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Author: Agostino Di Ciaccio Publisher: Springer Science & Business Media ISBN: 3642210376 Category : Mathematics Languages : en Pages : 464
Book Description
The theme of the meeting was “Statistical Methods for the Analysis of Large Data-Sets”. In recent years there has been increasing interest in this subject; in fact a huge quantity of information is often available but standard statistical techniques are usually not well suited to managing this kind of data. The conference serves as an important meeting point for European researchers working on this topic and a number of European statistical societies participated in the organization of the event. The book includes 45 papers from a selection of the 156 papers accepted for presentation and discussed at the conference on “Advanced Statistical Methods for the Analysis of Large Data-sets.”
Author: Roman Frydman Publisher: Princeton University Press ISBN: 1400846455 Category : Business & Economics Languages : en Pages : 441
Book Description
This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Author: Publisher: ScholarlyEditions ISBN: 1464965056 Category : Business & Economics Languages : en Pages : 875
Book Description
Issues in General Economic Research and Application: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about General Economic Research and Application. The editors have built Issues in General Economic Research and Application: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about General Economic Research and Application in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Author: J. B. Davis Publisher: Edward Elgar Publishing ISBN: 085793807X Category : Business & Economics Languages : en Pages : 553
Book Description
Economic methodology has traditionally been associated with logical positivism in the vein of Milton Friedman, Karl Popper, Imre Lakatos and Thomas Kuhn. However, the emergence and proliferation of new research programs in economics have stimulated many novel developments in economic methodology. This impressive Companion critically examines these advances in methodological thinking, particularly those that are associated with the new research programs which challenge standard economic methodology. Bringing together a collection of leading contributors to this new methodological thinking, the authors explain how it differs from the past and point towards further concerns and future issues. The recent research programs explored include behavioral and experimental economics, neuroeconomics, new welfare theory, happiness and subjective well-being research, geographical economics, complexity and computational economics, agent-based modeling, evolutionary thinking, macroeconomics and Keynesianism after the crisis, and new thinking about the status of the economics profession and the role of the media in economics. This important compendium will prove invaluable for researchers and postgraduate students of economic methodology and the philosophy of economics. Practitioners in the vanguard of new economic thinking will also find plenty of useful information in this path-breaking book.
Author: Roman Frydman Publisher: Princeton University Press ISBN: 1400838185 Category : Business & Economics Languages : en Pages : 304
Book Description
A powerful challenge to contemporary economics and a new agenda for global finance In the wake of the global financial crisis that began in 2007, faith in the rationality of markets has lost ground to a new faith in their irrationality. The problem, Roman Frydman and Michael Goldberg argue, is that both the rational and behavioral theories of the market rest on the same fatal assumption—that markets act mechanically and economic change is fully predictable. In Beyond Mechanical Markets, Frydman and Goldberg show how the failure to abandon this assumption hinders our understanding of how markets work, why price swings help allocate capital to worthy companies, and what role government can and can't play. The financial crisis, Frydman and Goldberg argue, was made more likely, if not inevitable, by contemporary economic theory, yet its core tenets remain unchanged today. In response, the authors show how imperfect knowledge economics, an approach they pioneered, provides a better understanding of markets and the financial crisis. Frydman and Goldberg deliver a withering critique of the widely accepted view that the boom in equity prices that ended in 2007 was a bubble fueled by herd psychology. They argue, instead, that price swings are driven by individuals' ever-imperfect interpretations of the significance of economic fundamentals for future prices and risk. Because swings are at the heart of a dynamic economy, reforms should aim only to curb their excesses. Showing why we are being dangerously led astray by thinking of markets as predictably rational or irrational, Beyond Mechanical Markets presents a powerful challenge to conventional economic wisdom that we can't afford to ignore.
Author: Gilles Dufrénot Publisher: Springer Science & Business Media ISBN: 1475736150 Category : Business & Economics Languages : en Pages : 319
Book Description
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author: Søren Johansen Publisher: OUP Oxford ISBN: 0191525065 Category : Business & Economics Languages : en Pages : 278
Book Description
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Author: Badi H. Baltagi Publisher: John Wiley & Sons ISBN: 0470744030 Category : Business & Economics Languages : en Pages : 322
Book Description
‘Econometric Analysis of Panel Data’ has become established as the leading textbook for postgraduate courses in panel data. This book is intended as a companion to the main text. The prerequisites include a good background in mathematical statistics and econometrics. The companion guide will add value to the existing textbooks on panel data by solving exercises in a logical and pedagogical manner, helping the reader understand, learn and teach panel data. These exercises are based upon those in Baltagi (2008) and are complementary to that text even though they are stand alone material and the reader can learn the basic material as they go through these exercises. The exercises in this book start by providing some background material on partitioned regressions and the Frisch-Waugh-Lovell theorem, showing the reader some applications of this material that are useful in practice. Then it goes through the basic material on fixed and random effects models in a one-way and two-way error components models, following the same outline as in Baltagi (2008). The book also provides some empirical illustrations and examples using Stata and EViews that the reader can replicate. The data sets are available on the Wiley web site (www.wileyeurope.com/college/baltagi).
Author: M. Hatanaka Publisher: Springer Science & Business Media ISBN: 4431659129 Category : Business & Economics Languages : en Pages : 124
Book Description
In macro-econometrics more attention needs to be paid to the relationships among deterministic trends of different variables, or co-trending, especially when economic growth is of concern. The number of relationships, i.e., the co-trending rank, plays an important role in evaluating the veracity of propositions, particularly relating to the Japanese economic growth in view of the structural changes involved within it. This book demonstrates how to determine the co-trending rank from a given set of time series data for different variables. At the same time, the method determines how many of the co-trending relations also represent cointegrations. This enables us to perform statistical inference on the parameters of relations among the deterministic trends. Co-trending is an important contribution to the fields of econometric methods, macroeconomics, and time series analyses.
Author: Katarina Juselius
Author: Katarina Juselius
Author: Agostino Di Ciaccio
Author: Roman Frydman
Author: 
Author: J. B. Davis
Author: Roman Frydman
Author: Gilles Dufrénot
Author: Søren Johansen
Author: Badi H. Baltagi
Author: M. Hatanaka