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This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their applications to models covered in a first year graduate course in econometrics, including repression functions, dynamic models, forecasting, simultaneous equations models, panel data models, andcensored models. Both linear and nonlinear models, as well as models with normal and non-normal errors, are studi

Econometrics. --- Econométrie --- Econometrics --- 330.115 --- 330.015195 --- Economics, Mathematical --- Statistics --- Econometrie --- 330.115 Econometrie --- Econométrie --- Econometria

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Econometrics --- Regression analysis --- #SBIB:303H66 --- 303.8 --- AA / International- internationaal --- 330.115 --- Analysis, Regression --- Linear regression --- Regression modeling --- Multivariate analysis --- Structural equation modeling --- Economics, Mathematical --- Statistics --- 330.115 Econometrie --- Econometrie --- Econometrische behandeling van een onderwerp --- Quantitative methods (economics) --- Regression Analysis --- Econometrics. --- Regression analysis.

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Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

Time-series analysis --- Econometrics --- Mathematical models --- Time-series analysis. --- Social Sciences --- Statistics - General --- Econometrics. --- Mathematical models. --- Business, Economy and Management --- Economics --- 330.115 --- Econometrie --- AA / International- internationaal --- 305.0 --- 304.0 --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën. --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- -Econometrics --- 330.0151955 --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- 330.115 Econometrie --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën --- Économétrie --- Time-series analysis - Mathematical models --- Analyses des series temporelles --- Time series analysis