Authors:Erricos J. Kontoghiorghes, Cristian Gatu,
Publisher: Springer
Keywords: computational, management, science, advances, analysis, econometric, financial, optimisation
Number of Pages: 278
Published: 2006-11-16
List price: $119.00
ISBN-10: 3540366253
ISBN-13: 9783540366256

Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation

Authors:Jean-Pierre Florens, Velayoudom Marimoutou, Anne Peg
Publisher: Cambridge University Press
Keywords: modern, econometrics, themes, inference, modeling, econometric
Number of Pages: 518
Published: 2007-07-02
List price: $105.00
ISBN-10: 0521876400
ISBN-13: 9780521876407

The aim of this book is to present the main statistical tools of econometrics. It covers almost all modern econometric methodology and unifies the approach by using a small number of estimation techniques, many from generalized method of moments (GMM) estimation. The work is in four parts: Part I sets forth statistical methods, Part II covers regression models, Part III investigates dynamic models, and Part IV synthesizes a set of problems that are specific models in structural econometrics, namely identification and overidentification, simultaneity, and unobservability. Many theoretical e

Author: Jeffrey M. Wooldridge
Publisher: The MIT Pre
Keywords: cross, section, panel, data, analysis, econometric, manual, supplementary, materials, solutions
Number of Pages: 250
Published: 2003-09-14
List price: $27.00
ISBN-10: 0262232332
ISBN-13: 9780262232333

This is the essential companion to Jeffrey Wooldridge’s widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001). Already established as a leading graduate econometrics text, the book offers an intuitive yet rigorous treatment of two methods used in econometric research, cross section and panel data techniques. The numerous end-of-chapter problems are an important component of the book, encouraging the student to use the analytical tools presented in the text. This manual contains answers to selected problems, new examples, and supplementary materi

Authors:Christiaan Heij, Paul de Boer, Philip Hans Franses
Publisher: Oxford University Press, USA
Keywords: economics, business, applications, methods, econometric
Number of Pages: 816
Published: 2004-06-03
List price: $99.00
ISBN-10: 0199268010
ISBN-13: 9780199268016

Applied work in business and economics often require a solid understanding of econometric methods to support decision making. This book provides this, encouraging an active engagement with these methods by means of examples and exercises, so that the student develops a working understanding and hands-on experience with current day econometrics.

Authors:Eric Ghysels, Denise R. Osborn,
Publisher: Cambridge University Press
Keywords: themes, modern, econometrics, series, time, analysis, seasonal, econometric
Number of Pages: 252
Published: 2001-06-18
List price: $35.99
ISBN-10: 052156588X
ISBN-13: 9780521565882

Economic and financial time series feature important seasonal fluctuations. Despite their regular and predictable patterns over the year, month or week, they pose many challenges to economists and econometricians. This book provides a thorough review of the recent developments in the econometric analysis of seasonal time series. It is designed for an audience of specialists in economic time series analysis and advanced graduate students. It is the most comprehensive and balanced treatment of the subject since the mid-1980s.

Author: Engelbert Plassmann
Publisher: Physica-Verlag HD
Keywords: cointegration, identification, contributions, economics, aggregation, demand, modelling, european, money, econometric
Number of Pages: 204
Published: 2002-11-11
List price: $79.95
ISBN-10: 3790815225
ISBN-13: 9783790815221

The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the problem dealt with in this book. Its basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The resulting econometric model systematically combines statistical and economic theory by extending a cointegrated VAR into a structural ECM. The empirical outcome is a d

Authors:Dek Terrell, Thomas Fomby,
Publisher: JAI Press
Keywords: part, volume, advances, econometrics, series, time, analysis, financial, economic, econometric
Number of Pages: 378
Published: 2006-04-07
List price: $105.00
ISBN-10: 0762312734
ISBN-13: 9780762312733

The editors are pleased to offer the following papers to the reader in recognition and appreciation of the contributions to our literature made by Robert Engle and Sir Clive Granger, winners of the 2003 Nobel Prize in Economics. The basic themes of this part of Volume 20 of Advances in Econometrics are time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, the application of the technique of boost