Econometric modeling and inference

Jean-Pierre Florens, Vêlayoudom Marimoutou, Anne Péguin-Feissolle ; translated by Josef Perktold and Marine Carrasco ; foreword by James J. Heckman

Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

「Nielsen BookData」より

Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

「Nielsen BookData」より

[目次]

  • Part I. Statistical Methods: 1. Statistical models
  • 2. Sequential models and asymptotics
  • 3. Estimation by maximization and by the method of moments
  • 4. Asymptotic tests
  • 5. Nonparametric methods
  • 6. Simulation methods
  • Part II. Regression Models: 7. Conditional expectation
  • 8. Univariate regression
  • 9. Generalized least squares method, heteroskedasticity, and multivariate regression
  • 10. Nonparametric estimation of the regression
  • 11. Discrete variables and partially observed models
  • Part III. Dynamic Models: 12. Stationary dynamic models
  • 13. Nonstationary processes and cointegration
  • 14. Models for conditional variance
  • 15. Nonlinear dynamic models
  • Part IV. Structural Modeling: 16. Identification and over identification in structural modeling
  • 17. Simultaneity
  • 18. Models with unobservable variables.

「Nielsen BookData」より

[目次]

  • Part I. Statistical Methods: 1. Statistical models
  • 2. Sequential models and asymptotics
  • 3. Estimation by maximization and by the method of moments
  • 4. Asymptotic tests
  • 5. Nonparametric methods
  • 6. Simulation methods
  • Part II. Regression Models: 7. Conditional expectation
  • 8. Univariate regression
  • 9. Generalized least squares method, heteroskedasticity, and multivariate regression
  • 10. Nonparametric estimation of the regression
  • 11. Discrete variables and partially observed models
  • Part III. Dynamic Models: 12. Stationary dynamic models
  • 13. Nonstationary processes and cointegration
  • 14. Models for conditional variance
  • 15. Nonlinear dynamic models
  • Part IV. Structural Modeling: 16. Identification and over identification in structural modeling
  • 17. Simultaneity
  • 18. Models with unobservable variables.

「Nielsen BookData」より

この本の情報

書名 Econometric modeling and inference
著作者等 Carrasco, Marine
Florens, J. P.
Heckman, James J.
Marimoutou, Vêlayoudom
Perktold, Josef Franz
Péguin-Feissolle, Anne
Marimoutou Velayoudom
Peguin-Feissolle Anne
Perktold Josef
Florens Jean-Pierre
書名別名 Économétrie
シリーズ名 Themes in modern econometrics
出版元 Cambridge University Press
刊行年月 2007
ページ数 xxi, 496 p.
大きさ 24 cm
ISBN 9780521700061
9780521876407
NCID BA82644381
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言語 英語
原文言語 フランス語
出版国 イギリス
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