Econometrics and economic statistics Books
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
Cambridge University Press Essays in Econometrics Collected Papers of Clive W J Granger Volume 2 Econometric Society Monographs Series Number 33
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£145.35
Cambridge University Press Essays in Econometrics Collected Papers of Clive W J Granger Volume 2 Econometric Society Monographs Series Number 33
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£36.87
Cambridge University Press Patterns of Speculation
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£77.39
Cambridge University Press Econometric Theory and Practice
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£43.70
Cambridge University Press Semiparametric Regression for the Applied Econometrician
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£50.35
Cambridge University Press The Role of Social Capital in Development An Empirical Assessment
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£91.20
Cambridge University Press The Structural Econometric Time Series Analysis Approach
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£85.50
Cambridge University Press Essays in Panel Data Econometrics
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£74.10
Cambridge University Press Logit Models from Economics and Other Fields
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£74.09
Cambridge University Press Time Series Models for Business and Economic Forecasting
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£85.49
Cambridge University Press Statistics Econometrics and Forecasting
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£103.55
Cambridge University Press Stochastic Optimization in Continuous Time
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£51.30
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.
£103.11
Cambridge University Press Foundations of Dynamic Economic Analysis
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£85.49
Cambridge University Press Introductory Econometrics Using Monte Carlo Simulation with Microsoft Excel By Humberto Barreto Frank Howland March 2006
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£67.44
Cambridge University Press Weather Derivative Valuation
Book SynopsisCovers the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. Written by consultants who work within the weather derivative industry, this book, first published in 2005, is packed with practical information and theoretical insight into the world of weather derivative pricing.Trade ReviewReview of the hardback: 'Weather Derivative Valuation draws on both finance and meteorology, with a healthy dose of mathematics and statistics, to provide the practitioner with a comprehensive guide to the various methods for pricing and hedging weather derivative contracts. While no perfect model may exist, Jewson and Brix give the reader the background necessary to make informed choices between competing techniques.' William Gebhardt, Merrill LynchReview of the hardback: 'The weather derivatives market is exciting, dynamic and growing. This book is the most complete treatment I have seen of the many issues surrounding valuation of weather derivatives, starting from the basic principles, and then covering all the bases including meteorological data analysis, pricing, portfolio management, incorporation of forecasts and risk management. As a practitioner in the market, I found this book comprehensive and excellently written. Jewson and Brix have taken a complex subject and made it both interesting to read and easy to understand. I would have no hesitation in recommending it to others, both experts in the field and those approaching the subject for the first time.' Gearóid Lane, CentricaReview of the hardback: 'The book covers all of the latest topics in weather derivative pricing, valuation and risk management in a way that is rigorous, and yet also accessible to the non-mathematician. Highly recommended for all involved in weather derivatives, whether they are hedgers, traders, investors, marketers or risk managers.' Martin Jones, Chief Investment Officer, Coriolis Capital LimitedTable of ContentsList of figures; List of tables; Acknowledgements; 1. Weather derivatives and the weather derivatives market; 2. Data cleaning and trends; 3. The valuation of single contracts using burn analysis; 4. The valuation of single contracts using index modelling; 5. Further topics in the valuation of single contracts; 6. Valuation of single contracts using daily methods; 7. Modelling portfolios; 8. Managing portfolios; 9. Introduction to meteorological forecasts; 10. The use of meteorological forecasts in pricing; 11. Arbitrage pricing models; 12. Risk management; 13. Modelling non-temperature data; Appendices; References; Index.
£96.00
Cambridge University Press Identification and Inference for Econometric Models
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£95.95
Cambridge University Press Computational and Mathematical Modeling in the Social Sciences
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£51.30