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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
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Author: Lung-fei Lee
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 40
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Author: William A. Barnett
Publisher: Cambridge University Press
ISBN: 9780521462754
Category : Business & Economics
Languages : en
Pages : 556
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Book Description
. The organizers of the ninth symposium, which produced the current proceedings volume, were Claude Hillinger at the University of Munich, Giancarlo Gandolfo at the University of Rome "La Sapienza," A. R. Bergstrom at the University of Essex, and P. C. B. Phillips at Yale University.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Christian Gouriéroux
Publisher: OUP Oxford
ISBN: 019152509X
Category : Business & Economics
Languages : en
Pages : 190
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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author: Hans-Martin Krolzig
Publisher: Springer Science & Business Media
ISBN: 364251684X
Category : Business & Economics
Languages : en
Pages : 369
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This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Author: Marcel G. Dagenais
Publisher: Montréal : Dép. de science économique et Centre de recherche en développement économique, Université de Montréal
ISBN:
Category : Economics
Languages : en
Pages : 16
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Author:
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 868
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Author: Lung-fei Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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