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Author: Olaf Hübler
Publisher: Springer Science & Business Media
Published: 2007-04-29
Total Pages: 236
ISBN-13: 3540326936
DOWNLOAD EBOOK →In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author: Jeffrey M. Wooldridge
Publisher: MIT Press
Published: 2002
Total Pages: 784
ISBN-13: 9780262232197
DOWNLOAD EBOOK →A comprehensive state-of-the-art text on microeconometric methods.
Author: Stanislav Anatolyev
Publisher: CRC Press
Published: 2011-06-07
Total Pages: 230
ISBN-13: 1439838267
DOWNLOAD EBOOK →This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.
Author: Eric Ghysels
Publisher: Cambridge University Press
Published: 2001-06-18
Total Pages: 258
ISBN-13: 9780521565882
DOWNLOAD EBOOK →Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Author: Christopher F. Baum
Publisher: Stata Press
Published: 2006-08-17
Total Pages: 362
ISBN-13: 1597180130
DOWNLOAD EBOOK →Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, this introduction illustrates how to apply econometric theories used in modern empirical research using Stata. The author emphasizes the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how to apply the theories to real data sets. The book first builds familiarity with the basic skills needed to work with econometric data in Stata before delving into the core topics, which range from the multiple linear regression model to instrumental-variables estimation.
Author: Yoon-Jae Whang
Publisher: Cambridge University Press
Published: 2019-01-31
Total Pages: 279
ISBN-13: 1108690475
DOWNLOAD EBOOK →This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
Author: Olaf Hübler
Publisher: Springer
Published: 2009-09-02
Total Pages: 232
ISBN-13: 9783540821120
DOWNLOAD EBOOK →In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author: Vance Martin
Publisher: Cambridge University Press
Published: 2013
Total Pages: 925
ISBN-13: 0521139813
DOWNLOAD EBOOK →"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: Gebhard Kirchgässner
Publisher: Springer Science & Business Media
Published: 2008-08-27
Total Pages: 288
ISBN-13: 9783540687351
DOWNLOAD EBOOK →This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
Author: Yongmiao Hong
Publisher: World Scientific
Published: 2020-07-13
Total Pages: 523
ISBN-13: 9811220204
DOWNLOAD EBOOK →Modern economies are full of uncertainties and risk. Economics studies resource allocations in an uncertain market environment. As a generally applicable quantitative analytic tool for uncertain events, probability and statistics have been playing an important role in economic research. Econometrics is statistical analysis of economic and financial data. In the past four decades or so, economics has witnessed a so-called 'empirical revolution' in its research paradigm, and as the main methodology in empirical studies in economics, econometrics has been playing an important role. It has become an indispensable part of training in modern economics, business and management.This book develops a coherent set of econometric theory, methods and tools for economic models. It is written as a textbook for graduate students in economics, business, management, statistics, applied mathematics, and related fields. It can also be used as a reference book on econometric theory by scholars who may be interested in both theoretical and applied econometrics.
