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| Author | : P. C. B. Phillips |
| Publisher | : Cambridge University Press |
| Total Pages | : 390 |
| Release | : 2006-01-09 |
| Genre | : Business & Economics |
| ISBN | : 9780521807234 |
The essays in this book explore important theoretical and applied advances in econometrics.
| Author | : Panchanan Das |
| Publisher | : Springer Nature |
| Total Pages | : 565 |
| Release | : 2019-09-05 |
| Genre | : Business & Economics |
| ISBN | : 9813290196 |
This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
| Author | : Qi Li |
| Publisher | : Princeton University Press |
| Total Pages | : 769 |
| Release | : 2011-10-09 |
| Genre | : Business & Economics |
| ISBN | : 1400841062 |
A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
| Author | : Russell Davidson |
| Publisher | : OUP Oxford |
| Total Pages | : 768 |
| Release | : 2009-04-30 |
| Genre | : Business & Economics |
| ISBN | : 9780195391053 |
Econometric Theory and Methods International Edition provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.
| Author | : George G. Judge |
| Publisher | : John Wiley & Sons |
| Total Pages | : 1062 |
| Release | : 1991-01-16 |
| Genre | : Business & Economics |
| ISBN | : 047189530X |
This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
| Author | : Patrick K. Watson |
| Publisher | : |
| Total Pages | : 332 |
| Release | : 2002 |
| Genre | : Business & Economics |
| ISBN | : 9789766401221 |
An introduction to the theory and practice of classical and modern econometric methods. It seeks to help the reader: understand the scope and limitations of econometrics; read, write and interpret articles and reports of an applied econometric nature; and to build upon the elements introduced.
| Author | : John Stachurski |
| Publisher | : MIT Press |
| Total Pages | : 449 |
| Release | : 2016-07-29 |
| Genre | : Business & Economics |
| ISBN | : 0262337460 |
A concise treatment of modern econometrics and statistics, including underlying ideas from linear algebra, probability theory, and computer programming. This book offers a cogent and concise treatment of econometric theory and methods along with the underlying ideas from statistics, probability theory, and linear algebra. It emphasizes foundations and general principles, but also features many solved exercises, worked examples, and code listings. After mastering the material presented, readers will be ready to take on more advanced work in different areas of quantitative economics and to understand papers from the econometrics literature. The book can be used in graduate-level courses on foundational aspects of econometrics or on fundamental statistical principles. It will also be a valuable reference for independent study. One distinctive aspect of the text is its integration of traditional topics from statistics and econometrics with modern ideas from data science and machine learning; readers will encounter ideas that are driving the current development of statistics and increasingly filtering into econometric methodology. The text treats programming not only as a way to work with data but also as a technique for building intuition via simulation. Many proofs are followed by a simulation that shows the theory in action. As a primer, the book offers readers an entry point into the field, allowing them to see econometrics as a whole rather than as a profusion of apparently unrelated ideas.
| Author | : John Chipman |
| Publisher | : Routledge |
| Total Pages | : 383 |
| Release | : 2013-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1134340443 |
When learning econometrics, what better way than to be taught by one of its masters. In this significant new volume, John Chipman, the eminence grise of econometrics, presents his classic lectures in econometric theory. Starting with the linear regression model, least squares, Gauss-Markov theory and the first principals of econometrics, this book guides the introductory student to an advanced stage of ability. The text covers multicollinearity and reduced-rank estimation, the treatment of linear restrictions and minimax estimation. Also included are chapters on the autocorrelation of residuals and simultaneous-equation estimation. By the end of the text, students will have a solid grounding in econometrics. Despite the frequent complexity of the subject matter, Chipman's clear explanations, concise prose and sharp analysis make this book stand out from others in the field. With mathematical rigor sharpened by a lifetime of econometric analysis, this significant volume is sure to become a seminal and indispensable text in this area.
| Author | : Jeffrey S. Racine |
| Publisher | : Cambridge University Press |
| Total Pages | : 436 |
| Release | : 2019-06-27 |
| Genre | : Business & Economics |
| ISBN | : 1108757286 |
Interest in nonparametric methodology has grown considerably over the past few decades, stemming in part from vast improvements in computer hardware and the availability of new software that allows practitioners to take full advantage of these numerically intensive methods. This book is written for advanced undergraduate students, intermediate graduate students, and faculty, and provides a complete teaching and learning course at a more accessible level of theoretical rigor than Racine's earlier book co-authored with Qi Li, Nonparametric Econometrics: Theory and Practice (2007). The open source R platform for statistical computing and graphics is used throughout in conjunction with the R package np. Recent developments in reproducible research is emphasized throughout with appendices devoted to helping the reader get up to speed with R, R Markdown, TeX and Git.
| Author | : Bruce Hansen |
| Publisher | : Princeton University Press |
| Total Pages | : 1081 |
| Release | : 2022-06-28 |
| Genre | : Business & Economics |
| ISBN | : 0691236151 |
The most authoritative and up-to-date core econometrics textbook available Econometrics is the quantitative language of economic theory, analysis, and empirical work, and it has become a cornerstone of graduate economics programs. Econometrics provides graduate and PhD students with an essential introduction to this foundational subject in economics and serves as an invaluable reference for researchers and practitioners. This comprehensive textbook teaches fundamental concepts, emphasizes modern, real-world applications, and gives students an intuitive understanding of econometrics. Covers the full breadth of econometric theory and methods with mathematical rigor while emphasizing intuitive explanations that are accessible to students of all backgrounds Draws on integrated, research-level datasets, provided on an accompanying website Discusses linear econometrics, time series, panel data, nonparametric methods, nonlinear econometric models, and modern machine learning Features hundreds of exercises that enable students to learn by doing Includes in-depth appendices on matrix algebra and useful inequalities and a wealth of real-world examples Can serve as a core textbook for a first-year PhD course in econometrics and as a follow-up to Bruce E. Hansen’s Probability and Statistics for Economists
