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Monte Carlo Method Of Evaluation Of Small Sample Properties Of Some Asymptotic Estimators
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Book Synopsis Finite Sample Properties of Some Alternative Gmm Estimators by : Lars Peter Hansen
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators written by Lars Peter Hansen and published by Franklin Classics Trade Press. This book was released on 2018-11-10 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1992 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Selected Papers Of Lawrence R Klein: Theoretical Reflections And Econometric Applications by : Kanta Marwah
Download or read book Selected Papers Of Lawrence R Klein: Theoretical Reflections And Econometric Applications written by Kanta Marwah and published by World Scientific. This book was released on 1997-06-01 with total page 706 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains selected papers of Lawrence R Klein in economics, econometric theory and applications in modeling, forecasting, macroeconomic analysis, international economics and public policy. Nobel Laureate Lawrence Klein's bibliography spans a half-century, including books, articles, and chapters in conference proceedings, festschriften, and thematic books. One such volume of solely scientific collections, mainly from his relatively early articles, has already been published. The present volume is different, it includes some articles, but largely chapters, or book excerpts that were mostly written since 1980, the approximate cut-off date of the prior volume, and the year of his Nobel Prize. Also, it includes things that were published in very limited or obscure editions. Thus it provides a more complete picture of his scholarly career and his current reflections on the state of economic science. All these writings are in the vanguard of thinking about economics in a global domain.The thirty-five-plus selections are organized in five parts, by major themes. An editorial commentary introduces each part. The introductory chapters include Klein's autobiographical research commentary, and his professional life philosophy.
Book Synopsis Evaluation of Econometric Models by : Jan Kmenta
Download or read book Evaluation of Econometric Models written by Jan Kmenta and published by Academic Press. This book was released on 2014-05-10 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.
Book Synopsis The Theory and Practice of Econometrics by : George G. Judge
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Book Synopsis Comprehensive Dissertation Index: Business & Economics L-Z by :
Download or read book Comprehensive Dissertation Index: Business & Economics L-Z written by and published by . This book was released on 1984 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Finance and Financial Econometrics by : Eric Zivot
Download or read book Computational Finance and Financial Econometrics written by Eric Zivot and published by CRC Press. This book was released on 2017-01-15 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents mathematical, programming and statistical tools used in the real world analysis and modeling of financial data. The tools are used to model asset returns, measure risk, and construct optimized portfolios using the open source R programming language and Microsoft Excel. The author explains how to build probability models for asset returns, to apply statistical techniques to evaluate if asset returns are normally distributed, to use Monte Carlo simulation and bootstrapping techniques to evaluate statistical models, and to use optimization methods to construct efficient portfolios.
Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge
Download or read book Econometric Analysis of Cross Section and Panel Data, second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Book Synopsis Comprehensive Dissertation Index by :
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1989 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Monte Carlo Simulation for Econometricians by : Jan F. Kiviet
Download or read book Monte Carlo Simulation for Econometricians written by Jan F. Kiviet and published by Foundations & Trends. This book was released on 2012 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo Simulation for Econometricians presents the fundamentals of Monte Carlo simulation (MCS), pointing to opportunities not often utilized in current practice, especially with regards to designing their general setup, controlling their accuracy, recognizing their shortcomings, and presenting their results in a coherent way. The author explores the properties of classic econometric inference techniques by simulation. The first three chapters focus on the basic tools of MCS. After treating the basic tools of MCS, Chapter 4 examines the crucial elements of analyzing the properties of asymptotic test procedures by MCS. Chapter 5 examines more general aspects of MCS, such as its history, possibilities to increase its efficiency and effectiveness, and whether synthetic random exogenous variables should be kept fixed over all the experiments or be treated as genuinely random and thus redrawn every replication. The simulation techniques that we discuss in the first five chapters are often addressed as naive or classic Monte Carlo methods. However, simulation can also be used not just for assessing the qualities of inference techniques, but also directly for obtaining inference in practice from empirical data. Various advanced inference techniques have been developed which incorporate simulation techniques. An early example of this is Monte Carlo testing, which corresponds to the parametric bootstrap technique. Chapter 6 highlights such techniques and presents a few examples of (semi-)parametric bootstrap techniques. This chapter also demonstrates that the bootstrap is not an alternative to MCS but just another practical inference technique, which uses simulation to produce econometric inference. Each chapter includes exercises allowing the reader to immerse in performing and interpreting MCS studies. The material has been used extensively in courses for undergraduate and graduate students. The various chapters all contain illustrations which throw light on what uses can be made from MCS to discover the finite sample properties of a broad range of alternative econometric methods with a focus on the rather basic models and techniques.
Book Synopsis Misspecification Analysis by : Theo K. Dijkstra
Download or read book Misspecification Analysis written by Theo K. Dijkstra and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Monte Carlo Methods by : Dirk P. Kroese
Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Book Synopsis Recent Advances in Life-Testing and Reliability by : N. Balakrishnan
Download or read book Recent Advances in Life-Testing and Reliability written by N. Balakrishnan and published by CRC Press. This book was released on 2023-07-21 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume presents chapters written on the areas of life-testing and reliability by many well-known researchers who have contributed significantly to these two areas over the years. Chapters cover a wide range of topics such as inference under censoring and truncation, reliability growth models, designs to improve quality, prediction techniques, Bayesian analysis of reliability, multivariate methods, accelerated testing, and more. The book is written in an easy-to-follow style, first presenting the necessary theoretical details and then illustrating the methods with a numerical examples wherever possible. Many tables and graphs that are essential for the use of some of the new methodologies are presented throughout the volume. Numerous examples provide the reader with a clear understanding of the methods presented as well as with insight into the applications of these results.
Book Synopsis Survival Analysis by : John P. Klein
Download or read book Survival Analysis written by John P. Klein and published by Springer Science & Business Media. This book was released on 2006-05-17 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied statisticians in many fields must frequently analyze time to event data. While the statistical tools presented in this book are applicable to data from medicine, biology, public health, epidemiology, engineering, economics, and demography, the focus here is on applications of the techniques to biology and medicine. The analysis of survival experiments is complicated by issues of censoring, where an individual's life length is known to occur only in a certain period of time, and by truncation, where individuals enter the study only if they survive a sufficient length of time or individuals are included in the study only if the event has occurred by a given date. The use of counting process methodology has allowed for substantial advances in the statistical theory to account for censoring and truncation in survival experiments. This book makes these complex methods more accessible to applied researchers without an advanced mathematical background. The authors present the essence of these techniques, as well as classical techniques not based on counting processes, and apply them to data. Practical suggestions for implementing the various methods are set off in a series of Practical Notes at the end of each section. Technical details of the derivation of the techniques are sketched in a series of Technical Notes. This book will be useful for investigators who need to analyze censored or truncated life time data, and as a textbook for a graduate course in survival analysis. The prerequisite is a standard course in statistical methodology.
Book Synopsis Econometrics: Alchemy or Science? by : David F. Hendry
Download or read book Econometrics: Alchemy or Science? written by David F. Hendry and published by OUP Oxford. This book was released on 2000-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues. The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied and simulation studies, it demonstrates that general-to-specific procedures have excellent properties. The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automated model selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.
Book Synopsis Monte Carlo Simulation by : Christopher Z. Mooney
Download or read book Monte Carlo Simulation written by Christopher Z. Mooney and published by SAGE. This book was released on 1997-04-07 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at researchers across the social sciences, this book explains the logic behind the Monte Carlo simulation method and demonstrates its uses for social and behavioural research.
