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| Author | : David F. Hendry |
| Publisher | : Princeton University Press |
| Total Pages | : 378 |
| Release | : 2012-06-21 |
| Genre | : Business & Economics |
| ISBN | : 1400845653 |
Download Econometric Modeling Book in PDF, ePub and Kindle
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
| Author | : Vance Martin |
| Publisher | : Cambridge University Press |
| Total Pages | : 925 |
| Release | : 2013 |
| Genre | : Business & Economics |
| ISBN | : 0521139813 |
Download Econometric Modelling with Time Series Book in PDF, ePub and Kindle
"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.
| Author | : M. Beenstock |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 274 |
| Release | : 1993-09-30 |
| Genre | : Business & Economics |
| ISBN | : 9780412367205 |
Download Econometric Modelling of World Shipping Book in PDF, ePub and Kindle
Econometric Modelling of World Shipping describes an economic model that may be used to forecast world shipping markets. A unique feature of the model is that it relates to both sectors of world shipping, the dry cargo sector and the tanker sector. This is the first time that a model of this type has been published. This book also breaks new ground in explaining the behaviour of vessel prices, both new and secondhand.
| Author | : Aris Spanos |
| Publisher | : Cambridge University Press |
| Total Pages | : 722 |
| Release | : 1986-10-30 |
| Genre | : Business & Economics |
| ISBN | : 9780521269124 |
Download Statistical Foundations of Econometric Modelling Book in PDF, ePub and Kindle
A thorough foundation in probability theory and statistical inference provides an introduction to the underlying theory of econometrics that motivates the student at a intuitive as well as a formal level.
| Author | : Eugene Choo |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 447 |
| Release | : 2013-12-18 |
| Genre | : Business & Economics |
| ISBN | : 1783500530 |
Download Structural Econometric Models Book in PDF, ePub and Kindle
This volume focuses on recent developments in the use of structural econometric models in empirical economics. The first part looks at recent developments in the estimation of dynamic discrete choice models. The second part looks at recent advances in the area empirical matching models.
| Author | : Jean-Pierre Florens |
| Publisher | : Cambridge University Press |
| Total Pages | : 17 |
| Release | : 2007-07-02 |
| Genre | : Business & Economics |
| ISBN | : 1139466771 |
Download Econometric Modeling and Inference Book in PDF, ePub and Kindle
Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
| Author | : Antonio Aznar Grasa |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 265 |
| Release | : 2013-03-09 |
| Genre | : Business & Economics |
| ISBN | : 9401713588 |
Download Econometric Model Selection Book in PDF, ePub and Kindle
This book proposes a new methodology for the selection of one (model) from among a set of alternative econometric models. Let us recall that a model is an abstract representation of reality which brings out what is relevant to a particular economic issue. An econometric model is also an analytical characterization of the joint probability distribution of some random variables of interest, which yields some information on how the actual economy works. This information will be useful only if it is accurate and precise; that is, the information must be far from ambiguous and close to what we observe in the real world Thus, model selection should be performed on the basis of statistics which summarize the degree of accuracy and precision of each model. A model is accurate if it predicts right; it is precise if it produces tight confidence intervals. A first general approach to model selection includes those procedures based on both characteristics, precision and accuracy. A particularly interesting example of this approach is that of Hildebrand, Laing and Rosenthal (1980). See also Hendry and Richard (1982). A second general approach includes those procedures that use only one of the two dimensions to discriminate among models. In general, most of the tests we are going to examine correspond to this category.
| Author | : Terence C. Mills |
| Publisher | : Cambridge University Press |
| Total Pages | : 468 |
| Release | : 2008-03-20 |
| Genre | : Business & Economics |
| ISBN | : 9780521883818 |
Download The Econometric Modelling of Financial Time Series Book in PDF, ePub and Kindle
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
| Author | : David M. Kreps |
| Publisher | : Oxford University Press |
| Total Pages | : 204 |
| Release | : 1990 |
| Genre | : Business & Economics |
| ISBN | : 0198283814 |
Download Game Theory and Economic Modelling Book in PDF, ePub and Kindle
Comprises lectures given at Tel Aviv University and Oxford University in 1990.
| Author | : Stan Hurn |
| Publisher | : Oxford University Press, USA |
| Total Pages | : |
| Release | : 2020-02 |
| Genre | : Finance |
| ISBN | : 9780190857066 |
Download Financial Econometric Modeling Book in PDF, ePub and Kindle
"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--
