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Author: Ping Zong Publisher: Routledge ISBN: 1000580245 Category : Business & Economics Languages : en Pages : 256
Book Description
Today econometrics has been widely applied in the empirical study of economics. As an empirical science, econometrics uses rigorous mathematical and statistical methods for economic problems. Understanding the methodologies of both econometrics and statistics is a crucial departure for econometrics. The primary focus of this book is to provide an understanding of statistical properties behind econometric methods. Following the introduction in Chapter 1, Chapter 2 provides the methodological review of both econometrics and statistics in different periods since the 1930s. Chapters 3 and 4 explain the underlying theoretical methodologies for estimated equations in the simple regression and multiple regression models and discuss the debates about p-values in particular. This part of the book offers the reader a richer understanding of the methods of statistics behind the methodology of econometrics. Chapters 5–9 of the book are focused on the discussion of regression models using time series data, traditional causal econometric models, and the latest statistical techniques. By concentrating on dynamic structural linear models like state-space models and the Bayesian approach, the book alludes to the fact that this methodological study is not only a science but also an art. This work serves as a handy reference book for anyone interested in econometrics, particularly in relevance to students and academic and business researchers in all quantitative analysis fields.
Author: Ping Zong Publisher: Routledge ISBN: 1000580245 Category : Business & Economics Languages : en Pages : 256
Book Description
Today econometrics has been widely applied in the empirical study of economics. As an empirical science, econometrics uses rigorous mathematical and statistical methods for economic problems. Understanding the methodologies of both econometrics and statistics is a crucial departure for econometrics. The primary focus of this book is to provide an understanding of statistical properties behind econometric methods. Following the introduction in Chapter 1, Chapter 2 provides the methodological review of both econometrics and statistics in different periods since the 1930s. Chapters 3 and 4 explain the underlying theoretical methodologies for estimated equations in the simple regression and multiple regression models and discuss the debates about p-values in particular. This part of the book offers the reader a richer understanding of the methods of statistics behind the methodology of econometrics. Chapters 5–9 of the book are focused on the discussion of regression models using time series data, traditional causal econometric models, and the latest statistical techniques. By concentrating on dynamic structural linear models like state-space models and the Bayesian approach, the book alludes to the fact that this methodological study is not only a science but also an art. This work serves as a handy reference book for anyone interested in econometrics, particularly in relevance to students and academic and business researchers in all quantitative analysis fields.
Author: Imad A. Moosa Publisher: Edward Elgar Publishing ISBN: 1785369954 Category : Business & Economics Languages : en Pages : 253
Book Description
Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.
Author: Ping Zong Publisher: Taylor & Francis ISBN: 1000580229 Category : Business & Economics Languages : en Pages : 249
Book Description
Today econometrics has been widely applied in the empirical study of economics. As an empirical science, econometrics uses rigorous mathematical and statistical methods for economic problems. Understanding the methodologies of both econometrics and statistics is a crucial departure for econometrics. The primary focus of this book is to provide an understanding of statistical properties behind econometric methods. Following the introduction in Chapter 1, Chapter 2 provides the methodological review of both econometrics and statistics in different periods since the 1930s. Chapters 3 and 4 explain the underlying theoretical methodologies for estimated equations in the simple regression and multiple regression models and discuss the debates about p-values in particular. This part of the book offers the reader a richer understanding of the methods of statistics behind the methodology of econometrics. Chapters 5–9 of the book are focused on the discussion of regression models using time series data, traditional causal econometric models, and the latest statistical techniques. By concentrating on dynamic structural linear models like state-space models and the Bayesian approach, the book alludes to the fact that this methodological study is not only a science but also an art. This work serves as a handy reference book for anyone interested in econometrics, particularly in relevance to students and academic and business researchers in all quantitative analysis fields.
Author: Nguyen Ngoc Thach Publisher: Springer Nature ISBN: 3030488535 Category : Computers Languages : en Pages : 633
Book Description
This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.
Author: Jeffrey M. Wooldridge Publisher: MIT Press ISBN: 0262232588 Category : Business & Economics Languages : en Pages : 1095
Book Description
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author: Luc Anselin Publisher: Springer Science & Business Media ISBN: 3662056178 Category : Business & Economics Languages : en Pages : 516
Book Description
World-renowned experts in spatial statistics and spatial econometrics present the latest advances in specification and estimation of spatial econometric models. This includes information on the development of tools and software, and various applications. The text introduces new tests and estimators for spatial regression models, including discrete choice and simultaneous equation models. The performance of techniques is demonstrated through simulation results and a wide array of applications related to economic growth, international trade, knowledge externalities, population-employment dynamics, urban crime, land use, and environmental issues. An exciting new text for academics with a theoretical interest in spatial statistics and econometrics, and for practitioners looking for modern and up-to-date techniques.
Author: Joshua D. Angrist Publisher: Princeton University Press ISBN: 0691120358 Category : Business & Economics Languages : en Pages : 392
Book Description
In addition to econometric essentials, this book covers important new extensions as well as how to get standard errors right. The authors explain why fancier econometric techniques are typically unnecessary and even dangerous.
Author: Joshua D. Angrist Publisher: Princeton University Press ISBN: 0691152845 Category : Business & Economics Languages : en Pages : 300
Book Description
An accessible and fun guide to the essential tools of econometric research Applied econometrics, known to aficionados as 'metrics, is the original data science. 'Metrics encompasses the statistical methods economists use to untangle cause and effect in human affairs. Through accessible discussion and with a dose of kung fu–themed humor, Mastering 'Metrics presents the essential tools of econometric research and demonstrates why econometrics is exciting and useful. The five most valuable econometric methods, or what the authors call the Furious Five--random assignment, regression, instrumental variables, regression discontinuity designs, and differences in differences--are illustrated through well-crafted real-world examples (vetted for awesomeness by Kung Fu Panda's Jade Palace). Does health insurance make you healthier? Randomized experiments provide answers. Are expensive private colleges and selective public high schools better than more pedestrian institutions? Regression analysis and a regression discontinuity design reveal the surprising truth. When private banks teeter, and depositors take their money and run, should central banks step in to save them? Differences-in-differences analysis of a Depression-era banking crisis offers a response. Could arresting O. J. Simpson have saved his ex-wife's life? Instrumental variables methods instruct law enforcement authorities in how best to respond to domestic abuse. Wielding econometric tools with skill and confidence, Mastering 'Metrics uses data and statistics to illuminate the path from cause to effect. Shows why econometrics is important Explains econometric research through humorous and accessible discussion Outlines empirical methods central to modern econometric practice Works through interesting and relevant real-world examples
Author: Fumio Hayashi Publisher: Princeton University Press ISBN: 1400823838 Category : Business & Economics Languages : en Pages : 708
Book Description
The most authoritative and comprehensive synthesis of modern econometrics available Econometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results. Econometrics covers all the important topics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models, such as probit and tobit, are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.
Author: Ping Zong
Author: Ping Zong
Author: Imad A. Moosa
Author: Ping Zong
Author: Bernt P. Stigum
Author: Nguyen Ngoc Thach
Author: Jeffrey M. Wooldridge
Author: Luc Anselin
Author: Joshua D. Angrist
Author: Joshua D. Angrist
Author: Fumio Hayashi