Econometrics Using R 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, Financial market jumps and co-jumps, among others. Eighteen chapters are divided into five parts, all providing not only theory but free R software code to implement the new ideas. R software tools described and illustrated here arising from the latest work of top econometricians should help researchers around the world in all quantitative fields, well beyond Econometrics.
- All chapters are authored by distinguished researchers. The senior authors have received professional honors such as Fellows of Journal of Econometrics or Econometric Society
- The writing style is user-friendly and includes descriptions and links to resources for practical implementations on a free open source R, allowing readers to not only use the tools on their own data, but providing a jump start for understanding the state-of-the-art but perhaps extending it
- The uniquely broad coverage of topics includes five areas: (1) Statistical Inference, (2) Multivariate Models, (3) Finance, (4) Macro Econometrics, and (5) Micro Econometrics