In addition, the book features a set of empirical illustrations that demonstrate some of the basic results. The empirical exercises are solved using several econometric software packages.
Download or read book Monetary Policy in Transition written by M. Nikolic and published by Springer. This book was released on 2006-06-16 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the disastrous economic consequences of pseudo lending for pseudo reforms that occurred when the IMF, as a representative of the West, pretended to aid the transition economy of post-communist Russia through stabilization while the Russian government promised reforms.
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 Distributed Lags and Investment Analysis written by Leendert Marinus Koyck and published by . This book was released on 1980 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysis of Panels and Limited Dependent Variable Models written by Cheng Hsiao and published by Cambridge University Press. This book was released on 1999-07-29 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Analysis of Panel Data written by Cheng Hsiao and published by Cambridge University Press. This book was released on 2003-02-13 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews the basic econometric methods that have been used to analyze panel data - in other words, data collected by observing a number of individuals over time. Copyright © Libri GmbH. All rights reserved.
Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 804 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Econometrics 2nd Rev Ed written by Badi Hani Baltagi and published by Springer Science & Business Media. This book was released on 1998 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This reference introduces the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in time-series, spatial correlation, limited dependent variables and panel data models, as well as specification testing, Gauss-Newton regressions and regression diagnostics. The strengths of this book lie in presenting difficult material in a simple, yet rigorous manner. In addition, the book features a set of empirical illustrations that demonstrate some of the basic results. The empirical exercises are solved using several econometric software packages.
Download or read book Market Response Models written by Dominique M. Hanssens and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: From 1976 to the beginning of the millennium—covering the quarter-century life span of this book and its predecessor—something remarkable has happened to market response research: it has become practice. Academics who teach in professional fields, like we do, dream of such things. Imagine the satisfaction of knowing that your work has been incorporated into the decision-making routine of brand managers, that category management relies on techniques you developed, that marketing management believes in something you struggled to establish in their minds. It’s not just us that we are talking about. This pride must be shared by all of the researchers who pioneered the simple concept that the determinants of sales could be found if someone just looked for them. Of course, economists had always studied demand. But the project of extending demand analysis would fall to marketing researchers, now called marketing scientists for good reason, who saw that in reality the marketing mix was more than price; it was advertising, sales force effort, distribution, promotion, and every other decision variable that potentially affected sales. The bibliography of this book supports the notion that the academic research in marketing led the way. The journey was difficult, sometimes halting, but ultimately market response research advanced and then insinuated itself into the fabric of modern management.
Download or read book Introduction to Econometrics written by Christopher Dougherty and published by Oxford University Press, USA. This book was released on 2016 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining the rigour of econometric theory with an accessible style, Dougherty's step by step explanations and relevant practical exercises ensure students develop an intuitive understanding of econometrics, and gain hands-on experience of the tools used in economic and financial forecasting.
Download or read book Handbook of Markov Chain Monte Carlo written by Steve Brooks and published by CRC Press. This book was released on 2011-05-10 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since their popularization in the 1990s, Markov chain Monte Carlo (MCMC) methods have revolutionized statistical computing and have had an especially profound impact on the practice of Bayesian statistics. Furthermore, MCMC methods have enabled the development and use of intricate models in an astonishing array of disciplines as diverse as fisherie
