Essays in Econometrics

Essays in Econometrics
Author: Clive W. J. Granger
Publisher: Cambridge University Press
Total Pages: 548
Release: 2001-07-23
Genre: Business & Economics
ISBN: 9780521774963

These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.

New Introduction to Multiple Time Series Analysis

New Introduction to Multiple Time Series Analysis
Author: Helmut Lütkepohl
Publisher: Springer Science & Business Media
Total Pages: 792
Release: 2007-07-26
Genre: Business & Economics
ISBN: 9783540262398

This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.

Essays in Nonlinear Time Series Econometrics

Essays in Nonlinear Time Series Econometrics
Author: Niels Haldrup
Publisher: OUP Oxford
Total Pages: 393
Release: 2014-06-26
Genre: Business & Economics
ISBN: 0191669547

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Econometrics with Machine Learning

Econometrics with Machine Learning
Author: Felix Chan
Publisher: Springer Nature
Total Pages: 385
Release: 2022-09-07
Genre: Business & Economics
ISBN: 3031151496

This book helps and promotes the use of machine learning tools and techniques in econometrics and explains how machine learning can enhance and expand the econometrics toolbox in theory and in practice. Throughout the volume, the authors raise and answer six questions: 1) What are the similarities between existing econometric and machine learning techniques? 2) To what extent can machine learning techniques assist econometric investigation? Specifically, how robust or stable is the prediction from machine learning algorithms given the ever-changing nature of human behavior? 3) Can machine learning techniques assist in testing statistical hypotheses and identifying causal relationships in ‘big data? 4) How can existing econometric techniques be extended by incorporating machine learning concepts? 5) How can new econometric tools and approaches be elaborated on based on machine learning techniques? 6) Is it possible to develop machine learning techniques further and make them even more readily applicable in econometrics? As the data structures in economic and financial data become more complex and models become more sophisticated, the book takes a multidisciplinary approach in developing both disciplines of machine learning and econometrics in conjunction, rather than in isolation. This volume is a must-read for scholars, researchers, students, policy-makers, and practitioners, who are using econometrics in theory or in practice.

Essays in Honor of Cheng Hsiao

Essays in Honor of Cheng Hsiao
Author: Dek Terrell
Publisher: Emerald Group Publishing
Total Pages: 427
Release: 2020-04-15
Genre: Business & Economics
ISBN: 1789739594

Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Essays in Honor of Joon Y. Park

Essays in Honor of Joon Y. Park
Author: Yoosoon Chang
Publisher: Emerald Group Publishing
Total Pages: 449
Release: 2023-04-24
Genre: Business & Economics
ISBN: 1837532125

Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Volatility and Time Series Econometrics

Volatility and Time Series Econometrics
Author: Mark Watson
Publisher: Oxford University Press
Total Pages: 432
Release: 2010-02-11
Genre: Business & Economics
ISBN: 0199549494

A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
Author: Xiaohong Chen
Publisher: Springer Science & Business Media
Total Pages: 582
Release: 2012-08-01
Genre: Business & Economics
ISBN: 1461416531

This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.