Author: Hashem M. PesaranPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 23
Book Description
A Generalized R"2 and Non-nested Tests for Regression Models Estimated by the Instrumental Variables Method
Author: Hashem M. PesaranPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 23
Book Description
Econometrics
Author: Franco PeracchiPublisher: John Wiley & Sons
ISBN: 0471987646
Category : Business & Economics
Languages : en
Pages : 706
Book Description
In Econometrics the author has provided a text that bridges the gap between classical econometrics (with an emphasis on linear methods such as OLS, GLS and instrumental variables) and some of the key research areas of the last few years, including sampling problems, nonparametric methods and panel data analysis. Designed for advanced undergraduates and postgraduate students of the subject, Econometrics provides rigorous, yet accessible, coverage of the subject. Key features include: * A unified approach to statistical estimation emphasising the analogy (or bootstrap) principle * An introduction to bootstrap and jackknife methods for assessing the accuracy of an estimator * Detailed discussion of nonparametric methods for estimating density and regression of functions * Emphasis on diagnostic procedures and on prediction criteria for evaluating the results fo statistical analysis * An introduction to linear exponential family and generalized linear models * A thorough discussion of robustness in statistical sense
A Generalised R"2 Criterion for Regression Models Estimated by the Instrumental Variable Method
Author: M. Hashem PesaranPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 15
Book Description
Cowles Foundation Discussion Paper
Author: Yale University. Cowles Foundation for Research in EconomicsPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 636
Book Description
Non-nested Tests for Instrumental Variable Regression Models with Differing Conditioning Sets
Author: R. J. SmithTime Series and Panel Data Econometrics
Author: M. Hashem PesaranPublisher: Oxford University Press
ISBN: 0198736916
Category : Business & Economics
Languages : en
Pages : 1095
Book Description
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Non-nested Tests for Instrumental Variable Regression Models with Differing Conditioning Sets
Author: Richard J. SmithEconometrics
Author: Dilip M. NachanePublisher: Oxford University Press, USA
ISBN:
Category : Business & Economics
Languages : en
Pages : 888
Book Description
This textbook covers both the theory and the applications aspects of econometrics for identifying and formulating answers to practical questions. Aimed at Indian students at the post-graduate level , this is a comprehensive volume in its coverage of topics, assumes knowledge of advanced undergraduate algebra, contains exercises and solved examples, and uses applications from the Indian economy and data from both India and the West.
Panel Data Econometrics with R
Author: Yves CroissantPublisher: John Wiley & Sons
ISBN: 1118949188
Category : Mathematics
Languages : en
Pages : 328
Book Description
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Nonrecursive Models
Author: Pamela PaxtonPublisher: SAGE
ISBN: 1452237867
Category : Mathematics
Languages : en
Pages : 145
Book Description
Nonrecursive Models is a clear and concise introduction to the estimation and assessment of nonrecursive simultaneous equation models. This unique monograph gives practical advice on the specification and identification of simultaneous equation models, how to assess the quality of the estimates, and how to correctly interpret results.