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This book is a collection of articles that present the most recent
cutting edge results on specification and estimation of economic
models written by a number of the world's foremost leaders in the
fields of theoretical and methodological econometrics. Recent
advances in asymptotic approximation theory, including the use of
higher order asymptotics for things like estimator bias correction,
and the use of various expansion and other theoretical tools for
the development of bootstrap techniques designed for implementation
when carrying out inference are at the forefront of theoretical
development in the field of econometrics. One important feature of
these advances in the theory of econometrics is that they are being
seamlessly and almost immediately incorporated into the "empirical
toolbox" that applied practitioners use when actually constructing
models using data, for the purposes of both prediction and policy
analysis and the more theoretically targeted chapters in the book
will discuss these developments. Turning now to empirical
methodology, chapters on prediction methodology will focus on
macroeconomic and financial applications, such as the construction
of diffusion index models for forecasting with very large numbers
of variables, and the construction of data samples that result in
optimal predictive accuracy tests when comparing alternative
prediction models. Chapters carefully outline how applied
practitioners can correctly implement the latest theoretical
refinements in model specification in order to "build" the best
models using large-scale and traditional datasets, making the book
of interest to a broad readership of economists from theoretical
econometricians to applied economic practitioners.
This book is a collection of articles that present the most recent
cutting edge results on specification and estimation of economic
models written by a number of the world's foremost leaders in the
fields of theoretical and methodological econometrics. Recent
advances in asymptotic approximation theory, including the use of
higher order asymptotics for things like estimator bias correction,
and the use of various expansion and other theoretical tools for
the development of bootstrap techniques designed for implementation
when carrying out inference are at the forefront of theoretical
development in the field of econometrics. One important feature of
these advances in the theory of econometrics is that they are being
seamlessly and almost immediately incorporated into the "empirical
toolbox" that applied practitioners use when actually constructing
models using data, for the purposes of both prediction and policy
analysis and the more theoretically targeted chapters in the book
will discuss these developments. Turning now to empirical
methodology, chapters on prediction methodology will focus on
macroeconomic and financial applications, such as the construction
of diffusion index models for forecasting with very large numbers
of variables, and the construction of data samples that result in
optimal predictive accuracy tests when comparing alternative
prediction models. Chapters carefully outline how applied
practitioners can correctly implement the latest theoretical
refinements in model specification in order to "build" the best
models using large-scale and traditional datasets, making the book
of interest to a broad readership of economists from theoretical
econometricians to applied economic practitioners.
This book, and its companion volume in the Econometric Society
Monographs series (ESM number 32), present a collection of papers
by Clive W. J. Granger. His contributions to economics and
econometrics, many of them seminal, span more than four decades and
touch on all aspects of time series analysis. The papers assembled
in this volume explore topics in causality, integration and
cointegration, and long memory. Those in the companion volume
investigate themes in causality, integration and cointegration, and
long memory. The two volumes contain the original articles as well
as an introduction written by the editors.
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Essays in Econometrics - Collected Papers of Clive W. J. Granger (Paperback, Volume 1, Spectral Analysis, Seasonality, Nonlinearity, Methodology, and Forecasting)
Clive W. J. Granger; Edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson
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R1,464
R1,160
Discovery Miles 11 600
Save R304 (21%)
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Ships in 12 - 17 working days
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This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
This book, and its companion volume in the Econometric Society
Monographs series (ESM number 33), present a collection of papers
by Clive W. J. Granger. His contributions to economics and
econometrics, many of them seminal, span more than four decades and
touch on all aspects of time series analysis. The papers assembled
in this volume explore topics in spectral analysis, seasonality,
nonlinearity, methodology, and forecasting. Those in the companion
volume investigate themes in causality, integration and
cointegration, and long memory. The two volumes contain the
original articles as well as an introduction written by the
editors.
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