Contains essays on consumer demand and econometrics written in honour of Professor Henri Theil. The essays report the results of current pioneering research work and cover a variety of topics including inequality tests, mixing forecasts and dynamic panel data models.

In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.

Using panel data of individual firms drawn from French surveys, a structural analysis is developed to study the formation of production plans and the rationality of expectations. The production decision of a firm is defined as the optimal solution of a dynamic stochastic optimization problem. The empirical work amounts to recovering the structural parameters characterizing the model of the firm from estimates of the derived decision rule. The preceding analysis of production plans is based on the assumption that firms are rational. To justify this assumption, direct tests offer evidence that the Rational Expectations Hypothesis may not be rejected for quantity variables.

This volume contains a refereed selection of revised papers which were originally presented at the Second International Conference on Econometric Decision Models, University of Hagen (FernUni versitat). The conference was held in Haus Nordhelle, a meeting place in the mountainous area " Sauerland," some 50 kilometers south of Hagen, on August 29 - September 1, 1989. Some details about this conference are given in the first paper, they need not be repeated here. The 40 papers included in this volume are organized in 10 "parts," shown in the table of contents. Included are such "fashionable" topics like "optimal control," "cointegration" and "rational expec tations models." In each part, the papers have been arranged alphabetically by author, unless there were good reasons for a different arrangement. To facilitate the decision making of the readers, all papers (except a few short ones) contain an abstract, a list of keywords and a table of contents. At the end of the proceedings volume, there is a list of authors. More than ten years ago, I began to organize meetings of econometricians, mainly called "seminar" or " colloquium." One major purpose of these meetings has always been to improve international cooperation of econometric model builders (and model users) from "the East" and "the West." Unprecedented changes to the better have taken place recently ("perestroika"). For a large fraction of participants from the Soviet Union, the 1989 conference was the first conference in a Western country."

This volume compares strategic properties of the leading macroeconometric models of the United States. It summarizes the work of an ongoing seminar supported by the National Science Foundation and chaired by Lawrence R. Klein of the University of Pennsylvania. The Seminar meets three times annually. Comparisons are made across models for such characteristics as conventional multipliers (fiscal, monetary, and supply side shocks), J-curve response to dollar depreciation, and forecast performance under consistent assumptions. There are in-depth comparisons of some models and investigation of use of high frequency information to improve forecasts. There are also analyses of the sources of forecast error. The core structures of models, especially their ISLM cores, are compared. The volume contains one chapter on comparison across models of different developing countries. In addition to the contributions by participating model builders who meet regularly, the book contains critical appraisals by outsiders. The contributors include many distinguished economists in model use and analysis. Many are operators of the countries best known modelling facilities. The introduction was written by Lawrence R. Klein, winner of the Nobel Prize in Economic Science in 1980, for his work in construction and use of econometric models.

This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on econometrics.

Providing an evaluation of procedures for quantifying the effects of non-tariff barriers, this book examines the theoretical bases for alternative procedures for measuring NTBs effects, and also presents a critical survey of previous studies that utilized these empirical studies.

This book deals with the following issues: the analysis, estimation and assessment of alternatived models of income distribution, the specification and evaluation of income inequality measures the analysis and measurement of poverty and its rationale, the scope and methodological power of the social accounting matrix (SAM) in the analysis of the functional and personal distribution of income and the family income multiplier, the study of the source and reliability of income distribution data, the decomposition of income inequality measures, the asymptotic distributions and inferential analysis of income inequalities, and an inquiry on the income distribution and income inequality of Eastern European Countries under socialism. New models on income and wealth distribution are specified and their corresponding properties and goodness of fit are discussed. A multivariate approach to the measurement of poverty is developed and applied, and a compact survey of the literature is presented. The book can be used as a text in advanced undergraduate and graduate courses dealing with the theory, model specifications, methods and applications of income and wealth distribution, income inequality and poverty assessment in measurement and the use of SAMs in the analysis of income distribution.

This thesis is a theoretical study of the optimal dynamic policies of a, to some extent, slowly adjusting firm that faces an exogeneously given technological progress and an exogeneously given business cycle. It belongs to the area of mathematical economics. It is intended to appeal to mathematical economists in the first place, economists in the second place and mathematicians in the third place. It entails an attempt to stretch the limits of the application of deterministic dynamic optimisation to economics, in particular to firm behaviour. A well-known. Dutch economist (and trained mathematician) recently stated in 1 a local university newspaper that mathematical economists give economics a bad reputation, since they formulate their problems from a mathematical point of view and they are only interested in technical, mathematical problems. At the same time, however, "profound as economists may be, when it comes to extending or modifying the existing theory to make it applicable to a certain economic problem, an understanding of optimal control theory (which is the mathematical theory used in this thesis, ovh) based solely on heuristic arguments will often turn out to be inadequate" (SydS"

This book provides an accessible presentation of the standard statistical techniques used by labor economists. It emphasises both the input and the output of empirical analysis and covers five major topics concerning econometric methods used in labor economics: regression and related methods, choice modelling, selectivity issues, duration analysis, and policy evaluation techniques. Each of these is presented in terms of model specification, possible estimation problems, diagnostic checking, and interpretation of the output. It aims to provide guidance to practitioners on how to use the techniques and how to make sense of the results that are produced. It covers methods that are considered to be "standard" tools in labor economics, but which are often given only a brief and highly technical treatment in econometrics textbooks.
It will be a useful reference for postgraduates and advanced undergraduates, researchers embarking on empirical labor market analysis, and for more experienced economists wishing to apply these techniques for the first time.

In this book interrelated factor demand models are surveyed. New methods are developed and are analysed empirically using Dutch and U.K. time series data. New methods are discussed for obtaining closed form solutions of linear ratinal expectations models, providing deeper insights into the identification of structural parameters of underlying theoretical models; recently developed time series techniques are applied in order to estimate structural parameters and test for model specification, stationarity and stability through time; new models are developed in which the rather stringent and questionable restrictions of symmetry generally imposed upon stochastic adjustment models of labour demand are relaxed, the models are analysed empirically using time series data of Dutch and U.K. manufacturing production and nonproduction workers.

For Masters and PhD students in EconomicsIn this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.The book also contains chapters on: exogeneity, in the context of estimation, policy analysis and forecasting; automatic (computer based) variable selection, and how it can aid in the specification of an empirical macroeconomic model; and finally, on a common framework for model-based economic forecasting.Supplementary materials and notes are available on the publisher's website.

Index numbers of price and quantity play an important role in the index-linking of government loans. The object of this study is to ascertain what formulae should be used in the construction of new index numbers to replace those known to produce biased measures of price and volume change.

Methods for Estimation and Inference in Modern Econometrics provides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also addresses several problems often arising in the analysis of economic data, including weak identification, model misspecification, and possible nonstationarity. The book's appendix provides a review of some basic concepts and results from linear algebra, probability theory, and statistics that are used throughout the book. Topics covered include: Well-established nonparametric and parametric approaches to estimation and conventional (asymptotic and bootstrap) frameworks for statistical inference Estimation of models based on moment restrictions implied by economic theory, including various method-of-moments estimators for unconditional and conditional moment restriction models, and asymptotic theory for correctly specified and misspecified models Non-conventional asymptotic tools that lead to improved finite sample inference, such as higher-order asymptotic analysis that allows for more accurate approximations via various asymptotic expansions, and asymptotic approximations based on drifting parameter sequences Offering a unified approach to studying econometric problems, Methods for Estimation and Inference in Modern Econometrics links most of the existing estimation and inference methods in a general framework to help readers synthesize all aspects of modern econometric theory. Various theoretical exercises and suggested solutions are included to facilitate understanding.

This volume gathers peer-reviewed contributions that address a wide range of recent developments in the methodology and applications of data analysis and classification tools in micro and macroeconomic problems. The papers were originally presented at the 29th Conference of the Section on Classification and Data Analysis of the Polish Statistical Association, SKAD 2020, held in Sopot, Poland, September 7-9, 2020. Providing a balance between methodological contributions and empirical papers, the book is divided into five parts focusing on methodology, finance, economics, social issues and applications dealing with COVID-19 data. It is aimed at a wide audience, including researchers at universities and research institutions, graduate and doctoral students, practitioners, data scientists and employees in public statistical institutions.

List of Illustrations - List of Figures - List of Tables - Glossary - Acknowledgements - Preface - Introduction - Background to the IT Race - The Japanese Challenge - The American Response - The European Response - The British Response - Strategies of European IT Companies in the 80s - Conclusion - Bibliography - Index

Design and Analysis of Time Series Experiments presents the elements of statistical time series analysis while also addressing recent developments in research design and causal modeling. A distinguishing feature of the book is its integration of design and analysis of time series experiments. Drawing examples from criminology, economics, education, pharmacology, public policy, program evaluation, public health, and psychology, Design and Analysis of Time Series Experiments is addressed to researchers and graduate students in a wide range of behavioral, biomedical and social sciences. Readers learn not only how-to skills but, also the underlying rationales for the design features and the analytical methods. ARIMA algebra, Box-Jenkins-Tiao models and model-building strategies, forecasting, and Box-Tiao impact models are developed in separate chapters. The presentation of the models and model-building assumes only exposure to an introductory statistics course, with more difficult mathematical material relegated to appendices. Separate chapters cover threats to statistical conclusion validity, internal validity, construct validity, and external validity with an emphasis on how these threats arise in time series experiments. Design structures for controlling the threats are presented and illustrated through examples. The chapters on statistical conclusion validity and internal validity introduce Bayesian methods, counterfactual causality and synthetic control group designs. Building on the earlier of the authors, Design and Analysis of Time Series Experiments includes more recent developments in modeling, and considers design issues in greater detail than any existing work. Additionally, the book appeals to those who want to conduct or interpret time series experiments, as well as to those interested in research designs for causal inference.

This book makes indicators more accessible, in terms of what they are, who created them and how they are used. It examines the subjectivity and human frailty behind these quintessentially 'hard' and technical measures of the world. To achieve this goal, The Rise and Rise of Indicators presents the world in terms of a selected set of indicators. The emphasis is upon the origins of the indicators and the motivation behind their creation and evolution. The ideas and assumptions behind the indicators are made transparent to demonstrate how changes to them can dramatically alter the ranking of countries that emerge. They are, after all, human constructs and thus embody human biases. The book concludes by examining the future of indicators and the author sets out some possible trajectories, including the growing emphasis on indicators as important tools in the Sustainable Development Goals that have been set for the world up until 2030. This is a valuable resource for undergraduate and postgraduate students in the areas of economics, sociology, geography, environmental studies, development studies, area studies, business studies, politics and international relations.

Let eRN be the usual vector-space of real N-uples with the usual inner product denoted by (. ,. ). In this paper P is a nonempty compact polyhedral set of mN, f is a real-valued function defined on (RN continuously differentiable and fP is the line- ly constrained minimization problem stated as : min (f(x) I x EURO P) * For computing stationary points of problemtj) we propose a method which attempts to operate within the linear-simplex method structure. This method then appears as a same type of method as the convex-simplex method of Zangwill [6]. It is however, different and has the advantage of being less technical with regards to the Zangwill method. It has also a simple geometrical interpretation which makes it more under standable and more open to other improvements. Also in the case where f is convex an implementable line-search is proposed which is not the case in the Zangwill method. Moreover, if f(x) = (c,x) this method will coincide with the simplex method (this is also true in the case of the convex simplex method) i if f(x) = I Ixl 12 it will be almost the same as the algorithm given by Bazaraa, Goode, Rardin [2].

This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.
Explains what is going on in textbooks full of proofs and formulas
Offers intuition, skepticism, insights, humor, and practical advice (dos and don'ts)
Contains new chapters that cover instrumental variables and computational considerations
Includes additional information on GMM, nonparametrics, and an introduction to wavelets

One of the most important features of China's economic emergence has been the role of foreign investment and foreign companies. The importance goes well beyond the USD 1.6 trillion in foreign direct investment that China has received since it started opening its economy. Using the tools of economic impact analysis, the author estimates that around one-third of China's GDP in recent years has been generated by the investments, operations, and supply chains of foreign invested companies. In addition, foreign companies have developed industries, created suppliers and distributors, introduced modern technologies, improved business practices, modernized management training, improved sustainability performance, and helped shape China's legal and regulatory systems. These impacts have helped China become the world's second largest economy, its leading exporter, and one of its leading destinations for inward investment. The book provides a powerful analysis of China's policies toward foreign investment that can inform policy makers around the world, while giving foreign companies tools to demonstrate their contributions to host countries and showing the tremendous power of foreign investment to help transform economies.

One of the most important features of China's economic emergence has been the role of foreign investment and foreign companies. The importance goes well beyond the USD 1.6 trillion in foreign direct investment that China has received since it started opening its economy. Using the tools of economic impact analysis, the author estimates that around one-third of China's GDP in recent years has been generated by the investments, operations, and supply chains of foreign invested companies. In addition, foreign companies have developed industries, created suppliers and distributors, introduced modern technologies, improved business practices, modernized management training, improved sustainability performance, and helped shape China's legal and regulatory systems. These impacts have helped China become the world's second largest economy, its leading exporter, and one of its leading destinations for inward investment. The book provides a powerful analysis of China's policies toward foreign investment that can inform policy makers around the world, while giving foreign companies tools to demonstrate their contributions to host countries and showing the tremendous power of foreign investment to help transform economies.