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Books > Business & Economics > Economics > Econometrics > General
This book explores how econometric modelling can be used to provide valuable insight into international housing markets. Initially describing the role of econometrics modelling in real estate market research and how it has developed in recent years, the book goes on to compare and contrast the impact of various macroeconomic factors on developed and developing housing markets. Explaining the similarities and differences in the impact of financial crises on housing markets around the world, the author's econometric analysis of housing markets across the world provides a broad and nuanced perspective on the impact of both international financial markets and local macro economy on housing markets. With discussion of countries such as China, Germany, UK, US and South Africa, the lessons learned will be of interest to scholars of Real Estate economics around the world.
Achille Nicolas Isnard (1749-1803) an engineer with a keen interest in political economy, is best known for demonstrating the concept of market equilibrium using a system of simultaneous equations. The breadth and depth of his work undoubtedly established him as one of the forerunners of modern mathematical economics, yet his seminal contributions to the study of economics remained largely unrecognized until the latter half of the twentieth century. This pioneering new book, the first in English, examines Isnard's life and illuminates his major contributions to political economy. It contains substantial extracts from a number of his publications presented both in English translation and in the original French so Isnard can now finally achieve his place at the heart of discussion on the origins of mathematical economics. The diverse issues covered here will ensure that this book appeals not only to economists with an interest in the history of mathematical economics, but to anyone interested in the emergence of political economy and in wider social thought during the Enlightenment.
Examining the crucial topic of race relations, this book
explores the economic and social environments that play a
significant role in determining economic outcomes and why racial
disparities persist. With contributions from a range of international contributors
including Edward Wolff and Catherine Weinberger, the book compares
how various racial groups fare and are affected in different ways
by economic and social institution. Themes covered in the book
include:
This is an invaluable resource for researchers and academics
across a number of disciplines including political economy, ethnic
and multicultural studies, Asian studies, and sociology.
Model Building is the most fruitful area of economics, designed to solve real-world problems using all available methods such as mathematical, computational and analytical, without distinction. Wherever necessary, we should not be reluctant to develop new techniques, whether mathematical or computational. That is the philosophy of this volume.The volume is divided into three distinct parts: Methods, Theory and Applications. The Methods section is in turn subdivided into Mathematical Programming and Econometrics and Adaptive Control System, which are widely used in econometric analysis. The impacts of fiscal policy in a regime with independent monetary authority and dynamic models of environmental taxation are considered.In the section on "Modelling Business Organization", a model of a Japanese organization is presented. Furthermore, a model suitable for an efficient budget management of a health service unit by applying goal programming method is analyzed, taking into account various socio-economic factors. This is followed by a section on "Modelling National Economies", in which macroeconometric models for the EU member countries are analyzed, to find instruments that stabilize inflation with coordinated action.
Space is a crucial variable in any economic activity. Spatial Economics is the branch of economics that explicitly aims to incorporate the space dimension in the analysis of economic phenomena. From its beginning in the last century, Spatial Economics has contributed to the understanding of the economy by developing plenty of theoretical models as well as econometric techniques having the "space" as a core dimension of the analysis.This edited volume addresses the complex issue of Spatial Economics from an applied point of view. This volume is part of a more complex project including another edited volume (Spatial Economics Volume I: Theory) collecting original papers which address Spatial Economics from a theoretical perspective.
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
This book reports the results of five empirical studies undertaken in the early seventies by a collaboration headed by Professor Morishima. It deals with applications of the general equilibrium models whose theoretical aspects have been one of Professor Morishima's main interests. Four main econometric models are constructed for the USA, the UK, and Japan. These are used as a basis for the discussion of various topics in economic theory, such as: the existence and stability or instability of the neoclassical path of full employment growth equilibrium and a von Neumann-type path of balanced growth at constant proces; the antimony between price-stability and full employment; the Samuelson-LeChatelier principle; the theory of the balanced-budget multiplier; the three Hicksian laws of the gross substitutes system; the Brown-Jones super-multipliers of international trade, and so on. In addition, this 1972 work makes a quantitative evaluation for the US economy of monetary and fiscal policies as short-run measures for achieving full employment; the effectiveness of built-in flexibility of taxes in the UK economy is discussed; and estimates are made of the rapid decrease in disguised unemployment in post-war Japan.
The development of economics changed dramatically during the twentieth century with the emergence of econometrics, macroeconomics and a more scientific approach in general. One of the key individuals in the transformation of economics was Ragnar Frisch, professor at the University of Oslo and the first Nobel Laureate in economics in 1969. He was a co-founder of the Econometric Society in 1930 (after having coined the word econometrics in 1926) and edited the journal Econometrics for twenty-two years. The discovery of the manuscripts of a series of eight lectures given by Frisch at the Henri Poincar Institute in March April 1933 on The Problems and Methods of Econometrics will enable economists to more fully understand his overall vision of econometrics. This book is a rare exhibition of Frisch 's overview on econometrics and is published here in English for the first time. Edited and with an introduction by Olav Bjerkholt and Ariane Dupont-Kieffer, Frisch 's eight lectures provide an accessible and astute discussion of econometric issues from philosophical foundations to practical procedures. Concerning the development of economics in the twentieth century and the broader visions about economic science in general and econometrics in particular held by Ragnar Frisch, this book will appeal to anyone with an interest in the history of economics and econometrics.
Space is a crucial variable in any economic activity. Spatial Economics is the branch of economics that explicitly aims to incorporate the space dimension in the analysis of economic phenomena. From its beginning in the last century, Spatial Economics has contributed to the understanding of the economy by developing plenty of theoretical models as well as econometric techniques having the "space" as a core dimension of the analysis. This edited volume addresses the complex issue of Spatial Economics from a theoretical point of view. This volume is part of a more complex project including another edited volume (Spatial Economics Volume II: Applications) collecting original papers which address Spatial Economics from an applied perspective.
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.
This monograph examines the domain of classical political economy using the methodologies developed in recent years both by the new discipline of econo-physics and by computing science. This approach is used to re-examine the classical subdivisions of political economy: production, exchange, distribution and finance. The book begins by examining the most basic feature of economic life production and asks what it is about physical laws that allows production to take place. How is it that human labour is able to modify the world? It looks at the role that information has played in the process of mass production and the extent to which human labour still remains a key resource. The Ricardian labour theory of value is re-examined in the light of econophysics, presenting agent based models in which the Ricardian theory of value appears as an emergent property. The authors present models giving rise to the class distribution of income, and the long term evolution of profit rates in market economies. Money is analysed using tools drawn both from computer science and the recent Chartalist school of financial theory. Covering a combination of techniques drawn from three areas, classical political economy, theoretical computer science and econophysics, to produce models that deepen our understanding of economic reality, this new title will be of interest to higher level doctoral and research students, as well as scientists working in the field of econophysics.
In Telos and Technos, Norman L. Roth breaks out of the strait-jacket of contemporary economic 'paradigms' with a clearly presented systematic remedy for our current economic theory that does not work in the real world of economic truths and consequences. For the first time, the static assumptions that have leeched so much of the credibility out of the dominant "neoclassical" models are put in their place. Truly dynamic concepts of technological time, change in consumer tastes and their measurable impact on the natural environment that must sustain us, are integrated into an interactive system of economic thought. This economic analysis and solution asks: "What are the causes of work?" How do they explain the official statistics of employment, unemployment, and labor participation? The assumption that full employment equilibrium is the natural state towards which an economy gravitates is jettisoned in favor of a far more realistic explanation of how a society really creates jobs. Serious limitations are revealed about our conceit that modern complex economics can be forced into "gyroscopic" stability by simply pressing the right buttons marked "interest rates" and "money-supply." Roth offers a vital and hopeful message to those who fear that modern economics has lost its way as a practical guide to modern society.
This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory.
Tourism demand is the foundation on which all tourism-related business decisions ultimately rest. Governments and companies such as airlines, tour operators, hotels, cruise ship lines, and recreation facility providers are interested in the demand for their products by tourists. The success of many businesses depends largely or totally on the state of tourism demand, and ultimate management failure is quite often due to the failure to meet market demand. This book introduces students, researchers and practitioners to the modern developments in advanced econometric methodology within the context of tourism demand analysis, and illustrates these developments with actual tourism applications. The concepts and computations of modern advanced econometric modelling methodologies are introduced at a level that is accessible to specialists and non-specialists alike. The methodologies introduced include general-to-specific modelling, cointegration, vector autoregression, time varying parameter modelling, panel data analysis and the almost ideal demand system (AIDS). In order to help the reader understand the various methodologies, extensive tourism demand examples are provided throughout the volume.
Today, most money is credit money, created by commercial banks. While credit can finance innovation, excessive credit can lead to boom/bust cycles, such as the recent financial crisis. This highlights how the organization of our monetary system is crucial to stability. One way to achieve this is by separating the unit of account from the medium of exchange and in pre-modern Europe, such a separation existed. This new volume examines this idea of monetary separation and this history of monetary arrangements in the North and Baltic Seas region, from the Hanseatic League onwards. This book provides a theoretical analysis of four historical cases in the Baltic and North Seas region, with a view to examining evolution of monetary arrangements from a new monetary economics perspective. Since the objective exhange value of money (its purchasing power), reflects subjective individual valuations of commodities, the author assesses these historical cases by means of exchange rates. Using theories from new monetary economics , the book explores how the units of account and their media of exchange evolved as social conventions, and offers new insight into the separation between the two. Through this exploration, it puts forward that money is a social institution, a clearing device for the settlement of accounts, and so the value of money, or a separate unit of account, ultimately results from the size of its network of users. The History of Money and Monetary Arrangements offers a highly original new insight into monetary arrangments as an evolutionary process. It will be of great interest to an international audience of scholars and students, including those with an interest in economic history, evolutionary economics and new monetary economics.
A Guide to Modern Econometrics, Fifth Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated, taking into account recent developments and insights. It includes new material on casual inference, the use and limitation of p-values, instrumental variables estimation and its implementation, regression discontinuity design, standardized coefficients, and the presentation of estimation results.
This is the second of a 1994 two-volume set of articles reflecting the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics. All the contributions were commissioned to be presented at the plenary sessions of the Sixth World Congress of the Econometric Society in Barcelona.
As conceived by the founders of the Econometric Society,
econometrics is a field that uses economic theory and statistical
methods to address empirical problems in economics. It is a tool
for empirical discovery and policy analysis. The chapters in this
volume embody this vision and either implement it directly or
provide the tools for doing so. This vision is not shared by those
who view econometrics as a branch of statistics rather than as a
distinct field of knowledge that designs methods of inference from
data based on models of human choice behavior and social
interactions. All of the essays in this volume and its companion
volume 6B offer guidance to the practitioner on how to apply the
methods they discuss to interpret economic data. The authors of the
chapters are all leading scholars in the fields they survey and
extend.
A fascinating and comprehensive history, this book explores the most important transformation in twentieth century economics: the creation of econometrics. Containing fresh archival material that has not been published before and taking Ragnar Frisch as the narrator, Francisco Louca discusses both the keys events - the establishment of the Econometric Society, the Cowles Commission and the journal Econometrica - and the major players - economists like Wesley Mitchell, mathematicians like John von Neumann and statisticians like Karl Pearson - in history that shaped the development of econometrics. He discusses the evolution of their thought, detailing the debates, the quarrels and the interrogations that crystallized their work and even offers a conclusion of sorts, suggesting that some of the more influential thinkers abandoned econometrics or became critical of its development. International in scope and appeal, The Years of High Econometrics is an excellent accompaniment for students taking courses on probability, econometric methods and the history of economic thought.
This new text book by Urs Birchler and Monika Butler is an
introduction to the study of how information affects economic
relations. The authors provide a narrative treatment of the more
formal concepts of Information Economics, using easy to understand
and lively illustrations from film and literature and nutshell
examples. This book also comes with a supporting website (www.alicebob.info), maintained by the authors.
Examining the crucial topic of race relations, this book explores the economic and social environments that play a significant role in determining economic outcomes and why racial disparities persist. With contributions from a range of international contributors including Edward Wolff and Catherine Weinberger, the book compares how various racial groups fare and are affected in different ways by economic and social institution. Themes covered in the book include:
This is an invaluable resource for researchers and academics across a number of disciplines including political economy, ethnic and multicultural studies, Asian studies, and sociology.
Putting Econometrics in its Place is an original and fascinating book, in which Peter Swann argues that econometrics has dominated applied economics for far too long and displaced other essential techniques. While Peter Swann is critical of the monopoly that econometrics currently holds in applied economics, the more important and positive contribution of the book is to propose a new direction and a new attitude to applied economics.The advance of econometrics from its early days has been a massive achievement, but it has also been problematic; practical results from the use of econometrics are often disappointing. The author argues that to get applied economics back on course economists must use a much wider variety of research techniques, and must once again learn to respect vernacular knowledge of the economy. This vernacular includes the knowledge gathered by ordinary people from their everyday interactions with markets. While vernacular knowledge is often unsystematic and informal, it offers insights that can never be found from formal analysis alone. As a serious, original and sometimes contentious book, its readership will be varied and international. Scholars throughout the many fields of economics - both skilled and unskilled in econometrics - are likely to be intrigued by the serious alternative approaches outlined within the book. It will also appeal to communities of economists outside economics departments in government, industry and business as well as business and management schools. Research centres for applied economics, policy research and innovation research, will also find it of interest due to its focus on getting reliable results rather than methodological orthodoxy for its own sake.
The book first discusses in depth various aspects of the well-known
inconsistency that arises when explanatory variables in a linear
regression model are measured with error. Despite this
inconsistency, the region where the true regression coeffecients
lies can sometimes be characterized in a useful way, especially
when bounds are known on the measurement error variance but also
when such information is absent. Wage discrimination with imperfect
productivity measurement is discussed as an important special case.
"Applied Econometrics for Health Economists" introduces readers to the appropriate econometric techniques for use with different forms of survey data, known collectively as microeconometrics. The book provides a complete illustration of the steps involved in doing microeconometric research. The only study to deal with practical analysis of qualitative and categorical variables, it also emphasises applied work, illustrating the use of relevant computer software applied to large-scale survey datasets. This is a comprehensive reference guide - it contains a glossary of terms, a technical appendix, software appendix, references, and suggestions for further reading. It is concise and easy to read - technical details are avoided in the main text and key terms are highlighted. It is essential reading for health economists as well as undergraduate and postgraduate students of health economics. "Given the extensive use of individual-level survey data in health economics, it is important to understand the econometric techniques available to applied researchers. Moreover, it is just as important to be aware of their limitations and pitfalls. The purpose of this book is to introduce readers to the appropriate econometric techniques for use with different forms of survey data - known collectively as microeconometrics." - Andrew Jones, in the Preface.
This is the first of a two-volume set of articles reflecting the current state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development, and labour economics. All the contributions were commissioned to be presented at the plenary sessions of the Sixth World Congress of the Econometric Society in Barcelona. |
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