Search Results for "dynamic-econometrics-advanced-texts-in-econometrics"

Dynamic Econometrics

Dynamic Econometrics

  • Author: David F. Hendry
  • Publisher: Oxford University Press on Demand
  • ISBN: 9780198283164
  • Category: Business & Economics
  • Page: 869
  • View: 1817
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This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.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 withmethodological 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 includesan 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.

Bayesian Inference in Dynamic Econometric Models

Bayesian Inference in Dynamic Econometric Models

  • Author: Luc Bauwens,Michel Lubrano,Jean-François Richard
  • Publisher: OUP Oxford
  • ISBN: 9780191588464
  • Category: Business & Economics
  • Page: 366
  • View: 9079
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This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.

Econometric Business Cycle Research

Econometric Business Cycle Research

  • Author: Jan Jacobs
  • Publisher: Springer Science & Business Media
  • ISBN: 1461555914
  • Category: Business & Economics
  • Page: 228
  • View: 5041
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Econometric Business Cycle Research deals with econometric business cycle research (EBCR), a term introduced by the Nobel-laureate Jan Tinbergen for his econometric method of testing (economic) business cycle theories. EBCR combines economic theory and measurement in the study of business cycles, i.e., ups and downs in overall economic activity. We assess four methods of EBCR: business cycle indicators, simultaneous equations models, vector autoregressive systems and real business indicators. After a sketch of the history of the methods, we investigate whether the methods meet the goals of EBCR: the three traditional ones, description, forecasting and policy evaluation, and the one Tinbergen introduced, the implementation|testing of business cycles. The first three EBCR methods are illustrated for the Netherlands, a typical example of a small, open economy. The main conclusion of the book is that simultaneous equation models are the best vehicle for EBCR, if all its goals are to be attained simultaneously. This conclusion is based on a fairly detailed assessment of the methods and is not over-turned in the empirical illustrations. The main conclusion does not imply the end of other EBCR methods. Not all goals have to be met with a single vehicle, other methods might serve the purpose equally well - or even better. For example, if one is interested in business cycle forecasts, one might prefer a business cycle indicator or vector autoregressive system. A second conclusion is that many ideas/concepts that play an important role in current discussions about econometric methodology in general and EBCR in particular, were put forward in the 1930s and 1940s. A third conclusion is that it is difficult, if not impossible, to compare the outcomes of RBC models to outcomes of the other three methods, because RBC modellers are not interested in modelling business cycles on an observation-per-observation basis. A more general conclusion in this respect is that methods should adopt the same concept of business cycles to make them comparable.

Panel Data Econometrics

Panel Data Econometrics

  • Author: Manuel Arellano
  • Publisher: Oxford University Press
  • ISBN: 0199245282
  • Category: Business & Economics
  • Page: 231
  • View: 687
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Written by one of the world's leading experts on dynamic panel data reviews, this volume reviews most of the important topics in the subject. It deals with static models, dynamic models, discrete choice and related models.

JOURNAL OF ECONOMETRICS

JOURNAL OF ECONOMETRICS

  • Author: THE JOURNAL OF ECONOMETRICS
  • Publisher: N.A
  • ISBN: N.A
  • Category:
  • Page: N.A
  • View: 2595
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Journal of econometrics

Journal of econometrics

  • Author: N.A
  • Publisher: N.A
  • ISBN: N.A
  • Category:
  • Page: N.A
  • View: 1906
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Journal of Economic Literature

Journal of Economic Literature

  • Author: N.A
  • Publisher: N.A
  • ISBN: N.A
  • Category: Economics
  • Page: N.A
  • View: 8548
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Modelling Economic Series

Modelling Economic Series

Readings in Econometric Methodology

  • Author: Clive William John Granger
  • Publisher: Oxford University Press
  • ISBN: 9780198287360
  • Category: Business & Economics
  • Page: 419
  • View: 4820
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This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. The volume contains seventeenpapers by the leading authorities in the field, divided into four groups, to each of which the editor provides an introduction. The whole volume is prefaced with an editorial discussion of the controversies of the subject.The methods critically discussed include the traditional ones, such as vector auto-regressions; Bayesian techniques; and the comprehensive modelling strategy advocated by reseachers at the London School of Economics.The papers vary in the degree of sophistication used, but anyone reading the book should gain a sound knowledge of the practical difficulties involved in model specification, evaluation, and interpretation.

Pacific Asia Tourism Forecasts, 2002-2004

Pacific Asia Tourism Forecasts, 2002-2004

  • Author: Lindsay W. Turner,Stephen F. Witt
  • Publisher: N.A
  • ISBN: N.A
  • Category: Tourism
  • Page: 261
  • View: 5372
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Statistical Foundations of Econometric Modelling

Statistical Foundations of Econometric Modelling

  • Author: Aris Spanos
  • Publisher: Cambridge University Press
  • ISBN: 9780521269124
  • Category: Business & Economics
  • Page: 695
  • View: 9917
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This book provides an introduction to econometrics through a thorough grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. By basing its approach on the underlying theory, it is able to cover fully the econometric theory required up to the intermediate level; its emphasis on mastering the concepts makes it an ideal introduction to the advanced texts and the econometric literature.