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Conceptual Econometrics Using R, Vol 41. Handbook of Statistics

  • ID: 4772263
  • Book
  • 420 Pages
  • Elsevier Science and Technology
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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. The book's eighteen chapters are divided into five parts, all providing not only theory, but free R software code to implement the new ideas.

  • 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 I: Statistical Inference

- Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R

Jean-Marie Dufour and Julien Neves

- New exogeneity tests and causal paths

Hrishikesh D. Vinod

- Adjusting for bias in long horizon regressions using R

Kenneth D. West and Zifeng Zhao

- 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

- Dynamic panel GMM using R

Peter C.B. Phillips and Chirok Han

- Vector autoregressive moving average models

Wolfgang Scherrer and Manfred Deistler

- Multivariate GARCH models for large-scale applications: A survey

Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot

Part III: Miscellaneous Topics

- Modeling fractional responses using R

Joaquim Jose Santos Ramalho

- Quantitative game theory applied to economic problems

Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella
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