Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-16 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Download or read book Proceedings of the FISITA 2012 World Automotive Congress written by SAE-China and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the FISITA 2012 World Automotive Congress are selected from nearly 2,000 papers submitted to the 34th FISITA World Automotive Congress, which is held by Society of Automotive Engineers of China (SAE-China ) and the International Federation of Automotive Engineering Societies (FISITA). This proceedings focus on solutions for sustainable mobility in all areas of passenger car, truck and bus transportation. Volume 9: Automotive Safety Technology focuses on: •Automotive Structure Crashworthiness •Occupant and Child Safety Protection •Pedestrian Protection •Crash Biomechanics •Crash Pre-Judge Technology /Traffic Accident Analysis and reconstruction •Crash Compatibilty •Driving Action Perception and Safety Assistance System •Vehicle Controls on Handing and Stability •Safety Standards and International Regulations Above all researchers, professional engineers and graduates in fields of automotive engineering, mechanical engineering and electronic engineering will benefit from this book. SAE-China is a national academic organization composed of enterprises and professionals who focus on research, design and education in the fields of automotive and related industries. FISITA is the umbrella organization for the national automotive societies in 37 countries around the world. It was founded in Paris in 1948 with the purpose of bringing engineers from around the world together in a spirit of cooperation to share ideas and advance the technological development of the automobile.
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Download or read book Causality in Time Series Challenges in Machine Learning written by Florin Popescu and published by . This book was released on 2013-06 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume in the Challenges in Machine Learning series gathers papers from the Mini Symposium on Causality in Time Series, which was part of the Neural Information Processing Systems (NIPS) confernce in 2009 in Vancouver, Canada. These papers present state-of-the-art research in time-series causality to the machine learning community, unifying methodological interests in the various communities that require such inference.
Download or read book Identifying the Interdependence Between US Monetary Policy and the Stock Market written by Hilde C. Bjørnland and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (CEE 1999). We find great interdependence between interest rate setting and stock prices. Stock prices immediately fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price shock increasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute a major part of the surge in stock prices at the end of the 1990s to these non-fundamental shocks.
Download or read book Multiple Time Series Models written by Patrick T. Brandt and published by SAGE. This book was released on 2007 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features: * Offers a detailed comparison of different time series methods and approaches. * Includes a self-contained introduction to vector autoregression modeling. * Situates multiple time series modeling as a natural extension of commonly taught statistical models.
Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Principles of Statistical Inference written by D. R. Cox and published by Cambridge University Press. This book was released on 2006-08-10 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this definitive book, D. R. Cox gives a comprehensive and balanced appraisal of statistical inference. He develops the key concepts, describing and comparing the main ideas and controversies over foundational issues that have been keenly argued for more than two-hundred years. Continuing a sixty-year career of major contributions to statistical thought, no one is better placed to give this much-needed account of the field. An appendix gives a more personal assessment of the merits of different ideas. The content ranges from the traditional to the contemporary. While specific applications are not treated, the book is strongly motivated by applications across the sciences and associated technologies. The mathematics is kept as elementary as feasible, though previous knowledge of statistics is assumed. The book will be valued by every user or student of statistics who is serious about understanding the uncertainty inherent in conclusions from statistical analyses.
Download or read book High Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Download or read book Introduction to Empirical Processes and Semiparametric Inference written by Michael R. Kosorok and published by Springer Science & Business Media. This book was released on 2007-12-29 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.
Download or read book Robust Bayesian Analysis written by David Rios Insua and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robust Bayesian analysis aims at overcoming the traditional objection to Bayesian analysis of its dependence on subjective inputs, mainly the prior and the loss. Its purpose is the determination of the impact of the inputs to a Bayesian analysis (the prior, the loss and the model) on its output when the inputs range in certain classes. If the impact is considerable, there is sensitivity and we should attempt to further refine the information the incumbent classes available, perhaps through additional constraints on and/ or obtaining additional data; if the impact is not important, robustness holds and no further analysis and refinement would be required. Robust Bayesian analysis has been widely accepted by Bayesian statisticians; for a while it was even a main research topic in the field. However, to a great extent, their impact is yet to be seen in applied settings. This volume, therefore, presents an overview of the current state of robust Bayesian methods and their applications and identifies topics of further in terest in the area. The papers in the volume are divided into nine parts covering the main aspects of the field. The first one provides an overview of Bayesian robustness at a non-technical level. The paper in Part II con cerns foundational aspects and describes decision-theoretical axiomatisa tions leading to the robust Bayesian paradigm, motivating reasons for which robust analysis is practically unavoidable within Bayesian analysis.
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-06-17 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.
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 Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
