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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 topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
330.115 --- Econometrie --- 330.115 Econometrie --- Econometric models --- Econometrics --- Mathematical models --- Econometric models. --- Modèles économétriques --- Business, Economy and Management --- Economics
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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 variance-covariance estimation and quasi-maximum likelihood estimation. It contains 11 papers on a range of related topics including the estimation of possibly misspecified error component and fixed effects panel models, estimation and inference in possibly misspecified quantile regression models, quasi-maximum likelihood estimation of linear regression models with bounded and symmetric errors and quasi-maximum likelihood estimation of models with parameter dependencies between the mean vector and error variance-covariance matrix. Other topics include GMM, HAC, Heckit, asymmetric GARCH, Cross-Entropy, and multivariate deterministic trend estimation and testing under various possible misspecifications.
Mathematical statistics --- 330.115 --- 330.115 Econometrie --- Econometrie --- Econometric models --- Econometrics --- Economics, Mathematical --- Statistics --- Mathematical models --- Econometrics. --- Econometric models. --- Business & Economics
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In this short and very practical 2002 introduction to econometrics Philip Hans Franses guides the reader through the essential concepts of econometrics. Central to the book are practical questions in various economic disciplines, which can be answered using econometric methods and models. The book focuses on a limited number of the essential, most widely used methods, before going on to review the basics of econometrics. The book ends with a number of case studies drawn from recent empirical work to provide an intuitive illustration of what econometricians do when faced with practical questions. Throughout the book Franses emphasises the importance of specification, evaluation and implementation of models appropriate to the data. Assuming basic familiarity only with matrix algebra and calculus the book is designed to appeal as either a short stand-alone introduction for students embarking on an empirical research project or as a supplement to any standard introductory textbook.
Econometrics --- 330.115 --- -330.015195 --- Economics, Mathematical --- Statistics --- Econometrie --- Econometrics. --- Econometrics - Case studies. --- Business & Economics --- Economic Theory --- Business, Economy and Management --- Economics --- 330.115 Econometrie --- 330.015195 --- E-books --- Econometrics - Case studies
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The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data.Originally published in 1964.The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
330.115 --- 330.115 Econometrie --- Econometrie --- Quantitative methods (economics) --- Time-series analysis --- Econometrics --- E-books --- Econometrics. --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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In the 16th Edition of Advances in Econometrics, we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing. Given the applied nature of marketing research, measurement and quantitative issues arise frequently. Quantitative marketing tends to rely heavily upon statistics and econometrics. However, quantitative marketing can place a different emphasis upon the problem than econometrics, even when using the same techniques. A basic difference between quantitative marketing research and econometrics tends to be the pragmatism that is found in many marketing studies. Another important motivating factor in marketing research is the type of data that is available. Applied econometrics tends to rely heavily on data collected by governmental organizations. In contrast, marketing often uses data collected by private firms or marketing research firms. Observational and survey data are quite similar to those used in econometrics. However, the remaining types of data, panel and transactional, can look quite different from what may be familiar to econometricians. The automation and computerization of much of the sales transaction process leaves an audit trail that results in huge quantities of data. A popular area of study is the use of scanner data collected at the checkout stand using bar code readers. Methods that work for small data sets may not work well in these larger data sets. In addition, new sources of data, such as clickstream data from a web site, will offer new challenges. This volume addresses these and related issues.
Marketing --- Econometric models --- Econometric models. --- Quantitative methods (economics) --- 330.115 --- -330.115 Econometrie --- Econometrie --- Consumer goods --- Domestic marketing --- Retail marketing --- Retail trade --- 330.115 Econometrie --- Industrial management --- Aftermarkets --- Selling --- Business & Economics --- Science --- Market research. --- Econometrics. --- Advertising & Promotion. --- General. --- Marketing - Econometric models
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Matrix Algebra is the first volume of the Econometric Exercises Series. It contains exercises relating to course material in matrix algebra that students are expected to know while enrolled in an (advanced) undergraduate or a postgraduate course in econometrics or statistics. The book contains a comprehensive collection of exercises, all with full answers. But the book is not just a collection of exercises; in fact, it is a textbook, though one that is organized in a completely different manner than the usual textbook. The volume can be used either as a self-contained course in matrix algebra or as a supplementary text.
Algebra --- Matrices --- 330.105 --- 330.115 --- 512 --- Wiskundige economie. Wiskundige methoden in de economie --- Econometrie --- lineaire algebra --- wiskundige functies --- 512 Algebra --- 330.115 Econometrie --- 330.105 Wiskundige economie. Wiskundige methoden in de economie --- Algebra, Matrix --- Cracovians (Mathematics) --- Matrix algebra --- Matrixes (Algebra) --- Algebra, Abstract --- Algebra, Universal --- Business, Economy and Management --- Economics --- Matrices - Textbooks
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Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions. By complementing the exclusive focus of classical least squares regression on the conditional mean, quantile regression offers a systematic strategy for examining how covariates influence the location, scale and shape of the entire response distribution. This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. The author has devoted more than 25 years of research to this topic. The methods in the analysis are illustrated with a variety of applications from economics, biology, ecology and finance. The treatment will find its core audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above.
Mathematical statistics --- Regression analysis. --- Mathematical statistics. --- Analyse de régression --- Statistique mathématique --- Regression analysis --- 330.115 --- 519.536 --- Mathematics --- Statistical inference --- Statistics, Mathematical --- Statistics --- Probabilities --- Sampling (Statistics) --- Analysis, Regression --- Linear regression --- Regression modeling --- Multivariate analysis --- Structural equation modeling --- Econometrie --- Statistical methods --- 330.115 Econometrie --- Analyse de régression --- Statistique mathématique --- econometrie --- Quantitative methods (economics) --- Business, Economy and Management --- Economics
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Almost without exception, everything human beings undertake involves a choice. In recent years there has been a growing interest in the development and application of quantitative statistical methods to study choices made by individuals with the purpose of gaining a better understanding both of how choices are made and of forecasting future choice responses. In this primer the authors provide an unintimidating introduction to the main techniques of choice analysis and include detail on themes such as data collection and preparation, model estimation and interpretation and the design of choice experiments. A companion website to the book provides practice data sets and software to estimate the main discrete choice models such as multinomial logit, nested logit and mixed logit. This primer will be an invaluable resource to students as well as of immense value to consultants and professionals, researchers and anyone else interested in choice analysis and modelling.
Decision Making --- Mathematical models --- 330.115 --- Econometrie --- 330.115 Econometrie --- Decision making --- 305.6 --- AA / International- internationaal --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Mathematical statistics --- Mathematical models. --- Prise de décision --- Modèles mathématiques --- Mathematical statistics. --- Mathematics --- Statistical inference --- Statistics, Mathematical --- Statistics --- Probabilities --- Sampling (Statistics) --- Statistical methods --- Business, Economy and Management --- Economics --- Decision Making - Mathematical models
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This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. This second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Decision making --- Consumers' preferences --- Simulation methods --- 330.115 --- Econometrie --- Basic Sciences. Mathematics --- Simulation methods. --- Mathematical Models, Simulation Models --- 330.115 Econometrie --- Mathematical Models, Simulation Models. --- Brand preferences --- Choice (Economic theory) --- Choice of product --- Preferences, Consumers' --- Product choice --- Consumer behavior --- Consumers --- Revealed preference theory --- Attitudes --- Business, Economy and Management --- Economics --- Decision making - Simulation methods --- Consumers' preferences - Simulation methods --- Operational research. Game theory --- Mathematical statistics
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Logistic models are widely used in economics and other disciplines and are easily available as part of many statistical software packages. This text for graduates, practitioners and researchers in economics, medicine and statistics, which was originally published in 2003, explains the theory underlying logit analysis and gives a thorough explanation of the technique of estimation. The author has provided many empirical applications as illustrations and worked examples. A large data set - drawn from Dutch car ownership statistics - is provided online for readers to practise the techniques they have learned. Several varieties of logit model have been developed independently in various branches of biology, medicine and other disciplines. This book takes its inspiration from logit analysis as it is practised in economics, but it also pays due attention to developments in these other fields.
Econometric models. --- Logits. --- Logit transformation --- Logarithms --- Econometric models --- Logits --- 305.94 --- 305.971 --- AA / International- internationaal --- 330.115 --- 519.2 --- Biomathematics --- Transformations (Mathematics) --- Econometrics --- Mathematical models --- 519.2 Probability. Mathematical statistics --- Probability. Mathematical statistics --- 330.115 Econometrie --- Econometrie --- Econometrie van de arbeidsmarkt, de werkgelegenheid en de werkloosheid --- Speciale gevallen in econometrische modelbouw --- Mathematical statistics --- Mathematical Sciences --- Probability
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