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totalt 17 träffar
Generalized Method of Moments Estimation
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by …
Financial Econometrics
The Econometric Analysis of Seasonal Time Series
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade …
Granularity Theory with Applications to Finance and Insurance
The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and …
Structural Vector Autoregressive Analysis
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative …
Applied Time Series Econometrics
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to …
Introduction to the Mathematical and Statistical Foundations of Econometrics
This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation …
Time Series and Dynamic Models
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an …
Econometrics of Qualitative Dependent Variables
This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring …
Almost All about Unit Roots
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are …
Econometric Analysis of Stochastic Dominance
This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, …
Econometric Modeling and Inference
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 …