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Conceptual Econometrics Using R: Handbook of Statistics, cartea 41

C. R. Rao Hrishikesh D. Vinod
en Limba Engleză Hardback – 21 aug 2019
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.


  • Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
  • Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
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Specificații

ISBN-13: 9780444643117
ISBN-10: 0444643117
Pagini: 330
Dimensiuni: 152 x 229 mm
Greutate: 0.61 kg
Editura: ELSEVIER SCIENCE
Seria Handbook of Statistics


Public țintă

The scope of the handbook covers great many topics of practical interest to quantitative scientists, especially in Economics and Finance. The audience is not only students, teachers and researchers in various industries and sciences, but also profit and non-profit business decision makers and government policy makers.

Cuprins

Part I: Statistical Inference 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R Jean-Marie Dufour and Julien Neves 2. New exogeneity tests and causal paths Hrishikesh D. Vinod 3. Adjusting for bias in long horizon regressions using R Kenneth D. West and Zifeng Zhao 4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R Yong Li, Jun Yu and Tao Zeng
Part II: Multivariate Models 5. Dynamic panel GMM using R Peter C.B. Phillips and Chirok Han 6. Vector autoregressive moving average models Wolfgang Scherrer and Manfred Deistler 7. Multivariate GARCH models for large-scale applications: A survey Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot
Part III: Miscellaneous Topics 8. Modeling fractional responses using R Joaquim Jose Santos Ramalho 9. Quantitative game theory applied to economic problems Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella