Econometrics

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical...

Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and...

First published in 1996, Dynamic Disequilibrium Modeling presents some surveys and developments in dynamic disequilibrium and continuous time econometric modeling along with related research from associated fields. Specific areas covered include...

This is the first volume in a major two-volume set of advanced texts in econometrics. It is essentially a text in statistics which is adapted to deal with economic phenomena. Christian Gourieroux and Alain Monfort have written a text which synthesises a...

This book systematically and thoroughly covers the vast literature on the nonparametric and semiparametric statistics and econometrics that has evolved over the last five decades. Within this framework this is the first book to discuss the principles of...

These twenty papers were selected by the author. The book includes a major introduction by Werner Hildenbrand, who assesses Professor Debreu's contribution to economic theory and explains the part played by these papers in the development of the subject...

This book brings together in a single coherent framework a research programme begun by the author in the forties. The main model around which the analysis is built is Hicksian in character, having been drawn in large part from John Hicks's Value and...

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address...

This book examines the consequences of misspecifications ranging from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference. Professor White first explores the underlying...

New Approaches to Monetary Economics brings together presentations of innovative research in the field of monetary economics. Much of this research develops and applies approaches to modelling financial intermediation, aggregate fluctuations, monetary...

This book brings together presentations of some of the fundamental new research that has begun to appear in the areas of dynamic structural modeling, nonlinear structural modeling, time series modeling, nonparametric inference, and chaotic attractor...

Based on two lectures presented as part of The Stone Lectures in Economics series, Arnold Zellner describes the structural econometric time series analysis (SEMTSA) approach to statistical and econometric modeling. Developed by Zellner and Franz Palm,...

What part does technological knowledge accumulation play in modern economic growth? This book investigates and examines the predictions of new growth theory, using OECD manufacturing data. Its empirical findings portray a novel and complex picture of the...

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A theft amounting to £1 was a capital offence in 1260 and a judge in 1610 affirmed the law could not then be applied since £1 was no longer what it was. Such association of money with a date is well recognized for its importance in very many connections...

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address...

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...

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 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...

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 many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of...

In these three essays, Professor Granger explains the process of constructing and evaluating an empirical model. Drawing on a wide range of cases and vignettes from economics, finance, politics and environment economics, as well as from art, literature,...

Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of...

Economists, psychologists, and marketers are interested in determining the monetary value people place on non-market goods for a variety of reasons: to carry out cost-benefit analysis, to determine the welfare effects of technological innovation or...

Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers,...

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...

In this book Herman Bierens provides a mathematically rigorous treatment of a number of timely topics in advanced econometrics. His subjects include nonlinear estimation, maximum likelihood theory, ARMA and ARMAX models, unit roots and cointegration, and...

This book brings together in a single coherent framework a research programme begun by the author in the forties. The main model around which the analysis is built is Hicksian in character, having been drawn in large part from John Hicks's Value and...

This work on index-number construction focuses on production indexes, including output and input deflators that can be used for constructing real output and real input. Fisher and Shell treat separately the different production units: the firm, the...

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...

Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. Specific areas covered include...

Recent advances in establishing the nature and scope of estimators in econometrics have shed more light on the importance of instrumental variables. In this book, the authors argue that such methods may be regarded as a strong organizing principle for a...

In this compelling 1995 book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand...

This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood...

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...

This collection brings together important contributions by leading econometricians on (i) parametric approaches to qualitative and sample selection models, (ii) nonparametric and semi-parametric approaches to qualitative and sample selection models, and...

Advances in data collection and data storage techniques have enabled marketing researchers to study the individual characteristics of a large range of transactions and purchases, in particular the effects of household-specific characteristics. This 2001...

This investigation proposes a conceptual framework for measurement necessary for an analysis of household finance and economic development. The authors build on and, where appropriate, modify corporate financial accounts to create balance sheets, income...

The idea that simplicity matters in science is as old as science itself, with the much cited example of Ockham's Razor, 'entia non sunt multiplicanda praeter necessitatem': entities are not to be multiplied beyond necessity. A problem with Ockham's razor...

This is the substantially revised and restructured second edition of Ron Shone's successful advanced textbook Economic Dynamics. The book provides detailed coverage of dynamics and phase diagrams, including: quantitative and qualitative dynamic systems,...