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Econometric Modeling and Inference

Econometric Modeling and Inference

$156.00 (X)

Part of Themes in Modern Econometrics

  • Date Published: July 2007
  • availability: In stock
  • format: Hardback
  • isbn: 9780521876407

$ 156.00 (X)

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About the Authors
  • The aim of this book is to present the main statistical tools of econometrics. It covers almost all modern econometric methodology and unifies the approach by using a small number of estimation techniques, many from generalized method of moments (GMM) estimation. The work is in four parts: Part I sets forth statistical methods, Part II covers regression models, Part III investigates dynamic models, and Part IV synthesizes a set of problems that are specific models in structural econometrics, namely identification and overidentification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises.

    • A graduate text in econometrics and statistics, emphasizing theory and methods, not applications
    • Links teaching and recent approaches in research: nonparametric techniques and simulation methods, game theory and treatment effects
    • Contains numerous theoretical examples that are solved in the discussion
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    Reviews & endorsements

    " updated and well-balanced bird's-eye view of the basic econometric concepts and analyses with informative references on the respective topics for the benefit of readers' further study, covering the traditional simultaneous-equation approach as well as the recent parametric and semiparametric time-series analyses."
    Yuzo Hosoya, Mathematical Reviews

    "... May make a great contribution to teaching the next generation of theoretical econometricians. For the statistician comfortable with formal mathematics, Econometric Modeling and Inference provides an excellent, low-cost opportunity to catch up with what the econometrics subfield has been doing."
    Richard Startz, University of Washington for Journal of the American Statistical Association

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    Product details

    • Date Published: July 2007
    • format: Hardback
    • isbn: 9780521876407
    • length: 518 pages
    • dimensions: 235 x 152 x 29 mm
    • weight: 0.802kg
    • availability: In stock
  • Table of Contents

    Part I. Statistical Methods:
    1. Statistical models
    2. Sequential models and asymptotics
    3. Estimation by maximization and by the method of moments
    4. Asymptotic tests
    5. Nonparametric methods
    6. Simulation methods
    Part II. Regression Models:
    7. Conditional expectation
    8. Univariate regression
    9. Generalized least squares method, heteroskedasticity, and multivariate regression
    10. Nonparametric estimation of the regression
    11. Discrete variables and partially observed models
    Part III. Dynamic Models:
    12. Stationary dynamic models
    13. Nonstationary processes and cointegration
    14. Models for conditional variance
    15. Nonlinear dynamic models
    Part IV. Structural Modeling:
    16. Identification and over identification in structural modeling
    17. Simultaneity
    18. Models with unobservable variables.

  • Instructors have used or reviewed this title for the following courses

    • Demand Analysis
    • Econometrics 1
    • Elements of Econometrics
    • Empirical Analysis in Economics
  • Authors

    Jean-Pierre Florens, Université de Toulouse I (Sciences Sociales)
    Jean-Pierre Florens is Professor of Mathematics at the University of Toulouse I, where he holds the Chair in Statistics and Econometrics, and a senior member of the Institut Universitaire de France. He is also a member of the IDEI and GREMAQ research groups. Professor Florens' research interests include: statistics and econometrics methods, applied econometrics, and applied statistics. He is coauthor of Elements of Bayesian Statistics with Michel Mouchart and Jean-Marie Rolin (1990). The editor or co-editor of several econometrics and statistics books, he has also published numerous articles in the major econometric reviews, such as Econometrica, Journal of Econometrics, and Econometric Theory.

    Velayoudom Marimoutou, Université d'Aix-Marseille
    Vêlayoudom Marimoutou is Professor of Economics at the University of Aix-Marseille 2 and a member of GREQAM. His research fields include: time series analysis, non-stationary processes, long range dependence, and applied econometrics of exchange rates, finance, macroeconometrics, convergence, and international trade. His articles have appeared in publications such as the Journal of International Money and Finance, Oxford Bulletin of Economics and Statistics, and the Journal of Applied Probability.

    Anne Peguin-Feissolle, GREQAM, Aix-Marseille
    Anne Peguin-Feissolle is Research Director of the National Center of Scientific Research (CNRS) and a member of the GREQAM. She conducts research on econometric modelling, especially nonlinear econometrics, applications to macroeconomics, finance, spatial economics, artificial neural network modelling, and long memory problems. Professor Peguin-Feissolle's published research has appeared in Economics Letters, Economic Modelling, European Economic Review, Applied Economics, and the Annales d'Economie et de Statistique, among other publications.


    Josef Perktold

    Marine Carrasco

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