Econometric Applications of Maximum Likelihood Methods

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Publisher : CUP Archive
ISBN 13 : 9780521378574
Total Pages : 232 pages
Book Rating : 4.3/5 (785 download)

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Book Synopsis Econometric Applications of Maximum Likelihood Methods by : Jan Salomon Cramer

Download or read book Econometric Applications of Maximum Likelihood Methods written by Jan Salomon Cramer and published by CUP Archive. This book was released on 1989-04-28 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of electronic computing permits the empirical analysis of economic models of far greater subtlety and rigour than before, when many interesting ideas were not followed up because the calculations involved made this impracticable. The estimation and testing of these more intricate models is usually based on the method of Maximum Likelihood, which is a well-established branch of mathematical statistics. Its use in econometrics has led to the development of a number of special techniques; the specific conditions of econometric research moreover demand certain changes in the interpretation of the basic argument. This book is a self-contained introduction to this field. It consists of three parts. The first deals with general features of Maximum Likelihood methods; the second with linear and nonlinear regression; and the third with discrete choice and related micro-economic models. Readers should already be familiar with elementary statistical theory, with applied econometric research papers, or with the literature on the mathematical basis of Maximum Likelihood theory. They can also try their hand at some advanced econometric research of their own.

Econometric Applications of Maximum Likelihood Methods

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Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (76 download)

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Book Synopsis Econometric Applications of Maximum Likelihood Methods by : Jan Salomon Cramer

Download or read book Econometric Applications of Maximum Likelihood Methods written by Jan Salomon Cramer and published by . This book was released on 1986 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Maximum Simulated Likelihood Methods and Applications

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Author :
Publisher : Emerald Group Publishing
ISBN 13 : 0857241494
Total Pages : 371 pages
Book Rating : 4.8/5 (572 download)

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Book Synopsis Maximum Simulated Likelihood Methods and Applications by : William Greene

Download or read book Maximum Simulated Likelihood Methods and Applications written by William Greene and published by Emerald Group Publishing. This book was released on 2010-12-03 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of methodological developments and applications of simulation-based methods were presented at a workshop at Louisiana State University in November, 2009. Topics include: extensions of the GHK simulator; maximum-simulated likelihood; composite marginal likelihood; and modelling and forecasting volatility in a bayesian approach.

Econometrics, an Introduction to Maximum Likelihood Methods (Classic Reprint)

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Author :
Publisher : Forgotten Books
ISBN 13 : 9780266924005
Total Pages : 234 pages
Book Rating : 4.9/5 (24 download)

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Book Synopsis Econometrics, an Introduction to Maximum Likelihood Methods (Classic Reprint) by : Stefan Valavanis

Download or read book Econometrics, an Introduction to Maximum Likelihood Methods (Classic Reprint) written by Stefan Valavanis and published by Forgotten Books. This book was released on 2018-12-18 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Econometrics, an Introduction to Maximum Likelihood Methods Introduction and summary Violation of Simplifying Assumption 6 Conjugate samples Source of bias Extent of the bias The' nature of initial conditions Unbiased estimation Further readings. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Econometric Methods with Applications in Business and Economics

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Publisher : Oxford University Press
ISBN 13 : 0199268010
Total Pages : 814 pages
Book Rating : 4.1/5 (992 download)

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Book Synopsis Econometric Methods with Applications in Business and Economics by : C. Heij

Download or read book Econometric Methods with Applications in Business and Economics written by C. Heij and published by Oxford University Press. This book was released on 2004-03-25 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). • Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. • Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. • Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. • Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.

Separating Information Maximum Likelihood Method for High-Frequency Financial Data

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Author :
Publisher : Springer
ISBN 13 : 4431559302
Total Pages : 118 pages
Book Rating : 4.4/5 (315 download)

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Book Synopsis Separating Information Maximum Likelihood Method for High-Frequency Financial Data by : Naoto Kunitomo

Download or read book Separating Information Maximum Likelihood Method for High-Frequency Financial Data written by Naoto Kunitomo and published by Springer. This book was released on 2018-06-14 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics. Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data. Although several new statistical estimation procedures have been proposed, each method has some desirable properties along with some shortcomings that call for improvement. For estimating integrated volatility, covariance, and the related statistics by using high-frequency financial data, the SIML method has been developed by Kunitomo and Sato to deal with possible micro-market noises. The authors show that the SIML estimator has reasonable finite sample properties as well as asymptotic properties in the standard cases. It is also shown that the SIML estimator has robust properties in the sense that it is consistent and asymptotically normal in the stable convergence sense when there are micro-market noises, micro-market (non-linear) adjustments, and round-off errors with the underlying (continuous time) stochastic process. Simulation results are reported in a systematic way as are some applications of the SIML method to the Nikkei-225 index, derived from the major stock index in Japan and the Japanese financial sector.

ECONOMETRICS, AN INTRODUCTION TO MAXIMUM LIKELIHOOD METHODS

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Publisher :
ISBN 13 : 9781033904589
Total Pages : 0 pages
Book Rating : 4.9/5 (45 download)

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Book Synopsis ECONOMETRICS, AN INTRODUCTION TO MAXIMUM LIKELIHOOD METHODS by : STEFAN. VALAVANIS

Download or read book ECONOMETRICS, AN INTRODUCTION TO MAXIMUM LIKELIHOOD METHODS written by STEFAN. VALAVANIS and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometrics, an Introduction to Maximum Likelihood Methods

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Publisher :
ISBN 13 :
Total Pages : 223 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Econometrics, an Introduction to Maximum Likelihood Methods by : Stefan Valavanis

Download or read book Econometrics, an Introduction to Maximum Likelihood Methods written by Stefan Valavanis and published by . This book was released on 1980 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Models, Techniques, and Applications

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Publisher : Pearson
ISBN 13 :
Total Pages : 684 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Econometric Models, Techniques, and Applications by : Michael D. Intriligator

Download or read book Econometric Models, Techniques, and Applications written by Michael D. Intriligator and published by Pearson. This book was released on 1996 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys the theories, techniques (model- building and data collection), and applications of econometrics. KEY TOPICS: It focuses on those aspects of econometrics that are of major importance to readers and researchers interested in performing, evaluating, or understanding econometric studies in a variety of areas. It reviews matrix notation and the use of multivariate statistics; discusses the specification of the model and the development of data for its estimation; covers recent developments in econometric models, techniques, and applications; explains the estimation of single-equation models; and provides case studies of the applications of econometrics to a wide array of areas -- including traditional areas such as the estimation of demand functions and production functions, and macroeconometric models.

Econometric Methods and Their Applications in Finance, Macro and Related Fields

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Publisher : World Scientific
ISBN 13 : 9814513474
Total Pages : 616 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis Econometric Methods and Their Applications in Finance, Macro and Related Fields by : Kaddour Hadri

Download or read book Econometric Methods and Their Applications in Finance, Macro and Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.

Micro-Econometrics

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Publisher : Springer Science & Business Media
ISBN 13 : 0387688412
Total Pages : 789 pages
Book Rating : 4.3/5 (876 download)

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Book Synopsis Micro-Econometrics by : Myoung-jae Lee

Download or read book Micro-Econometrics written by Myoung-jae Lee and published by Springer Science & Business Media. This book was released on 2009-09-28 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers

Econometrics

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Publisher : Springer
ISBN 13 :
Total Pages : 622 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Econometrics by : P. J. Dhrymes

Download or read book Econometrics written by P. J. Dhrymes and published by Springer. This book was released on 1970 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt: Elementary aspects of multivariate analysis; Applications of multivariate analysis; Probability limits, asymptotic distributions, and properties of maximum likelihood estimators; Estimation of simultaneous equations systems; Applications of classical and simultaneous equations techniques and related problems; Alternative estimation methods: recursive systems; Maximum likelihood methods; Relations among estimators: Monte Carlo methods; Spectral analysis; Cross-spectral analysis; Approximate sampling distributions and other statistical aspects of spectral analysis; Applications of spectral analysis to simultaneous equations systems.

Exact Maximum Likelihood Estimation of Observation-driven Econometric Models

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Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Exact Maximum Likelihood Estimation of Observation-driven Econometric Models by : Francis X. Diebold

Download or read book Exact Maximum Likelihood Estimation of Observation-driven Econometric Models written by Francis X. Diebold and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained. We conclude with a discussion of directions for future research, including application of our methods to panel data models.

Nonparametric and Semiparametric Methods in Econometrics and Statistics

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Publisher : Cambridge University Press
ISBN 13 : 9780521424318
Total Pages : 512 pages
Book Rating : 4.4/5 (243 download)

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Book Synopsis Nonparametric and Semiparametric Methods in Econometrics and Statistics by : William A. Barnett

Download or read book Nonparametric and Semiparametric Methods in Econometrics and Statistics written by William A. Barnett and published by Cambridge University Press. This book was released on 1991-06-28 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.

Econometrics, An Introduction to Maximum Likelihood Methods (By Stefan Valavanis. Edited, From Ms., by Alfred H. Conrad

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Author :
Publisher :
ISBN 13 :
Total Pages : 223 pages
Book Rating : 4.:/5 (635 download)

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Book Synopsis Econometrics, An Introduction to Maximum Likelihood Methods (By Stefan Valavanis. Edited, From Ms., by Alfred H. Conrad by : Stefan Valavanis

Download or read book Econometrics, An Introduction to Maximum Likelihood Methods (By Stefan Valavanis. Edited, From Ms., by Alfred H. Conrad written by Stefan Valavanis and published by . This book was released on 1959 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Research Methods and Applications in Empirical Macroeconomics

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Publisher : Edward Elgar Publishing
ISBN 13 : 0857931024
Total Pages : 627 pages
Book Rating : 4.8/5 (579 download)

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Book Synopsis Handbook of Research Methods and Applications in Empirical Macroeconomics by : Nigar Hashimzade

Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.

Econometrics. An Introduction to Maximum Likelihood Methods. [By] Stefan Valavanis ... Edited ... by Alfred H. Conrad

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Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (54 download)

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Book Synopsis Econometrics. An Introduction to Maximum Likelihood Methods. [By] Stefan Valavanis ... Edited ... by Alfred H. Conrad by : Stefan VALAVANIS

Download or read book Econometrics. An Introduction to Maximum Likelihood Methods. [By] Stefan Valavanis ... Edited ... by Alfred H. Conrad written by Stefan VALAVANIS and published by . This book was released on 1959 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: