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On Optimal Instrumental Variables Estimation Of Stationary Time Series Models
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Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Econometric Theory and Practice by : P. C. B. Phillips
Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.
Book Synopsis Nonlinear Econometric Modeling in Time Series by : William A. Barnett
Download or read book Nonlinear Econometric Modeling in Time Series written by William A. Barnett and published by Cambridge University Press. This book was released on 2000-05-22 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.
Book Synopsis Using R for Principles of Econometrics by : Constantin Colonescu
Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Book Synopsis The New Palgrave Dictionary of Economics by :
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Book Synopsis Generalized Method of Moments by : Alastair R. Hall
Download or read book Generalized Method of Moments written by Alastair R. Hall and published by Oxford University Press. This book was released on 2005 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recentimportant developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empiricalexamples in macroeconomics and finance.Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test andtests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrumentasymptotics.
Book Synopsis Econometric Methods for Endogenously Sampled Time Series by : George J. Hall
Download or read book Econometric Methods for Endogenously Sampled Time Series written by George J. Hall and published by . This book was released on 2002 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of a probabilistic sampling rule that depends on the history of the process as well as other observed covariates xt . We focus on a particular example where pt denotes the daily wholesale price of a standardized steel product. However there are no formal exchanges or centralized markets where steel is traded and pt can be observed. Instead nearly all steel transaction prices are a result of private bilateral negotiations between buyers and sellers, typically intermediated by middlemen known as steel service centers. Even though there is no central record of daily transactions prices in the steel market, we do observe transaction prices for a particular firm -- a steel service center that purchases large quantities of steel in the wholesale market for subsequent resale in the retail market. The endogenous sampling problem arises from the fact that the firm only records pt on the days that it purchases steel. We present a parametric analysis of this problem under the assumption that the timing of steel purchases is part of an optimal trading strategy that maximizes the firm's expected discounted trading profits. We derive a parametric partial information maximum likelihood (PIML) estimator that solves the endogenous sampling problem and efficiently estimates the unknown parameters of a Markov transition probability that determines the law of motion for the underlying {pt} process. The PIML estimator also yields estimates of the structural parameters that determine the optimal trading rule. We also introduce an alternative consistent, less efficient, but computationally simpler simulated minimum distance (SMD) estimator that avoids high dimensional numerical integrations required by the PIML estimator. Using the SMD estimator, we provide estimates of a truncated lognormal AR(1) model of the wholesale price processes for particular types of steel plate. We use this to infer the share of the middleman's discounted profits that are due to markups paid by its retail customers, and the share due to price speculation. The latter measures the firm's success in forecasting steel prices and in timing its purchases in order to buy low and sell high'. The more successful the firm is in speculation (i.e. in strategically timing its purchases), the more serious are the potential biases that would result from failing to account for the endogeneity of the sampling process.
Book Synopsis Statistical Methods for Stochastic Differential Equations by : Mathieu Kessler
Download or read book Statistical Methods for Stochastic Differential Equations written by Mathieu Kessler and published by CRC Press. This book was released on 2012-05-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions. Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
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 Estimating Hedonic Models by : Helen Tauchen
Download or read book Estimating Hedonic Models written by Helen Tauchen and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider the conditions under which instrumental variables methods are required in estimating a hedonic price function and its accompanying demand and supply relations. We assume simple functional forms that permit an explicit solution for the equilibrium hedonic price function. The principles are the same for models in which no analytic solution exists, but having the solutions makes the issues far more transparent. The need for instrumental variables estimation is directly analogous for the classical demand and supply model with undifferentiated products and for the hedonic model with differentiated products. In estimating individual demand and supply functions, instrumental variables estimation is required if the consumer and firm unobservables, which give rise to the error terms in the demand and supply functions, are correlated across consumers/firms within a community. In estimating inverse demand/supply functions, which are referred to as bid/offer functions in the hedonic model, instrumental variables estimation is required even if the unobservables are not correlated across agents within a community. If the unobservables are not correlated across agents within a community, then community binaries or the means of observable consumer and firm characteristics can be used as instruments. If the unobservables are correlated then only the latter can be used. The error term in the hedonic price function is often assumed to be uncorrelated with the chosen attributes. This assumption may be reasonable if consumers have quasilinear preferences. If not, then the error term in the price function may affect the utility-maximizing amounts of the attributes. The feasible instruments again depend upon whether the error term is correlated for agents within a community. If not, then community binaries or observed individual characteristics may be used as instruments. If so, then the community binaries are correlated with the error terms and cannot serve as instruments.
Book Synopsis Semiparametric Estimation of Instrumental Variable Models for Casual Effects by : Alberto Abadie
Download or read book Semiparametric Estimation of Instrumental Variable Models for Casual Effects written by Alberto Abadie and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identification of Continuous-time Models from Sampled Data by : Hugues Garnier
Download or read book Identification of Continuous-time Models from Sampled Data written by Hugues Garnier and published by Springer Science & Business Media. This book was released on 2008-03-13 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book dedicated to direct continuous-time model identification for 15 years. It cuts down on time spent hunting through journals by providing an overview of much recent research in an increasingly busy field. The CONTSID toolbox discussed in the final chapter gives an overview of developments and practical examples in which MATLAB® can be used for direct time-domain identification of continuous-time systems. This is a valuable reference for a broad audience.
Book Synopsis Forecasting, Structural Time Series Models and the Kalman Filter by : Andrew C. Harvey
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990-02-22 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.
Book Synopsis The Bias of the RSR Estimator and the Accuracy of Some Alternatives by : William N. Goetzmann
Download or read book The Bias of the RSR Estimator and the Accuracy of Some Alternatives written by William N. Goetzmann and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of asset returns affects the magnitude of bias in the average return estimate for that period, while reducing the bias for the surrounding periods. It is not easy to use an approximation method to correct the bias problem. We suggest a maximum-likelihood alternative to the RSR that directly estimates index returns that are analogous to the RSR estimators but are arithmetic averages of individual returns. Simulations show that these estimators are robust to time-varying cross-sectional variance and may be more accurate than RSR and some alternative methods of RSR.
Download or read book Research in Progress written by and published by . This book was released on 1982 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Modelling with Time Series by : Vance Martin
Download or read book Econometric Modelling with Time Series written by Vance Martin and published by Cambridge University Press. This book was released on 2013 with total page 925 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.
