Advanced Texts in Econometrics – serie
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36 produkter
Dynamic Econometrics
Häftad, 1995
1895 kr
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This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of …
Long-Run Economic Relationships
Readings in Cointegration
Av R. F. Engle, C. W. J. Granger
Häftad, 1991
1555 kr
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This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. The idea was introduced …
Modelling Economic Series
Readings in Econometric Methodology
Häftad, 1991
663 kr
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This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. The volume contains seventeen papers by …
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Av Anindya Banerjee, Juan J. Dolado m. fl.
Häftad, 1993
1133 kr
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This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data …
Bayesian Inference in Dynamic Econometric Models
Av Luc Bauwens, Michel Lubrano m. fl.
Inbunden, 2000
4002 kr
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This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on …
Bayesian Inference in Dynamic Econometric Models
Av Luc Bauwens, Michel Lubrano m. fl.
Häftad, 2000
1390 kr
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This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on …
Modelling Seasonality
Häftad, 1992
2186 kr
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The realization among econometricians and applied economists that seasonal variation in many time series is often larger and less regular than has been supposed, has recently led to an increased interest in seriously modelling seasonality. The relative size of seasonal variation also means that …
Modelling Non-Linear Economic Relationships
Av Granger, Teräsvirta
Häftad, 1993
1167 kr
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This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. …
Time-Series-Based Econometrics
Unit Roots and Co-integrations
Häftad, 1996
2092 kr
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In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those …
Non-Stationary Time Series Analysis and Cointegration
Av Hargreaves, Hargreaves
Häftad, 1994
1280 kr
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Major developments in the analysis of non-stationary time series and co-integration are shown in this book. Papers include David Hendry's work on forecasting, Peter Phillip's work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Other …
Testing Exogeneity
Häftad, 1995
866 kr
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This book discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples. Part I considers what exogeneity is and how it can be tested. Part II contains applications to models of expenditure, money demand, …
ARCH: Selected Readings
Häftad, 1995
1167 kr
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In the early 1980s, R.F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable literature. This collection brings together the leading papers which have shaped ARCH research from its inception to the …
Finite Sample Econometrics
Av Aman Ullah
Inbunden, 2004
969 kr
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This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their …
Finite Sample Econometrics
Av Aman Ullah
Häftad, 2004
1231 kr
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This text provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved since the 1950s. Within this framework, the book discusses the basic analytical tools of finite sample econometrics and explores their applications to models covered in a …
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Häftad, 1995
1445 kr
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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 …
Periodicity and Stochastic Trends in Economic Time Series
Av Franses
Häftad, 1996
803 kr
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This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove …
Generalized Method of Moments
Häftad, 2004
1720 kr
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This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively and …
Generalized Method of Moments
Inbunden, 2004
3681 kr
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Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important …
Workbook on Cointegration
Av Peter Reinhard Hansen, Søren Johansen
Häftad, 1998
1110 kr
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This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text …
Workbook on Cointegration
Av Peter Reinhard Hansen, Søren Johansen
Inbunden, 1998
2902 kr
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This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text …
Periodic Time Series Models
Av Philip Hans Franses, Richard Paap
Inbunden, 2004
2856 kr
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An insightful and up-to-date study of the use of periodic models in the description and forecasting of economic data. Incorporating recent developments in the field, the authors investigate such areas as seasonal time series; periodic time series models; periodic integration; and periodic …
Periodic Time Series Models
Av Philip Hans Franses, Richard Paap
Häftad, 2004
1243 kr
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This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large …
Panel Data Econometrics
Av Manuel Arellano, M. Arellano m. fl.
Inbunden, 2003
3508 kr
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This book is intended for researchers and graduate students of econometrics.
Panel Data Econometrics
Häftad, 2003
885 kr
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This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods …
The Econometrics of Macroeconomic Modelling
Av Gunnar Bårdsen, Øyvind Eitrheim m. fl.
Inbunden, 2005
3040 kr
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Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, …
The Econometrics of Macroeconomic Modelling
Av Gunnar Bårdsen, Øyvind Eitrheim m. fl.
Häftad, 2005
1151 kr
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Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, …
Stochastic Volatility
Selected Readings
Häftad, 2005
1280 kr
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Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in …
Time Series with Long Memory
Häftad, 2003
903 kr
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Long memory processes constitute a broad class of models for stationary and nonstationary time series data in economics, finance, and other fields. Their key feature is persistence, with high correlation between events that are remote in time. A single 'memory' parameter economically indexes this …
Micro-Econometrics for Policy, Program and Treatment Effects
Inbunden, 2005
3910 kr
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In many disciplines of science it is vital to know the effect of a 'treatment' on a response variable of interest; the effect being known as the 'treatment effect'. Here, the treatment can be a drug, an education program or an economic policy, and the response variable can be an illness, academic …
Micro-Econometrics for Policy, Program and Treatment Effects
Häftad, 2005
1224 kr
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In many disciplines of science it is vital to know the effect of a 'treatment' on a response variable of interest; the effect being known as the 'treatment effect'. Here, the treatment can be a drug, an education program or an economic policy, and the response variable can be an illness, academic …
