Conceptual econometrics using R /
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| Imprint: | Amsterdam, Netherlands : North Holland, an imprint of Elsevier, [2019] |
|---|---|
| Description: | xv, 314 pages : illustrations (some color) ; 24 cm. |
| Language: | English |
| Series: | Handbook of statistics, 0169-7161 ; volume 41 Handbook of statistics (Amsterdam, Netherlands) ; v. 41. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11987271 |
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| 245 | 0 | 0 | |a Conceptual econometrics using R / |c edited by Hrishikesh D. Vinod, C.R. Rao. |
| 264 | 1 | |a Amsterdam, Netherlands : |b North Holland, an imprint of Elsevier, |c [2019] | |
| 300 | |a xv, 314 pages : |b illustrations (some color) ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Handbook of statistics, |x 0169-7161 ; |v volume 41 | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Contributors -- Preface. Part 1 Statistical inference. 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R / Jean-Marie Dufour and Julien Neves : Introduction -- MOnte Carlo tests with continuous and discrete test statistics -- Pivotal Monte Carlo tests in R -- Example: two-sample goodness-of-fit test -- Maximized Monte Carlo tests -- Asymptotic MMC tests -- MMC tests in R -- MMC tests: examples -- Conclusion -- Acknowledgments -- References. 2. New exogeneity tests and causal paths / Hrishikesh D. Vinod : Introduction -- Kernel regression review -- Cowles commission SEMs -- Stochastic kernel causality by three criteria -- Numerican evaluation of Cr1 and Cr2 -- Stochastic dominance of four Orders -- Review of decision rule computations -- Simulation for checking decision rules -- A bootstrap exogeneity test -- Application example -- Summary and final remarks -- Acknowledgments -- Appendices -- References. 3. Adjusting for bias in long horizon regressions using R / Kenneth D. West and Zifeng Zhao : Introduction -- Long horizon regressions -- Bias adjustment for long horizon regressions -- R code for an empirical application -- Acknowledgment -- Reference. 4. Hypothesis testing, specification, testing, and model selection based on the MCMC output using R / Yong Li, Jun Yu, and Tao Zeng : Inroduction -- MCMC and its implementation in R -- Hypothesis testing based on the MCMC output -- Specification testing based on the MCMC output -- Model selection based on the MCMC output -- Empirical illustrations -- Concluding remarks -- References. Further reading. Part 2 Multivariate models. 5. Dynamic panel GMM using R / Peter C.B. Phillips and Chirok Han : Introduction - a dynamic panel model with macro drivers - R code for dynamic panel estimation - Simulation results - Conclusion - References - Further reading. 6 Vector autoregressive moving average models / Wolfgang Scherrer and Manfred Deistler : Introduction - Vector autoregressive moving average models - Identifiability of VARMA systems - State space models - Identifiability of state space models - Maxiumu likelihood estimation - Initial estimates - Model selection - Discussion and notes - Acknowledgment - References. 7. Multivariate GARCH models for large-scale applications: a survey / Kris Boudt, Alexios Galanos, Scott Payseur, and Eric Zivot ; Introduction - Multivariate generalization of GARCH models - Multivariate distributions - Generalized Orthogonal GARCH models - Conditional correlation GARCH models - BIP and GAS MGARCH models - MGARCH models using high-frequency returns - Illustration - Conclusion - References. Part 3Miscellaneous topics. 8. Modeling fractional responses using R / Joaquim Jose Santos Ramalho : Introduction - The base case: cross-sectional data and no unobserved heterogeneity - Linearized- and exponential-fractional estimators - Panel data estimators - Future developments - Acknowledgments - References. 9. Quantitative game theory applied to economic problems / Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez, and Cori Vilella : Introduction - Cooperative game theory - Marketing and game theory - Claims problems - Concluding remarks - Acknowledgments - References. Index. | |
| 520 | |a Provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. | ||
| 650 | 0 | |a Econometrics. |0 http://id.loc.gov/authorities/subjects/sh85040763 | |
| 650 | 0 | |a R (Computer program language) |0 http://id.loc.gov/authorities/subjects/sh2002004407 | |
| 650 | 0 | |a Econometric models |x Computer programs. | |
| 650 | 7 | |a Econometric models |x Computer programs. |2 fast |0 (OCoLC)fst00901568 | |
| 650 | 7 | |a Econometrics. |2 fast |0 (OCoLC)fst00901574 | |
| 650 | 7 | |a R (Computer program language) |2 fast |0 (OCoLC)fst01086207 | |
| 700 | 1 | |a Rao, C. R., |e editor. |0 http://id.loc.gov/authorities/names/n84109061 |1 http://viaf.org/viaf/249149106195368491570 | |
| 700 | 1 | |a Vinod, Hrishikesh D., |d 1939- |e editor. |0 http://id.loc.gov/authorities/names/n81114671 |1 http://viaf.org/viaf/109021826 | |
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| 830 | 0 | |a Handbook of statistics (Amsterdam, Netherlands) ; |v v. 41. | |
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