Econometric Model Specification reviews and extends the author's papers on consistent model specification testing and semi-nonparametric modeling and inference. This book consists of two parts. The first part discusses consistent tests of functional form of regression and conditional distribution models, including a consistent test of the martingale difference hypothesis for time series regression errors. In the second part, semi-nonparametric modeling and inference for duration and auction models are considered, as well as a general theory of the consistency and asymptotic normality of semi-nonparametric sieve maximum likelihood estimators. Moreover, this volume also contains addendums and appendices that provide detailed proofs and extensions of all the results. It is uniquely self-contained and is a useful source for students and researchers interested in model specification issues.

The objective of this book is the discussion and the practical illustration of techniques used in applied macroeconometrics. There are currently three competing approaches: the LSE (London School of Economics) approach, the VAR approach, and the intertemporal optimization/Real Business Cycle approach. This book discusses and illustrates the empirical research strategy of these three alternative approaches, pairing them with extensive discussions and replications of the relevant empirical work. Common benchmarks are used to evaluate the alternative approaches.

Explores the Origin of the Recent Banking Crisis and how to Preclude Future Crises Shedding new light on the recent worldwide banking debacle, The Banking Crisis Handbook presents possible remedies as to what should have been done prior, during, and after the crisis. With contributions from well-known academics and professionals, the book contains exclusive, new research that will undoubtedly assist bank executives, risk management departments, and other financial professionals to attain a clear picture of the banking crisis and prevent future banking collapses. The first part of the book explains how the crisis originated. It discusses the role of subprime mortgages, shadow banks, ineffective risk management, poor financial regulations, and hedge funds in causing the collapse of financial systems. The second section examines how the crisis affected the global market as well as individual countries and regions, such as Asia and Greece. In the final part, the book explores short- and long-term solutions, including government intervention, financial regulations, efficient bank default risk approaches, and methods to evaluate credit risk. It also looks at when government intervention in financial markets can be ethically justified.

Economic history is the most quantitative branch of history, reflecting the interests and profiting from the techniques and concepts of economics. This essay, first published in 1977, provides an extensive contribution to quantitative historiography by delivering a critical guide to the sources of the numerical data of the period 1700 to 1850. This title will be of interest to students of history, finance and economics.

How could Finance benefit from AI? How can AI techniques provide an edge? Moving well beyond simply speeding up computation, this book tackles AI for Finance from a range of perspectives including business, technology, research, and students. Covering aspects like algorithms, big data, and machine learning, this book answers these and many other questions.

Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.

There are many problems regarding poverty, inequality and growth in developing countries in Asia and Africa. Policy makers at the national level and at international institutions such as the United Nations, World Bank, International Monetary Fund and others have implemented various policies in order to decrease poverty and inequality. This book provides empirical observations on Asian countries and Africa. Each chapter provides theoretical and empirical analysis on regional case studies with an emphasis on policy implications. The book will be of use to many who wish to assess and improve policies in developing countries and mitigate poverty and inequality, and stimulate growth, by drawing on relevant empirical research and economic theories. Clearly, there have been numerous policy failures and the book aims to provide a basis for improving policies and outcomes based on relevant empirical observations.

'Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory.'Quantitative Finance This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails - two particularly valuable tools of today's research in economics, finance, econometrics and other fields - in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions - all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

This book presents the methodology and applications of Data Envelopment Analysis (DEA) in measuring productivity, efficiency and effectiveness in Financial Services firms such as banks, bank branches, stock markets, pension funds, mutual funds, insurance firms, credit unions, risk tolerance, and corporate failure prediction. Financial service DEA research includes banking; insurance businesses; hedge, pension and mutual funds; and credit unions. Significant business transactions among financial service organizations such as bank mergers and acquisitions and valuation of IPOs have also been the focus of DEA research. The book looks at the range of DEA uses for financial services by presenting prior studies, examining the current capabilities reflected in the most recent research, and projecting future new uses of DEA in finance related applications.

This short book introduces the main ideas of statistical inference in a way that is both user friendly and mathematically sound. Particular emphasis is placed on the common foundation of many models used in practice. In addition, the book focuses on the formulation of appropriate statistical models to study problems in business, economics, and the social sciences, as well as on how to interpret the results from statistical analyses. The book will be useful to students who are interested in rigorous applications of statistics to problems in business, economics and the social sciences, as well as students who have studied statistics in the past, but need a more solid grounding in statistical techniques to further their careers. Jacco Thijssen is professor of finance at the University of York, UK. He holds a PhD in mathematical economics from Tilburg University, Netherlands. His main research interests are in applications of optimal stopping theory, stochastic calculus, and game theory to problems in economics and finance. Professor Thijssen has earned several awards for his statistics teaching.

The purpose of this book is to introduce novice researchers to the tools of meta-analysis and meta-regression analysis and to summarize the state of the art for existing practitioners. Meta-regression analysis addresses the rising "Tower of Babel" that current economics and business research has become. Meta-analysis is the statistical analysis of previously published, or reported, research findings on a given hypothesis, empirical effect, phenomenon, or policy intervention. It is a systematic review of all the relevant scientific knowledge on a specific subject and is an essential part of the evidence-based practice movement in medicine, education and the social sciences. However, research in economics and business is often fundamentally different from what is found in the sciences and thereby requires different methods for its synthesis-meta-regression analysis. This book develops, summarizes, and applies these meta-analytic methods.

Introduction to Statistics with SPSS offers an introduction to statistics that can be used before, during or after a course on statistics. Covering a wide range of terms and techniques, including simple and multiple regressions, this book guides the student to enter data from a simple research project into a computer, provide an adequate analysis of the data and present a report on the findings.

This book brings together cutting edge contributions in the fields of international economics, micro theory, welfare economics and econometrics, with contributions from Donald R. Davis, Avinash K. Dixit, Tadashi Inoue, Ronald W. Jones, Dale W. Jorgenson, K. Rao Kadiyala, Murray C. Kemp, Kenneth M. Kletzer, Anne O. Krueger, Mukul Majumdar, Daniel McFadden, Lionel McKenzie, James R. Melvin, James C. Moore, Takashi Negishi, Yoshihiko Otani, Raymond Riezman, Paul A. Samuelson, Joaquim Silvestre and Marie Thursby.

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Originally published in 1992 this title came out of a conference on emotion and cognition as antecedents and consequences of health and disease processes in children and adolescents. The theoretical rationale for the conference was based on the assumption that the development of emotion, cognition, health and illness are processes that influence each other through the life span and that these reciprocal interactions begin in infancy. The chapters discuss developmental theories, research and implications for interventions as they relate to promoting health, preventing disease, and treating illness in children and adolescents.

This volume focuses on econometric models that confront estimation and inference issues occurring when sample data exhibit spatial or spatiotemporal dependence. This can arise when decisions or transactions of economic agents are related to the behaviour of nearby agents. Dependence of one observation on neighbouring observations violates the typical assumption of independence made in regression analysis. Contributions to this volume by leading experts in the field of spatial econometrics provide details regarding estimation and inference based on a variety of econometric methods including, maximum likelihood, Bayesian and hierarchical Bayes, instrumental variables, generalized method of moments, maximum entropy, non-parametric and spatiotemporal. An overview of spatial econometric models and methods is provided that places contributions to this volume in the context of existing literature. New methods for estimation and inference are introduced in this volume and Monte Carlo comparisons of existing methods are described. In addition to topics involving estimation and inference, approaches to model comparison and selection are set forth along with new tests for spatial dependence and functional form. These methods are applied to a variety of economic problems including: hedonic real estate pricing, agricultural harvests and disaster payments, voting behaviour, identification of edge cities, and regional labour markets. The volume is supported by a web site containing data sets and software to implement many of the methods described by contributors to this volume.

This book is designed to introduce graduate students and researchers to the primary methods useful for approximating integrals. The emphasis is on those methods that have been found to be of practical use, and although the focus is on approximating higher-dimensional integrals the lower-dimensional case is also covered. This book covers all the most useful approximation techniques so far discovered; the first time that all such techniques have been included in a single book and at a level accessible for students. In particular, it includes a complete development of the material needed to construct the highly popular Markov Chain Monte Carlo (MCMC) methods.

Any discussion of the various facets of petroleum policy in the United States rests to a greater or less extent on the issue of sensitivity of petroleum exploration, and hence of new petroleum discoveries to economic incentives. Indeed, a principle argument in favour of having a special petroleum policy at all is that domestic petroleum exploration is so sensitive to economic considerations that in the absence of special incentives exploration expenditures would sharply decrease, as would the amount of petroleum discovered; consequently, the nation's known oil resources would be reduced to an extent dangerous in the event of an international crisis. This study attempts to answer the question: how sensitive are new petroleum discoveries to economic incentives? This book will be of interest to students of environmental studies.

Over the course of his professional life, John Maynard Keynes altered his views from free trade in the classical tradition to restricted trade. At the end of his career, his position on the issue was still not categorically resolved even though the evidence seems to suggest that he moved closer to a system of managed trade. In that model, nations would not leave their foreign trade interests open to the vagaries of the free market, but rather exercise some degree of control over them just as they would their domestic economies. Nevertheless, there is no general agreement among economists as to whether Keynes ended his career in the camp of the free traders or aligned himself with the protectionists. John Maynard Keynes: Free Trader or Protectionist? seeks an answer to this question by analyzing Keynes' own views on this issue, as stated in his major publications, letters, speeches, testimony before government bodies, newspaper articles, participation in conferences, and other sources. Through this detailed review of what Keynes himself had to say on the issue as opposed to what others have alleged, this book strives to make a significant contribution to the resolution of this issue.

Valuable software, realistic examples, clear writing, and fascinating topics help you master key spreadsheet and business analytics skills with SPREADSHEET MODELING AND DECISION ANALYSIS, 8E. You'll find everything you need to become proficient in today's most widely used business analytics techniques using Microsoft (R) Office Excel (R) 2016. Author Cliff Ragsdale -- respected innovator in business analytics -- guides you through the skills you need, using the latest Excel (R) for Windows. You gain the confidence to apply what you learn to real business situations with step-by-step instructions and annotated screen images that make examples easy to follow. The World of Management Science sections further demonstrates how each topic applies to a real company. Each new edition includes extended trial licenses for Analytic Solver Platform and XLMiner with powerful simulation and optimization tools for descriptive and prescriptive analytics and a full suite of tools for data mining in Excel.

This book provides a comprehensive overview of the fruitful achievement of China's Quantitative Economics during the past 30 years, assembling pioneering contributions of prominent quantitative economists in China. It chronicles significant events and the detailed evolution of Quantitative Economics in China. This well-organized book is a must-have for scholars to get a full picture of the status quo, and identify possible research gaps.

This book offers a fresh perspective on the early history of macroeconomics, by examining the macro-dynamic models developed from the late 1920s to the late 1940s, and their treatment of economic instability. It first explores the differences and similarities between the early mathematical business cycle models developed by Ragnar Frisch, Michal Kalecki, Jan Tinbergen and others, which were presented at meetings of the Econometric Society and discussed in private correspondence. By doing so, it demonstrates the diversity of models representing economic phenomena and especially economic crises and instability. Jan Tinbergen emerged as one of the most original and pivotal economists of this period, before becoming a leader of the macro-econometric movement, a role for which he is better known. His emphasis on economic policy was later mirrored in the United States in Paul Samuelson's early work on business cycles analysis, which, drawing on Alvin Hansen, aimed at interpreting the 1937-1938 recession. The authors then show that the subsequent shift in Samuelson's approach, from the study of business cycle trajectories to the comparison of equilibrium points, provided a response to the econometricians' critique of early Keynesian models. In the early 1940s, Samuelson was able to link together the tools that had been developed by the econometricians and the economic content that was at the heart of the so-called Keynesian revolution. The problem then shifted from business cycle trajectories to the disequilibrium between economic aggregates, and the issues raised by the global stability of full employment equilibrium. This was addressed by Oskar Lange, who presented an analysis of market coordination failures, and Lawrence Klein, Samuelson's first PhD student, who pursued empirical work in this direction. The book highlights the various visions and approaches that were embedded in these macro-dynamic models, and that their originality is of interest to today's model builders as well as to students and anyone interested in how new economic ideas come to be developed.

This book, which was first published in 1980, is concerned with one particular branch of growth theory, namely descriptive growth theory. It is typically assumed in growth theory that both the factors and goods market are perfectly competitive. In particular this implies amongst other things that the reward to each factor is identical in each sector of the economy. In this book the assumption of identical factor rewards is relaxed and the implications of an intersectoral wage differential for economic growth are analysed. There is also some discussion on the short-term and long-run effects of minimum wage legislation on growth. This book will serve as key reading for students of economics.

The past ten years for the Middle East and North Africa (MENA) region countries have registered an extreme deterioration in at least one measure of social and economic welfare: earnings inequality, unemployment, and poverty. The combination of slow economic growth, population explosion, and decline in labor productivity led to the reversal of the economic gains achieved during the economic boom in the 1970s. In contrast to that period, growth per capita (GDP) in 1980-1991 for Arab countries was -0.2%. Several indicators point to the extent of the problems faced today by the region's countries. Although the percentage of poverty declined for the majority of the regions in the world in 1985-1990, it has increased in the MENA region.

The purpose of this volume is to address the conditions of earnings inequality, unemployment, and poverty in the MENA region and the problems associated with these factors; to determine the state and magnitude of these problems through various country studies; and to provide solutions to alleviate the negative conditions facing developing economies, with special emphasis on the MENA countries.