書誌事項

Conceptual econometrics using R

edited by Hrishikesh D. Vinod, C.R. Rao

(Handbook of statistics, v. 41)

North Holland, c2019

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

Conceptual Econometrics Using R, Volume 41 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 and financial market jumps and co-jumps, among others.

目次

Part I: Statistical Inference 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R Jean-Marie Dufour and Julien Neves 2. New exogeneity tests and causal paths Hrishikesh D. Vinod 3. Adjusting for bias in long horizon regressions using R Kenneth D. West and Zifeng Zhao 4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R Yong Li, Jun Yu and Tao Zeng Part II: Multivariate Models 5. Dynamic panel GMM using R Peter C.B. Phillips and Chirok Han 6. Vector autoregressive moving average models Wolfgang Scherrer and Manfred Deistler 7. Multivariate GARCH models for large-scale applications: A survey Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot Part III: Miscellaneous Topics 8. Modeling fractional responses using R Joaquim Jose Santos Ramalho 9. Quantitative game theory applied to economic problems Sebastian Cano-Berlanga, Jose-Manuel Gimenez-Gomez and Cori Vilella

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    Handbook of statistics

    North-Holland , Sole distributors for the U.S.A. and Canada, Elsevier Science Pub. Co. 1980-

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