Econometric Modeling and Inference - Brossura

Florens, Jean-Pierre; Marimoutou, Velayoudom; Peguin-Feissolle, Anne

Brossura

ISBN 10: 052170006X ISBN 13: 9780521700061

Casa editrice: Cambridge University Press, 2007

Riassunto

Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

Su questo libro

Recensione:

'This book is invaluable to researchers and all who are interested in the statistical analysis of time series, microeconomic data, financial and econometric models.' Journal of Applied Statistics

'... this book ... make[s] a great contribution to teaching the next generation of theoretical econometricians. ... Econometric Modeling and Inference provides an excellent, low- cost opportunity to catch up with what the econometrics subfield has been doing.' Journal of the American Statistical Association

Descrizione del libro:

Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing.

Su questa edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 2007
• ISBN 10: 052170006X
• ISBN 13: 9780521700061
• Rilegatura: Copertina flessibile
• Numero di pagine: 518