Conceptual Econometrics Using R

Erscheinungsjahr 2019
ISBN: 978-0-444-64311-7
Verlag: Elsevier Science & Technology

Buch, Englisch, 330 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 650 g

Conceptual Econometrics Using R, Volume 41 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.

Zielgruppe

<p>The scope of the handbook covers great many topics of practical interest to quantitative scientists, especially in Economics and Finance. The audience is not only students, teachers and researchers in various industries and sciences, but also profit and non-profit business decision makers and government policy makers.</p>

Autoren/Hrsg.

Weitere Mitwirkende

Vinod, Hrishikesh D.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik

Inhaltsverzeichnis

Part I: Statistical Inference 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R Jean-Marie Dufour and Julien Neves 2. New exogeneity tests and causal paths Hrishikesh D. Vinod 3. Adjusting for bias in long horizon regressions using R Kenneth D. West and Zifeng Zhao 4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R Yong Li, Jun Yu and Tao Zeng

Part II: Multivariate Models 5. Dynamic panel GMM using R Peter C.B. Phillips and Chirok Han 6. Vector autoregressive moving average models Wolfgang Scherrer and Manfred Deistler 7. Multivariate GARCH models for large-scale applications: A survey Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot

Part III: Miscellaneous Topics 8. Modeling fractional responses using R Joaquim Jose Santos Ramalho 9. Quantitative game theory applied to economic problems Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella

Über Autor(innen)

Vinod, Hrishikesh D.
Hrishikesh D. Vinod is a Ph. D. in economics from Harvard University, who has published over 200 research papers in refereed journals in Economics and Statistics. His R books include: (i) Hands-On Intermediate Econometrics Using R, (ii) Hands-on Matrix Algebra Using R, (World Scientific Publishers: Hackensack), and (iii) Advances in Social Science Research Using R. (Springer). His Wiley Interscience book (joint with D. P. Reagle) is entitled Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. His Marcel Dekker book (joint with A. Ullah) is Recent Advances in Regression Methods. Vinod was a researcher at the prestigious Bell Laboratories before becoming a tenured full professor of Economics at the 177-year old Fordham University in New York, where he is the Director of the Institute of Ethics and Economic Policy within Economics Department.

The exceptionally diverse range and depth of Vinod's research is seen from his CV at:

http://www.fordham.edu/economics/vinod/hdv-cv.htm `ResearchGate' reports that Vinod's work is cited by other researchers some 2700 times, attesting its originality and pioneering quality. The cited research may be classified into six categories.
1) Economic theory and applications: Joint production function, Demand function, Disequilibrium models, Elasticity of substitution, Kernel estimation of shape of demand curve, Poisson Model for Measuring the Returns to R&D, Fuzzy Latin Squares.
2) Econometric theory and applications: Bounds on variance of regression coefficients, Unit root, Double bootstrap, Maximum entropy methods, Causality from non-experimental data, economic distance between blacks and whites, Godambe-Durbin Estimating Functions in Econometrics, Maximum Entropy for singular covariance matrices, Projection Pursuit models.
3) Economic policy issues: Controlling corruption, Corporate governance, India's over-population, Hindu economics, Human rights, Entrepreneurship, Unemployment reduction prowess under Bush versus Obama, Preventing Madoff-Style Ponzi Schemes, Enhancing US power and influence in the UN, Stress testing, Tax cuts, Bank divestitures.
4) Mathematical Statistics and applications: Generalized Durbin-Watson test, Ridge regression extensions, Nonparametric regression using clusters, Generalized t ratio, Canonical ridge estimator, Closed forms for asymptotic bias and variance in autoregressive models, Consequences of perturbations of collinear data.
5) Combinatorics, Matrix algebra and applications: Inventory theoretic models of demand and Clustering by integer programming.
6) Software: Vinod's Journal of Economic Literature and American Economic Review articles discuss software numerical accuracy issues. Vinod's R packages are: `meboot' for maximum entropy bootstrap and `generalCorr' for generalized correlation coefficients and causality.
Winner of several honors and awards including Fellow of the Journal of Econometrics and keynote speaker at international meetings.