Actes de la Session
Author: International Statistical Institute
Publisher:
Published: 1999
Total Pages: 596
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: International Statistical Institute
Publisher:
Published: 1999
Total Pages: 596
ISBN-13:
DOWNLOAD EBOOKAuthor: International Statistical Institute
Publisher:
Published: 1999
Total Pages: 614
ISBN-13:
DOWNLOAD EBOOKV. 1-5, v. 7-10 include "Bulletin bibliographique."
Author: Fabio Canova
Publisher: Princeton University Press
Published: 2011-09-19
Total Pages: 509
ISBN-13: 140084102X
DOWNLOAD EBOOKThe last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.
Author: Lang Wu
Publisher: CRC Press
Published: 2009-11-11
Total Pages: 431
ISBN-13: 9781420074086
DOWNLOAD EBOOKAlthough standard mixed effects models are useful in a range of studies, other approaches must often be used in correlation with them when studying complex or incomplete data. Mixed Effects Models for Complex Data discusses commonly used mixed effects models and presents appropriate approaches to address dropouts, missing data, measurement errors, censoring, and outliers. For each class of mixed effects model, the author reviews the corresponding class of regression model for cross-sectional data. An overview of general models and methods, along with motivating examples After presenting real data examples and outlining general approaches to the analysis of longitudinal/clustered data and incomplete data, the book introduces linear mixed effects (LME) models, generalized linear mixed models (GLMMs), nonlinear mixed effects (NLME) models, and semiparametric and nonparametric mixed effects models. It also includes general approaches for the analysis of complex data with missing values, measurement errors, censoring, and outliers. Self-contained coverage of specific topics Subsequent chapters delve more deeply into missing data problems, covariate measurement errors, and censored responses in mixed effects models. Focusing on incomplete data, the book also covers survival and frailty models, joint models of survival and longitudinal data, robust methods for mixed effects models, marginal generalized estimating equation (GEE) models for longitudinal or clustered data, and Bayesian methods for mixed effects models. Background material In the appendix, the author provides background information, such as likelihood theory, the Gibbs sampler, rejection and importance sampling methods, numerical integration methods, optimization methods, bootstrap, and matrix algebra. Failure to properly address missing data, measurement errors, and other issues in statistical analyses can lead to severely biased or misleading results. This book explores the biases that arise when naïve methods are used and shows which approaches should be used to achieve accurate results in longitudinal data analysis.
Author: Dek Terrell
Publisher: Emerald Group Publishing
Published: 2020-04-15
Total Pages: 468
ISBN-13: 1789739578
DOWNLOAD EBOOKIncluding contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Matthew Shum
Publisher: World Scientific
Published: 2016-12-14
Total Pages: 154
ISBN-13: 981310967X
DOWNLOAD EBOOKEconomic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Author: Christian Gouriéroux
Publisher: OUP Oxford
Published: 1997-01-09
Total Pages: 190
ISBN-13: 019152509X
DOWNLOAD EBOOKThis book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author:
Publisher:
Published: 2003
Total Pages: 398
ISBN-13:
DOWNLOAD EBOOKAuthor: Torben Gustav Andersen
Publisher: Springer Science & Business Media
Published: 2009-04-21
Total Pages: 1045
ISBN-13: 3540712976
DOWNLOAD EBOOKThe Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.