Autor: Christiaan Heij
ISBN-13: 9780199268016
Einband: Buch
Seiten: 814
Gewicht: 1674 g
Format: 252x189x47 mm
Sprache: Englisch

Econometric Methods with Applications in Business and Economics

 Buch
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This rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. It covers basic econometric methods and addresses the creative process of model building. Using real-world examples and exercises, it focuses on regression and covers choice data and time series data. Perfect for advanced undergraduate students, new graduate students, and applied researchers.
Providing an understanding and experience of econometrics, this book covers basic econometric methods and addresses the creative process of model building. Using examples and exercises, it focuses on regression and covers choice data and time series data. It is aimed at undergraduate students, new graduate students, and applied researchers.
Introduction ; 1 REVIEW OF STATISTICS ; 1.1 Descriptive statistics ; 1.2 Random variables ; 1.3 Parameter estimation ; 1.4 Tests of hypotheses ; Summary, further reading, and keywords ; Exercises ; 2 SIMPLE REGRESSION ; 2.1 Least squares ; 2.2 Accuracy of least squares ; 2.3 Significance tests ; 2.4 Prediction ; Summary, further reading, and keywords ; Exercises ; 3 MULTIPLE REGRESSION ; 3.1 Least squares in matrix form ; 3.2 Adding or deleting variables ; 3.3 The accuracy of estimates ; 3.4 The F-test ; Summary, further reading, and keywords ; Exercises ; 4 NON-LINEAR METHODS ; 4.1 Asymptotic analysis ; 4.2 Non-linear regression ; 4.3 Maximum likelihood ; 4.4 Generalized method of moments ; Summary, further reading, and keywords ; Exercises ; 5 DIAGNOSTIC TESTS AND MODEL ADJUSTMENTS ; 5.1 Introduction ; 5.2 Functional form and explanatory variables ; 5.3 Varying parameters ; 5.4 Heteroskedasticity ; 5.5 Serial correlation ; 5.6 Disturbance distribution ; 5.7 Endogenous regressors and instrumental variables ; 5.8 Illustration: Salaries of top managers ; Summary, further reading, and keywords ; Exercises ; 6 QUALITATIVE AND LIMITED DEPENDENT VARIABLES ; 6.1 Binary response ; 6.2 Multinomial data ; 6.3 Limited dependent variables ; Summary, further reading, and keywords ; Exercises ; 7 TIME SERIES AND DYNAMIC MODELS ; 7.1 Models for stationary time series ; 7.2 Model estimation and selection ; 7.3 Trends and seasonals ; 7.4 Non-linearities and time-varying volatility ; 7.5 Regression models with lags ; 7.6 Vector autoregressive models ; 7.7 Other multiple equation models ; Summary, further reading, and keywords ; Exercises ; APPENDIX A: MATRIX METHODS ; A.1 Summations ; A.2 Vectors and matrices ; A.3 Matrix addition and multiplication ; A.4 Transpose, trace, and inverse ; A.5 Determinant, rank, and eigenvalues ; A.6 Positive (semi)definite matrices and projections ; A.7 Optimization of a function of several variables ; A.8 Concentration and the Lagrange method ; Exercise ; APPENDIX B: DATA SETS ; INDEX
Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics.Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration
data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations).
· Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management.
· Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics.
· Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions.
· Derivations and theory exercises are clearly marked for students in advanced courses.
This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.
Autor: Christiaan Heij, Paul de Boer, Philip Hans Franses, Teun Kloek, Herman K. van Dijk
Christiaan Heij is Associate Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics.

Paul de Boer is Assistant Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics.

Philip Hans Franses is Professor of Applied Econometrics and Professor of Marketing Research, both at the Erasmus University Rotterdam. He has published in leading international journals on applied econometrics, time series analysis, empirical finance, and marketing research. He is the (co-)author of various books published by Oxford University Press and Cambridge University Press.


Teun Kloek is Professor Emeritus of Econometrics at Erasmus University Rotterdam. He has published in leading international journals on econometric theory, applied econometrics and quantitative economics.

Herman K. van Dijk is Professor of Econometrics and director of the Econometric Institute of the Erasmus University in Rotterdam. His fields of research are Bayesian Inference and Decision Analysis in Econometrics, Computational Economics, Stochastic Trends and Cycles in Time Series Econometrics and Income Distributions.

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Autor: Christiaan Heij
ISBN-13 :: 9780199268016
ISBN: 0199268010
Erscheinungsjahr: 01.03.2004
Verlag: Oxford University Press
Gewicht: 1674g
Seiten: 814
Sprache: Englisch
Sonstiges: Buch, 252x189x47 mm, figures, tables