Econometrics and economic statistics Books
Cambridge University Press Advances in Economic Theory Volume 2
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£41.83
Cambridge University Press Finitary Probabilistic Methods in Econophysics
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£69.34
Cambridge University Press Theory of Decision under Uncertainty 45 Econometric Society Monographs
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£78.85
Cambridge University Press Statistics
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£42.74
Cambridge University Press Matrix Algebra
Book SynopsisMatrix 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) course in econometrics or statistics. It contains a comprehensive collection of exercises, all with full answers.Trade Review'These authors have achieved the remarkable feat of writing a textbook of matrix algebra cunningly concealed as a structured sequence of exercises and worked answers. The book should prove popular with students intent on teaching themselves and with instructors who wish to set challenging and educative exercises. Recommended unequivocally to all parties.' Dr Stephen Pollock, Queen Mary College'Useful as a text or reference, it is clearly written and very thorough. Besides basic topics, excellent treatment of matrix inequalities, vectorization, and matrix calculus. It belongs on every econometricians's bookshelf.' Professor Peter Schmidt, Michigan State University'Matrix Algebra can be recommended to teachers and graduate students in all fields of mathematics.' Zentralblatt MATHTable of ContentsPart I. Vectors: 1. Real vectors; 2 Complex vectors; Part II. Matrices: 3. Real matrices; 4. Complex matrices; Part III. Vector Spaces: 5. Complex and real vector spaces; 6. Inner-product space; 7. Hilbert space; Part IV. Rank, Inverse, and Determinant: 8. Rank; 9. Inverse; 10. Determinant; Part V. Partitioned Matrices: 11. Basic results and multiplication relations; 12. Inverses; 13. Determinants; 14. Rank (in)equalities; 15. The sweep operator; Part VI. Systems of Equations: 16. Elementary matrices; 17. Echelon matrices; 18. Gaussian elimination; 19. Homogeneous equations; 20. Nonhomogeneous equations; Part VII. Eigenvalues, Eigenvectors, and Factorizations: 21. Eigenvalues and eigenvectors; 22. Symmetric matrices; 23. Some results for triangular matrices; 24. Schur's decomposition theorem and its consequences; 25. Jordan's decomposition theorem; 26. Jordan chains and generalized eigenvectors; Part VIII. Positive (Semi)Definite and Idempotent Matrices: 27. Positive (semi)definite matrices; 28. Partitioning and positive (semi)definite matrices; 29. Idempotent matrices; Part IX. Matrix Functions: 30. Simple functions; 31. Jordan representation; 32. Matrix-polynomial representation; Part X. Kronecker Product, Vec-Operator, and Moore-Penrose Inverse: 33. The Kronecker product; 34. The vec-operator; 35. The Moore-Penrose inverse; 36. Linear vector and matrix equations; 37. The generalized inverse; Part XI. Patterned Matrices, Commutation and Duplication Matrix: 38. The commutation matrix; 39. The symmetrizer matrix; 40. The vec-operator and the duplication matrix; 41. Linear structures; Part XII. Matrix Inequalities: 42. Cauchy-Schwarz type inequalities; 43. Positive (semi)definite matrix inequalities; 44. Inequalities derived from the Schur complement; 45. Inequalities concerning eigenvalues; Part XIII. Matrix calculus: 46. Basic properties of differentials; 47. Scalar functions; 48. Vector functions; 49. Matrix functions; 50. The inverse; 51. Exponential and logarithm; 52. The determinant; 53. Jacobians; 54. Sensitivity analysis in regression models; 55. The Hessian matrix; 56. Least squares and best linear unbiased estimation; 57. Maximum likelihood estimation; 58. Inequalities and equalities.
£38.94
Cambridge University Press Statistics Econometrics and Forecasting
Book SynopsisWritten by one of the foremost practitioners and exponents of econometrics in the world, this book describes the structural econometric time series analysis (SEMTSA) approach to statistical and econometric modeling, and provides a careful analysis and appreciation of the paradigm shift back to the Bayesian approach to scientific inference.Trade Review"I found it a stimulating book. It offers valuable insights on Arnold Zellner's approach to 'good' research, demonstrating how productive and novative research may emerge. Also entertaining were the various anecdotes." - Markus Leippold, University of ZiurichTable of ContentsList of figures; List of tables; Preface; Lecture 1. Bank of England; Lecture 2. National Institute of Economic and Social Research; Appendix: on the questionable virtue of aggregation; Notes; References; Indexes.
£29.44
Cambridge University Press Stochastic Optimization in Continuous Time
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£37.99
Cambridge University Press Introduction to the Mathematical and Statistical Foundations of Econometrics
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£37.99
Cambridge University Press Applied Time Series Econometrics
Book SynopsisThe cointegration revolution has had a substantial impact on applied analysis. The methods for conducting this analysis are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can be used as a textbook for courses on applied time series econometrics.Table of ContentsPreface; Notation and abbreviations; List of contributors; Part I. Initial Tasks and Overview Helmut Lütkepohl: 1. Introduction; 2. Setting up an econometric project; 3. Getting data; 4. Data handling; 5. Outline of chapters; Part II. Univariate Time Series Analysis Helmut Lütkepohl: 6. Characteristics of time series; 7. Stationary and integrated stochastic processes; 8. Some popular time series models; 9. Parameter estimation; 10. Model specification; 11. Model checking; 12. Unit root tests; 13. Forecasting univariate time series; 14. Examples; 15. Where to go from here; Part III. Vector Autoregressive and Vector Error Correction Models Helmut Lütkepohl: 16. Introduction; 17. VARs and VECMs; 18. Estimation; 19. Model specification; 20. Model checking; 21. Forecasting VAR processes and VECMs; 22. Granger-causality analysis; 23. An example; 24. Extensions; Part IV. Structural Vector Autoregressive Modelling and Impulse Responses Jörg Breitung, Ralf Brüggemann and Helmut Lütkepohl: 25. Introduction; 26. The models; 27. Impulse response analysis; 28. Estimation of structural parameters; 29. Statistical inference for impulse responses; 30. Forecast error variance decomposition; 31. Examples; 32. Conclusions; Part V. Conditional Heteroskedasticity Helmut Herwartz: 33. Stylized facts of empirical price processes; 34. Univariate GARCH models; 35. Multivariate GARCH models; Part VI. Smooth Transition Regression Modelling Timo Teräsvirta: 36. Introduction; 37. The model; 38. The modelling cycle; 39. Two empirical examples; 40. Final remarks; Part VII. Nonparametric Time Series Modelling Rolf Tschernig: 41. Introduction; 42. Local linear estimation; 43. Bandwidth and lag selection; 44. Diagnostics; 45. Modelling the conditional volatility; 46. Local linear seasonal modelling; 47. Example I: average weekly working hours in the United States; 48. Example II: XETRA dax index; Part VIII. The Software JMulTi Markus Krätzig: 49. Introduction to JMulTi; 50. Numbers, dates and variables in JMulTi; 51. Handling data sets; 52. Selecting, transforming and creating time series; 53. Managing variables in JMulTi; 54. Notes for econometric software developers; 55. Conclusion; References; Index.
£38.94
Cambridge University Press Probability Econometrics and Truth
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£95.00
Cambridge University Press The Econometric Analysis of Seasonal Time Series
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£89.87
Cambridge University Press The Econometric Analysis of Seasonal Time Series
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£37.99
Cambridge University Press Advances in Econometrics v2 Sixth World Congress Econometric Society Monographs Series Number 24
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£36.87
Cambridge University Press Estimation Inference and Specification Analysis
Book SynopsisThis book examines the consequences of misspecifications from the fundamental to the nonexistent for the interpretation of likelihood-based methods of statistical estimation and interference.Trade Review'... contains much material of interest to econometricians … a useful source book for researchers, instructors and graduate students and essential reading for those interested in the effects of misspecification.' Econometric TheoryTable of Contents1. Introductory remarks; 2. Probability densities, likelihood functions and the quasi-maximum likelihood estimator; 3. Consistency of the QMLE; 4. Correctly specified models of density; 5. Correctly specified models of conditional expectation; 6. The asymptotic distribution of the QMLE and the information matrix equality; 7. Asymptotic efficiency; 8. Hypothesis testing and asymptotic covariance matrix estimation; 9. Specification testing via m-tests; 10. Applications of m-testing; 11. Information matrix testing; 12. Conclusion; Appendix 1. Elementary concepts of measure theory and the Radon-Nikodym theorem; Appendix 2. Uniform laws of large numbers; Appendix 3. Central limit theorems.
£36.09
Cambridge University Press Nonparametric Econometrics
Book SynopsisThe first book to discuss the principles of the nonparametric approach to the topics covered in a first year graduate course in econometrics. The book will provide a new perspective on teaching and research in applied subjects in general and econometrics and statistics in particular.Trade Review'The authors of this well-produced volume merit high praise for their endeavours. This will be the most comprehensive summary of nonparametric statistics that we are likely to see for a long time. I can recommend it as a guide to recent work in an important area of mathematical statistics.' Short Book ReviewsTable of Contents1. Introduction; 2. Methods of density estimation; 3. Conditional moment estimation; 4. Nonparametric estimation of derivatives; 5. Semiparametric estimation of single equation models; 6. Semi and nonparametric estimation of simultaneous equation models; 7. Semiparametric estimation of discrete choice models; 8. Semiparametric estimation of selectivity models; 9. Semiparametric estimation of censored regression models; 10. Retrospect and prospect.
£42.74
Cambridge University Press The Foundations of Econometric Analysis
Book SynopsisThis 1995 book contains a collection of the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought, and are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics.Trade Review'Hendry and Morgan assemble in one place the classics of econometric thought. It is required reading for any student of the history of econometrics or anyone interested in the evolution of one body of thinking about how to interpret empirical evidence.' James Heckman, University of ChicagoTable of ContentsIntroduction; Part I. The Emerging Role of Econometrics in Economics: 1. The scope and method of political economy J. N. Keynes; 2. Business cycles W. C. Mitchell; 3. Economic cycles: their law and cause H. L. Moore; 4. An essay on the nature and significance of economic science L. Robbins; 5. The common sense of econometrics J. A. Schumpeter; Part II. Early Time Series Analysis: 6. On the study of periodic commercial fluctuations W. S. Jevons; 7. Correlation of the marriage rate with trade R. H. Hooker; 8. The correlation of economic statistics W. M. Persons; 9. Why do we get nonsense correlations between time series? G. U. Yule; 10. On a method of investigating periodicities in disturbed series, with special reference to Wolfer's sunspot numbers G. U. Yule; 11. A random difference series for use in the analysis of time series H. Working; 12. Calculation and elimination of seasonal fluctuations A. Wald; 13. Morgenstern on economic forecasting A. W. Marget; Part III. Applied Econometrics and the Identification Problem: 14. The elasticity of the demand for wheat R. A. Lehfeldt; 15. Economic cycles: their law and cause H. L. Moore; 16. Moore's economic cycles P. G. Wright; 17. A moving equilibrium of demand and supply H. L. Moore; 18. Statistical laws of demand and supply P. G. Wright; 19. Determination and interpretation of supply curves J. Tinbergen; Part IV. The Evolution of Statistical Thinking in Econometrics: 20. Statistical laws of demand and supply with special application to sugar H. Schultz; 21. 'Pitfalls' debate R. Frisch, W. W. Leontief and J. Marschak; 22. Statistical confluence analysis by means of complete regression systems R. Frisch; 23. Linear regression analysis of economic time series T. C. Koopmans; 24. Statistical testing of business cycle theories J. Tinbergen; 25. Residual variables in regression and confluence analysis O. Reiersöl; Part V. Dynamic Models: 26. Our unstable dollar and the so-called business cycle I. Fisher; 27. The notions of horizon and expectance in dynamic economics J. Tinbergen; 28. Propagation problems and impulse problems in dynamic economics R. Frisch; 29. Statistical testing of business cycle theories: business cycles in the United States of America 1919–32 J. Tinbergen; 30. Statistical estimation of economic relationships H. O. A. Wold; 31. Prolegomena to a pressure-analysis of economic phenomena R. Frisch; Part VI. The Tinbergen Debate: 32. Statistical testing of business cycle theories: a method and its application to investment activity J. Tinbergen; 33. Professor Tinbergen's method J. N. Keynes; 34. Mr Keynes on the statistical verification of business cycle theories J. Marschak and O. Lange; 34. Econometric testing of business cycle research J. Tinbergen; 35. Autonomy of economic relations R. Frisch; Part VII. Structure and Simultaneity: 36. Economic interdependence and statistical analysis J. Marschak; 37. The probability approach in econometrics T. Haavelmo; 38. The statistical implications of a system of simultaneous equations T. Haavelmo; 39. Statistical estimation of economic relationships H. O. A. Wold; Part VIII. The Probabilistic Revolution: 40. The probability approach in econometrics T. Haavelmo; 41. 'Measurement without theory' debate T. C. Koopmans, R. Vining, and M. Hastay; Part IX. Exogeneity: 42. When is an equation system complete for statistical purposes? T. C. Koopmans; 43. Towards partial redirection of econometrics, actions, consequences and casual relations G. H. Orcutt; Conclusion.
£51.29
Cambridge University Press Advances In Economics and Econometrics Theory And Applications Seventh World Congress Volume 3 Econometric Society Monographs Series Number 28
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£33.24
Cambridge University Press Advances in Economics and Econometrics Theory and Applications Volume II Seventh World Congress Volume 2 Econometric Society Monographs Series Number 27
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£40.84
Cambridge University Press Advances in Economics and Econometrics Theory and Applications Seventh World Congress Volume 1 Econometric Society Monographs Series Number 26
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£32.29
Cambridge University Press SimulationBased Inference in Econometrics
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£104.00
Cambridge University Press Running Regressions A Practical Guide to Quantitative Research in Economics Finance and Development Studies
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£42.74
Cambridge University Press Modeling Aggregate Behavior and Fluctuations in Economics
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£36.09
Cambridge University Press Computational and Mathematical Modeling in the Social Sciences
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£29.44
Cambridge University Press Forecasting Economic Time Series
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£104.50
Cambridge University Press Forecasting Economic Time Series
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£42.74
Cambridge University Press New Approaches Macroeconomic Model Evolutionary Stochastic Dynamics Multiple Equilibria and Externalities as Field Effects
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£37.99
Cambridge University Press Strategic Foundations of General Equilibrium
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£103.55
Cambridge University Press Strategic Foundations of General Equilibrium
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£40.84
Cambridge University Press Applications of Differential Geometry to Econometrics
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£61.75
Cambridge University Press Generalized Method of Moments Estimation
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£89.87
Cambridge University Press Nonlinear Statistical Modeling Proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics Essays in Honor of Takeshi Theory and Econometrics Series Number 13
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£119.70
Cambridge University Press Stochastic Frontier Analysis
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£37.99
Cambridge University Press Generalized Method of Moments Estimation
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£36.09
Cambridge University Press Experimental Auctions
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£35.14
Cambridge University Press Patterns of Speculation
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£40.84
Cambridge University Press Preference Production and Capital Selected Papers of Hirofumi Uzawa
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£28.12
Cambridge University Press Advances in Economics and Econometrics Theory and Applications Ninth World Congress Volume 1 Econometric Society Monographs Series Number 41
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£37.37
Cambridge University Press Advances in Economics and Econometrics Volume 2 Theory and Applications Ninth World Congress 42 Econometric Society Monographs Series Number 42
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£31.34
Cambridge University Press Advances in Economics and Econometrics Volume 3 Theory and Applications Ninth World Congress Econometric Society Monographs Series Number 43
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£34.19
Cambridge University Press The Econometric Modelling of Financial Time Series
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£42.74
Cambridge University Press RATS Handbook to Accompany Introductory Econometrics for Finance
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£36.09
Cambridge University Press Theory of Decision under Uncertainty Econometric Society Monographs
Book SynopsisThis book describes the classical axiomatic theories of decision under uncertainty, as well as critiques thereof and alternative theories. It focuses on the meaning of probability, discussing some definitions and surveying their scope of applicability. The behavioral definition of subjective probability serves as a way to present the classical theories, culminating in Savage's theorem. The limitations of this result as a definition of probability lead to two directions - first, similar behavioral definitions of more general theories, such as non-additive probabilities and multiple priors, and second, cognitive derivations based on case-based techniques.Trade Review'This is a fantastic book. It presents an intelligent, rigorous, and thought-provoking treatment of the theory of choice under uncertainty. The combination of philosophical and mathematical approaches is a treat. Graduate students and professional economists alike have much to learn from this book.' Daron Acemoglu, Massachusetts Institute of Technology'This is a beautifully written book that I recommend to anyone who is interested in understanding the 'what,' 'how,' and 'why' of decision theory. The balance between conceptual issues, formalism, and philosophical underpinnings is unique. It will become a standard reference and text.' Larry Epstein, Boston University'With his seminal works, Itzhak Gilboa is one of the leading figures in the 'neoclassical' decision theory that in the past 20 years has considerably expanded the scope of the classical theory pioneered by de Finetti, Ramsey, Savage, and von Neumann. This book provides a superb and much-needed introduction to this exciting research area.' Massimo Marinacci, Collegio Carlo Alberto, Italy'At the heart of most economic analysis is a description of how individuals make decisions. There have been fundamental advances in our understanding of decision making in recent years, and this book provides an extremely accessible explanation of the current state of the field. Perhaps more importantly, it lays out the conceptual underpinnings of decision theory: why the various assumptions in modeling decision making are made and how they affect economic predictions.' Andrew Postlewaite, University of Pennsylvania'Expected utility theory underlies most of statistics, economics, and finance. But are utility functions and probabilities all that we need to formulate wise decisions? And where do utility functions and probabilities come from? Written by the distinguished creator of new decision theories Itzhak Gilboa, Decision Theory under Uncertainty is a beautifully written critical account of decision theory that answers these and other important questions. Gilboa's work opens doors for both theorists and applied workers.' Thomas Sargent, New York University'[Gilboa] provides a textbook, but mathematically sophisticated, treatment of the recent developments in Choquet expected utility theory, prospect theory, and maxmin expected utility theory.' History of Economic Thought and PolicyTable of Contents1. Preface; 2. Motivating examples; 3. Free will and determinism; 4. The principle of indifference; 5. Relative frequencies; 6. Subjective probabilities; 7. A case study; 8. The role of theories; 9. Von Neumann and Morgenstern's theorem; 10. De Finetti's theorem; 11. Savage's theorem; 12. The definition of states; 13. A critique of Savage; 14. Objectivity and rationality; 15. Anscombe-Aumann's theorem; 16. Choquet expected utility; 17. Prospect theory; 18. Maxmin expected utility; 19. Case-based qualitative beliefs; 20. Frequentism revisited; 21. Future research.
£25.64
Cambridge University Press Discrete Choice Methods with Simulation
Book SynopsisThis 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.Table of Contents1. Introduction; Part I. Behavioral Models: 2. Properties; 3. Logit; 4. GEV; 5. Probit; 6. Mixed logit; 7. Variations on a theme; Part II. Estimation: 8. Numerical maximization; 9. Drawing from densities; 10. Simulation-assisted estimation; 11. Individual-level parameters; 12. Bayesian procedures; 13. Endogeneity; 14. EM algorithms.
£42.74
Cambridge University Press NonLinear Time Series Models in Empirical Finance
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£94.99
Cambridge University Press Essays in Econometrics Collected Papers of Clive W J Granger Volume 1
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£82.65
Cambridge University Press Essays in Econometrics Collected Papers of Clive W J Granger Volume 1 Econometric Society Monographs Series Number 32
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£38.52
Cambridge University Press Modeling Aggregate Behavior and Fluctuations in Economics
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£95.00
Cambridge University Press Microsimulation Modelling for Policy Analysis Challenges and Innovations 65 Department of Applied Economics Occasional Papers Series Number 65
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£90.99