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This little book contains a first course in econometric theory. It is based on lectures to second-year undergraduates who have learned some calculus, matrix algebra, and statistics (but no econometrics) in their first year. Two things are essential in such a course. First, a thorough knowledge of the standard linear regression model. And second, a thorough understanding of the principles of maximum likelihood. The book is also suitable as an introduction to econometrics for Masters and PhD students. Jan R. Magnus (1948) studied econometrics and philosophy at the University of Amsterdam. He worked at the universities of Amsterdam, Leiden, and British Columbia, before moving to the London School of Economics in 1981. In 1996 he was appointed Research Professor in Econometrics at Tilburg University. In 2013, he moved to the VU University Amsterdam as Extraordinary Professor in Econometrics. Magnus is (co)author of eight books, and more than one hundred scientific papers.
Économétrie --- Analyse de régression. --- Modèles économétriques
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Game theory --- Econometric models --- Programming (Mathematics) --- Théorie des jeux --- Programmation (mathématiques) --- Modèles économétriques
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Provides an introduction to MATLAB: a computer language that gives researchers very flexible control over how they move between economic theory and empirical methods. Written for researchers who use survey data to understand economic behaviour.
Econometrics. --- Economics --- Numerical analysis --- MATLAB (logiciel) --- Microéconomie --- Économétrie --- Analyse numérique --- Mathematical models. --- Computer programs. --- Modèles économétriques --- MATLAB. --- Econometrics --- Mathematical models --- Computer programs --- Logiciels --- MATLAB --- Modèles économétriques. --- Logiciels. --- Microéconomie --- Économétrie --- Analyse numérique --- Modèles économétriques.
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An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets-characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
Finances --- Finance --- Modèles mathématiques --- Modèles économétriques --- Mathematical models --- Econometric models --- Money market. Capital market --- Modèles économétriques. --- Modèles mathématiques. --- Finance - Mathematical models --- Finance - Econometric models --- Modèles mathématiques. --- Modèles économétriques.
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Équilibre (économie politique) --- Modèles économétriques --- Développement économique --- Problèmes et exercices --- Problèmes et exercices --- Modèles mathématiques --- Équilibre (économie politique) --- Modèles économétriques --- Développement économique --- Problèmes et exercices --- Problèmes et exercices --- Modèles mathématiques --- Problèmes et exercices
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Econometric models --- Econometrics --- Probabilities --- Modèles économétriques --- Econométrie --- Probabilités --- Modèles économétriques --- Econométrie --- Probabilités
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This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
330.115 --- Econometrie --- 330.115 Econometrie --- Econometric models --- Econometrics --- Mathematical models --- Econometric models. --- Modèles économétriques --- Business, Economy and Management --- Economics
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Economics --- Econometric models --- Economic policy --- Modèles économétriques --- Politique économique --- Economie politique --- Econometric models. --- Economic policy. --- Economics. --- Modèles économétriques --- Politique économique
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