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.
- Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
- Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
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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