Econometrics

This volume is the result of an "Advances in Econometrics" conference held in November of 2002 at Louisiana State University in recognition of Halbert White's pioneering work published in Econometrica in 1980 and 1982 on robust...

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...

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...

The monograph concentrates on recent developments in modelling economic processes on macro level. Namely there are two main areas of interest: co-integration analysis and the use of high frequency time series. Special emphasis is put on testing,...

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This volume focuses on econometric models that confront estimation and inference issues occurring when sample data exhibit spatial or spatiotemporal dependence. This can arise when decisions or transactions of economic agents are related to the behaviour...

Price and quantity indices are important, much-used measuring instruments, and it is therefore necessary to have a good understanding of their properties. When it was published, this book is the first comprehensive text on index number theory since...

This highly accessible and innovative text with supporting web site uses Excel (R) to teach the core concepts of econometrics without advanced mathematics. It enables students to use Monte Carlo simulations in order to understand the data generating...

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This book provides an accessible collection of techniques for analyzing nonparametric and semiparametric regression models. Worked examples include estimation of Engel curves and equivalence scales, scale economies, semiparametric Cobb-Douglas, translog...

An examples-driven treatment of introductory economic dynamics for students with a basic familiarity with spreadsheets. Shone approaches the subject with the belief that true understanding of a subject can only be achieved by students themselves setting...

Although geometry has always aided intuition in econometrics, more recently differential geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the essential...

Foundations of Dynamic Economic Analysis presents a modern and thorough exposition of the fundamental mathematical formalism used to study optimal control theory, i.e., continuous time dynamic economic processes, and to interpret dynamic economic...

A comprehensive, self-contained survey of the theory and applications of differential games, one of the most commonly used tools for modelling and analysing economics and management problems which are characterised by both multiperiod and strategic...

This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education,...

A systematic and comprehensive introduction to the study of nonlinear dynamical systems, in both discrete and continuous time, for nonmathematical students and researchers working in applied fields. An understanding of linear systems and the classical...

This collection of papers delivered at the Fifth International Symposium in Economic Theory and Econometrics in 1988 is devoted to the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data...

With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time...

This book was first published in 1995. The problem of disparities between different estimates of GDP is well known and widely discussed. Here, the authors describe a method for examining the discrepancies using a technique allocating them with reference...

The Econometric Society holds a World Congress every five years. The programme of these congresses has traditionally included a series of invited symposia, where speakers survey important recent advances in economic theory and econometrics. These two...

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. In this book, Terence Mills not only brings together recent research at the...

One of the problems in economics that economists have devoted a considerable amount of attention in prevalent years has been to ensure consistency in the models they employ. Assuming markets to be generally in some state of equilibrium, it is asked under...

This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education,...

This 1998 book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in...

The responses to questions such as 'What is the explanation for changes in the unemployment rate?' frequently involve the presentation of a mathematical relationship, a function that relates one set of variables to another set of variables. It should...

This textbook provides an introduction to econometrics through a grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning...

This book provides a systematic exposition of mathematical economics, presenting and surveying existing theories and showing ways in which they can be extended. One of its strongest features is that it emphasises the unifying structure of economic theory...

The search for symmetry is part of the fundamental scientific paradigm in mathematics and physics. Can this be valid also for economics? This book represents an attempt to explore this possibility. The behavior of price-taking producers, monopolists,...

An Introduction to Mathematics for Economics introduces quantitative methods to students of economics and finance in a succinct and accessible style. The introductory nature of this textbook means a background in economics is not essential, as it aims to...

This book is a collection of essays written in honor of Professor Peter C. B. Phillips of Yale University by some of his former students. The essays analyze a number of important issues in econometrics, all of which Professor Phillips has directly...

This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya,...

This book was first published in 1995. The problem of disparities between different estimates of GDP is well known and widely discussed. Here, the authors describe a method for examining the discrepancies using a technique allocating them with reference...

Commerce, Complexity, and Evolution is a significant contribution to the paradigm - straddling economics, finance, marketing, and management - which acknowledges that commercial systems are evolutionary, and must therefore be analysed using evolutionary...

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The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000...

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric...

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