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Econometric inference using simulation techniques
  • Language: en
  • Pages: 265

Econometric inference using simulation techniques

Noted international researchers present the very latest knowledge in the field. This essential work covers the three main areas of econometric inference where the use of simulation methods has been successful--Bayesian inference, classical inference, the solution and stochastic simulation of dynamic econometric models, especially general equilibrium models.

Econometric Methods with Applications in Business and Economics
  • Language: en
  • Pages: 816

Econometric Methods with Applications in Business and Economics

  • Type: Book
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  • Published: 2004-03-25
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  • Publisher: OUP Oxford

Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major applica...

Exceptions to Bartlett's Paradox
  • Language: en
  • Pages: 24
The Oxford Handbook of Bayesian Econometrics
  • Language: en
  • Pages: 558

The Oxford Handbook of Bayesian Econometrics

  • Type: Book
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  • Published: 2011
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  • Publisher: Unknown

This handbook is aimed at researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise.

Econometrics and the Philosophy of Economics
  • Language: en
  • Pages: 792

Econometrics and the Philosophy of Economics

As most econometricians will readily agree, the data used in applied econometrics seldom provide accurate measurements for the pertinent theory's variables. Here, Bernt Stigum offers the first systematic and theoretically sound way of accounting for such inaccuracies. He and a distinguished group of contributors bridge econometrics and the philosophy of economics--two topics that seem worlds apart. They ask: How is a science of economics possible? The answer is elusive. Economic theory seems to be about abstract ideas or, it might be said, about toys in a toy community. How can a researcher with such tools learn anything about the social reality in which he or she lives? This book shows that...

Bayesian Econometrics
  • Language: en
  • Pages: 672

Bayesian Econometrics

Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

Experimenting with Dynamic Macromodels
  • Language: en
  • Pages: 265

Experimenting with Dynamic Macromodels

This book presents a macroeconomic dynamic model à la Solow-Swan, including the market for labor, in a discrete time structure. The model is expanded to include expenditure on R&D and public expenditure on infrastructure. For each of the three models the results are shown in time series figures, which demonstrate that even small changes in the parameters produce responses in the time behavior of the main variables: from steady growth, to regular cycles, to chaotic-like time paths.

Anticipating Correlations
  • Language: en
  • Pages: 176

Anticipating Correlations

Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demo...

Introductory Econometrics
  • Language: en
  • Pages: 256

Introductory Econometrics

This is a textbook for the standard undergraduate econometrics course. Its only prerequisites are a semester course in statistics and one in differential calculus. Arthur Goldberger, an outstanding researcher and teacher of econometrics, views the subject as a tool of empirical inquiry rather than as a collection of arcane procedures. The central issue in such inquiry is how one variable is related to one or more others. Goldberger takes this to mean "How does the average value of one variable vary with one or more others?" and so takes the population conditional mean function as the target of empirical research. The structure of the book is similar to that of Goldberger's graduate-level tex...

Social Choice with Partial Knowledge of Treatment Response
  • Language: en
  • Pages: 118

Social Choice with Partial Knowledge of Treatment Response

"This book addresses key aspects of this broad question, exploring and partially resolving pervasive problems of identification and statistical inference that arise when studying treatment response and making treatment choices. Charles Manski addresses the treatment-choice problem directly using Abraham Wald's statistical decision theory, taking into account the ambiguity that arises from identification problems under weak but justifiable assumptions."--BOOK JACKET.