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| Author | : Imad A. Moosa |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 296 |
| Release | : 2017-07-28 |
| Genre | : |
| ISBN | : 1785369954 |
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.
| Author | : John Y. Campbell |
| Publisher | : Princeton University Press |
| Total Pages | : 630 |
| Release | : 2012-06-28 |
| Genre | : Business & Economics |
| ISBN | : 1400830214 |
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.
| Author | : Ping Zong |
| Publisher | : Routledge |
| Total Pages | : 264 |
| Release | : 2022 |
| Genre | : Econometrics |
| ISBN | : 9781032227269 |
The primary focus of this book is on providing an understanding of statistical properties behind econometric methods. 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.
| Author | : Joshua D. Angrist |
| Publisher | : Princeton University Press |
| Total Pages | : 392 |
| Release | : 2009-01-04 |
| Genre | : Business & Economics |
| ISBN | : 0691120358 |
In addition to econometric essentials, this book covers important new extensions as well as how to get standard errors right. The authors explain why fancier econometric techniques are typically unnecessary and even dangerous.
| Author | : |
| Publisher | : Elsevier |
| Total Pages | : 330 |
| Release | : 2019-08-20 |
| Genre | : Mathematics |
| ISBN | : 0444643125 |
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
| Author | : Chris Brooks |
| Publisher | : Cambridge University Press |
| Total Pages | : 752 |
| Release | : 2008-05-22 |
| Genre | : Business & Economics |
| ISBN | : 1139472305 |
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.
| Author | : Joshua D. Angrist |
| Publisher | : Princeton University Press |
| Total Pages | : 300 |
| Release | : 2014-12-21 |
| Genre | : Business & Economics |
| ISBN | : 0691152845 |
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
| Author | : Ping Zong |
| Publisher | : Taylor & Francis |
| Total Pages | : 249 |
| Release | : 2022-05-02 |
| Genre | : Business & Economics |
| ISBN | : 1000580229 |
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.
| Author | : Badi H. Baltagi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 736 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 047099830X |
A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
| Author | : Imad A. Moosa |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 279 |
| Release | : 2024-02-12 |
| Genre | : Education |
| ISBN | : 1035307804 |
In this thoroughly revised second edition of Publish or Perish, Imad A. Moosa extends and develops his analysis of the continual pressure to publish research which plagues the academic sphere. Perceptive and provocative, the book identifies the duress placed upon academics to either publish their work regularly or face the negative consequences, ranging from a lack of promotion to redundancy.
