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| Author | : Clive W. J. Granger |
| Publisher | : Cambridge University Press |
| Total Pages | : 116 |
| Release | : 1999-09-30 |
| Genre | : Business & Economics |
| ISBN | : 9780521778251 |
Lucid account of the process of constructing and evaluating an empirical model.
| Author | : Aman Ullah |
| Publisher | : CRC Press |
| Total Pages | : 532 |
| Release | : 2016-04-19 |
| Genre | : Mathematics |
| ISBN | : 9781420070361 |
Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
| Author | : C. W. J. Granger |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 1999 |
| Genre | : Econometrics |
| ISBN | : |
| Author | : Clive William John Granger |
| Publisher | : |
| Total Pages | : 99 |
| Release | : 1999 |
| Genre | : Econometrics |
| ISBN | : |
| Author | : Francis X. Diebold |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 153 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642456413 |
Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
| Author | : Domenico Delli Gatti |
| Publisher | : Cambridge University Press |
| Total Pages | : 261 |
| Release | : 2018-03-22 |
| Genre | : Business & Economics |
| ISBN | : 1108414990 |
The first step-by-step introduction to the methodology of agent-based models in economics, their mathematical and statistical analysis, and real-world applications.
| Author | : David F. Hendry |
| Publisher | : |
| Total Pages | : 918 |
| Release | : 1995 |
| Genre | : Business & Economics |
| ISBN | : 9780198283164 |
The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
| Author | : Richard S. Conway Jr. |
| Publisher | : Springer Nature |
| Total Pages | : 276 |
| Release | : 2022-04-23 |
| Genre | : Business & Economics |
| ISBN | : 3030766462 |
This textbook offers an introduction to empirical regional economics, including a comprehensive and systematic overview of the fundamentals, history, development, and applications of economic base models. It not only provides a sound basis for regional economics and regional economic analysis, but it also includes numerous applications of the underlying theory. The book has an empirical orientation, highlighting the value of observation and testing in order to explain regional economic behavior. Theory plays an important role in this study, but it is only a starting point. The book is divided into three parts: the first discusses the economic base theory of regional growth and the empirical evidence supporting it, while the second part covers the specification and application of four increasingly complex regional economic models: the economic base model, the input-output model, the interindustry econometric model, and the structural time-series model. Lastly, the third part presents forty-eight regional economic case studies organized under seven headings, including economic cycles, economic policy, and regional forecasting. Given its scope, the book appeals to upper-undergraduate and graduate students majoring in economics, economic geography, and business, as well as to anyone in the private or public sector interested in gaining a better understanding of practical methods of regional economic forecasting and analysis. For additional course material, please check the author's website: https://www.empiricalregionaleconomics.com/
| Author | : Mary Morgan |
| Publisher | : Routledge |
| Total Pages | : 416 |
| Release | : 2003-09-02 |
| Genre | : Business & Economics |
| ISBN | : 113457312X |
This collection, written by highly-placed practitioners and academic economists, provides a picture of how economic modellers and policy makers interact. The book provides international case studies of particular interactions between models and policy making, and argues that the flow of information is two-way.
| Author | : Kenneth J. Singleton |
| Publisher | : Princeton University Press |
| Total Pages | : 497 |
| Release | : 2009-12-13 |
| Genre | : Business & Economics |
| ISBN | : 1400829232 |
Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
