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Nonparametric Estimation In Panel Data Models With Heterogeneity And Time Varyingness
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Download or read book Nonlinear Time Series written by Jiti Gao and published by CRC Press. This book was released on 2007-03-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully
Book Synopsis Nonparametric Econometrics by : Qi Li
Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2011-10-09 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Book Synopsis Nonlinear Time Series by : Jianqing Fan
Download or read book Nonlinear Time Series written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2008-09-11 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time. The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.
Book Synopsis Essays in Honor of Cheng Hsiao by : Dek Terrell
Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Book Synopsis Intelligent Systems by : Alexander M. Meystel
Download or read book Intelligent Systems written by Alexander M. Meystel and published by Wiley-Interscience. This book was released on 2002 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive treatment of the field of intelligent systems is written by two of the foremost authorities in the field. The authors clearly examine the theoretical and practical aspects of these systems. The book focuses on the NIST-RCS (Real-time Control System) model that has been used recently in the Mars Rover.
Book Synopsis Nonparametric Statistics for Stochastic Processes by : Denis Bosq
Download or read book Nonparametric Statistics for Stochastic Processes written by Denis Bosq and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a mathematically rigorous treatment of the theory of nonparametric estimation and prediction for stochastic processes. It discusses discrete time and continuous time, and the emphasis is on the kernel methods. Several new results are presented concerning optimal and superoptimal convergence rates. How to implement the method is discussed in detail and several numerical results are presented. This book will be of interest to specialists in mathematical statistics and to those who wish to apply these methods to practical problems involving time series analysis.
Book Synopsis Dynamic Factor Models by : Jörg Breitung
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Neurodynamics: An Exploration in Mesoscopic Brain Dynamics by : Walter Freeman
Download or read book Neurodynamics: An Exploration in Mesoscopic Brain Dynamics written by Walter Freeman and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cortical evoked potentials are of interest primarily as tests of changing neuronal excitabilities accompanying normal brain function. The first three steps in the anal ysis of these complex waveforms are proper placement of electrodes for recording, the proper choice of electrical or sensory stimulus parameters, and the establish ment of behavioral control. The fourth is development of techniques for reliable measurement. Measurement consists of comparison of an unknown entity with a set of standard scales or dimensions having numerical attributes in preassigned degree. A physical object can be described by the dimensions of size, mass, density, etc. In addition there are dimensions such as location, velocity, weight, hardness, etc. Some of these dimensions can be complex (e. g. size depends on three or more subsidiary coordi nates), and some can be interdependent or nonorthogonal (e. g. specification of size and mass may determine density). In each dimension the unit is defined with refer ence to a standard physical entity, e. g. a unit of mass or length, and the result of measurement is expressed as an equivalence between the unknown and the sum of a specified number of units of that entity. The dimensions of a complex waveform are elementary waveforms from which that waveform can be built by simple addition. Any finite single-valued function of time is admissible. They are called basis functions (lO, 15), and they can be expressed in numeric as well as geometric form.
Book Synopsis Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors by : Marie-Claude Beaulieu
Download or read book Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors written by Marie-Claude Beaulieu and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose exact likelihood-based mean-variance efficiency tests of theIn diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz-
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis The Relative Volatility of Commodity Prices by : Mr.Rabah Arezki
Download or read book The Relative Volatility of Commodity Prices written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2011-12-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather the literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.
Book Synopsis Exact Skewness-kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models by : Jean-Marie Dufour
Download or read book Exact Skewness-kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models written by Jean-Marie Dufour and published by Montréal : CIRANO. This book was released on 2003 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Analysis of Liquidity by : Craig Holden
Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Book Synopsis A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods by :
Download or read book A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods written by and published by . This book was released on 2000 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparison of Non-Stationary Time Series in the Frequency Domain by : Elizabeth Ann Maharaj
Download or read book Comparison of Non-Stationary Time Series in the Frequency Domain written by Elizabeth Ann Maharaj and published by . This book was released on 2018 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we compare two non-stationary time series using non-parametric procedures. Evolutionary spectra are estimated for the two series. Randomization tests are performed on groups of spectral estimates for both related and independent time series. Simulation studies show that in certain cases the tests perform reasonably well. The tests are applied to observed geological and financial time series.
Book Synopsis Nonparametric Estimation and Symmetry Tests for Conditional Density Functions by : Rob J. Hyndman
Download or read book Nonparametric Estimation and Symmetry Tests for Conditional Density Functions written by Rob J. Hyndman and published by . This book was released on 1998 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
