The Econometric Analysis of Transition Data

The Econometric Analysis of Transition Data
Author: Tony Lancaster
Publisher: Cambridge University Press
Total Pages: 380
Release: 1990
Genre: Business & Economics
ISBN: 9780521437899

This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.

The Econometric Analysis of Network Data

The Econometric Analysis of Network Data
Author: Bryan Graham
Publisher: Academic Press
Total Pages: 244
Release: 2020-05-20
Genre: Business & Economics
ISBN: 0128117710

The Econometric Analysis of Network Data serves as an entry point for advanced students, researchers, and data scientists seeking to perform effective analyses of networks, especially inference problems. It introduces the key results and ideas in an accessible, yet rigorous way. While a multi-contributor reference, the work is tightly focused and disciplined, providing latitude for varied specialties in one authorial voice.

Econometric Analysis of Count Data

Econometric Analysis of Count Data
Author: Rainer Winkelmann
Publisher: Springer Science & Business Media
Total Pages: 324
Release: 2003
Genre: Business & Economics
ISBN: 9783540404040

Many other sections have been entirely rewritten and extended."--BOOK JACKET.

Econometric Analysis of Stochastic Dominance

Econometric Analysis of Stochastic Dominance
Author: Yoon-Jae Whang
Publisher: Cambridge University Press
Total Pages: 279
Release: 2019-01-31
Genre: Business & Economics
ISBN: 1108690475

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.

Introduction to Modern Bayesian Econometrics

Introduction to Modern Bayesian Econometrics
Author: Tony Lancaster
Publisher: Wiley-Blackwell
Total Pages: 401
Release: 2004-06-28
Genre: Business & Economics
ISBN: 9781405117197

Almost two hundred and forty years ago, an English clergyman named Thomas Bayes developed a method to calculate the chances of uncertain events. While his method has extensive applications to the work of applied economists, it is only recent advances in computing that have made it possible to exploit the full power of the Bayesian way of doing applied economics.In this new and expanding area, Tony Lancasters text provides a comprehensive introduction to the Bayesian way of doing applied economics. Using clear explanations and practical illustrations and problems, the text presents innovative, computer-intensive ways for applied economists to use the Bayesian method.The Introduction emphasizes computation and the study of probability distributions by computer sampling, showing how these techniques can provide exact inferences about a wide range of econometric problems. Covering all the standard econometric models, including linear and non-linear regression using cross-sectional, time series, and panel data, it also details causal inference and inference about structural econometric models. In addition, each chapter includes numerical and graphical examples and demonstrates their solutions using the S programming language and Bugs software.

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
Total Pages: 683
Release: 2014-07-21
Genre: Business & Economics
ISBN: 0691161437

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Applied Econometrics for Health Economists

Applied Econometrics for Health Economists
Author: Andrew M. Jones
Publisher: Radcliffe Publishing
Total Pages: 130
Release: 2007
Genre: Business & Economics
ISBN: 9781846191718

Introduces readers to the econometric techniques for use with different forms of survey data, known collectively as microeconometrics. This book provides an illustration of the steps involved in doing microeconometric research. It emphasises applied work, illustrating the use of relevant computer software applied to large-scale survey datasets.

Analysis of Panel Data

Analysis of Panel Data
Author: Cheng Hsiao
Publisher: Cambridge University Press
Total Pages: 388
Release: 2003-02-13
Genre: Business & Economics
ISBN: 9780521522717

This book reviews the basic econometric methods that have been used to analyze panel data - in other words, data collected by observing a number of individuals over time. Copyright © Libri GmbH. All rights reserved.

Handbook of Data Analysis

Handbook of Data Analysis
Author: Melissa A Hardy
Publisher: SAGE
Total Pages: 729
Release: 2009-06-17
Genre: Social Science
ISBN: 1446203441

′This book provides an excellent reference guide to basic theoretical arguments, practical quantitative techniques and the methodologies that the majority of social science researchers are likely to require for postgraduate study and beyond′ - Environment and Planning ′The book provides researchers with guidance in, and examples of, both quantitative and qualitative modes of analysis, written by leading practitioners in the field. The editors give a persuasive account of the commonalities of purpose that exist across both modes, as well as demonstrating a keen awareness of the different things that each offers the practising researcher′ - Clive Seale, Brunel University ′With the appearance of this handbook, data analysts no longer have to consult dozens of disparate publications to carry out their work. The essential tools for an intelligent telling of the data story are offered here, in thirty chapters written by recognized experts. ′ - Michael Lewis-Beck, F Wendell Miller Distinguished Professor of Political Science, University of Iowa ′This is an excellent guide to current issues in the analysis of social science data. I recommend it to anyone who is looking for authoritative introductions to the state of the art. Each chapter offers a comprehensive review and an extensive bibliography and will be invaluable to researchers wanting to update themselves about modern developments′ - Professor Nigel Gilbert, Pro Vice-Chancellor and Professor of Sociology, University of Surrey This is a book that will rapidly be recognized as the bible for social researchers. It provides a first-class, reliable guide to the basic issues in data analysis, such as the construction of variables, the characterization of distributions and the notions of inference. Scholars and students can turn to it for teaching and applied needs with confidence. The book also seeks to enhance debate in the field by tackling more advanced topics such as models of change, causality, panel models and network analysis. Specialists will find much food for thought in these chapters. A distinctive feature of the book is the breadth of coverage. No other book provides a better one-stop survey of the field of data analysis. In 30 specially commissioned chapters the editors aim to encourage readers to develop an appreciation of the range of analytic options available, so they can choose a research problem and then develop a suitable approach to data analysis.

Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data
Author: Nikolaus Hautsch
Publisher: Springer Science & Business Media
Total Pages: 381
Release: 2011-10-12
Genre: Business & Economics
ISBN: 364221925X

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.