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In this compelling 1995 book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and non-specialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a stand-alone and synthetic account of the development of econometrics
In: Conflict, security & development: CSD, Band 4, Heft 3, S. 369-370
ISSN: 1478-1174
In: University of Wisconsin, School of Commerce, Bureau of Business Research and Service, Wisconsin Commerce Reports 4, 1
In: Europäische Hochschulschriften
In: Series 5, Economis and Management 3139
This study is concerned with the econometric analysis of innovation activities in Germany. Using microeconometric models and an unique linked employer-employee dataset provided by the German Federal Employment Office, it presents new evidence on a variety of issues ranging from the determinants of innovations to their impact on labor demand. After a brief introduction into the economics of innovation and a discussion of econometric issues such as self selection and endogeneity, the second part of this study addresses the role of public subsidies and organizational changes within establishments in the innovation process. In the third part the book analyzes whether technological and organizational changes are skill biased in favor of high skilled employees and whether they discriminate against older employees.
In: Econometric Society monographs 17
This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data
In: Econometric Society monographs 17
__Abstract__ One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on "Econometric Analysis of Financial Derivatives" is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What's beneath the surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives
BASE
Front Cover -- The Econometric Analysis of Network Data -- Copyright -- Contents -- Preface -- List of contributors -- 1 Introduction -- Paths, distance and diameter -- Measuring homophily -- Measuring agent centrality -- Degree centrality -- Re nements of degree centrality -- PageRank -- PageRank and the social multiplier -- Katz-Bonacich centrality -- Outdegree-based centrality measures -- References -- 2 Dyadic regression -- 2.1 Population and sampling framework -- Sampling assumption -- 2.2 Composite likelihood -- 2.3 Limit distribution -- Variance calculation -- Variance estimation -- Limit distribution -- 2.4 Empirical illustration -- Monte Carlo experiment -- 2.5 Further reading -- 2.A Derivations -- References -- 3 Strategic network formation -- 3.1 Basic ingredients of the environment -- 3.2 Relation to empirical games -- 3.3 Network formation -- 3.3.1 Iterative network formation -- 3.3.2 Non-iterative network formation -- 3.4 Concluding remarks -- References -- 4 Testing for externalities in network formation using simulation -- A strategic network formation game with transfers -- Test formulation -- Similarity of the test -- Choosing the test statistic -- Simulating undirected networks with xed degree -- The algorithm -- Importance sampling -- Illustration using the Nyakatoke network -- References -- 5 Econometric analysis of bipartite networks -- 5.1 Introduction -- Scope of the paper and outline -- 5.2 Bipartite network models: the linear case -- 5.2.1 Bipartite networks -- Linear model -- Example 1: matched employer-employee data -- Example 2: buyer/seller network -- 5.2.2 Fixed effects: the AKM estimator -- Statistical properties -- 5.2.3 Random-effect approaches -- 5.2.3.1 Conditionally independent random effects -- 5.2.3.2 Random effects and network formation -- Illustration on simulated data -- 5.2.3.3 One-sided random effects.
In: The developing economies: the journal of the Institute of Developing Economies, Tokyo, Japan, Band 6, Heft 3, S. 324-369
ISSN: 1746-1049
This paper is an econometric study of the Indonesian economy. Our intention is to evaluate the interactions within the Indonesian economy, to forecast the selected economic variables under given assumptions, and to measure the effects of various policies. This is to be achieved through an cconometric analysis which uses the available statistics and which provides an analytical framework for the present national income statistics.
In: Studies in Empirical Economics
This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing