Computer-Aided Econometrics  book cover
1st Edition

Computer-Aided Econometrics

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ISBN 9780824742713
Published June 18, 2003 by CRC Press
520 Pages

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Book Description

Emphasizing the impact of computer software and computational technology on econometric theory and development, this text presents recent advances in the application of computerized tools to econometric techniques and practices—focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.

Table of Contents

Some Methodological Questions Arising from Large Data Sets
Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
Finding Optimal Penalties for Model Selection in the Linear Regression Model
On Bootstrap Coverage Probability with Dependent Data
A Comparison of Alternative Causality and Predictive Accuracy Tests in the Presence of Integrated and Cointegrated Economic Variables
Finite Sample Performance of the Empirical Likelihood Estimator Under Endogeneity 
Testing for Unit Roots in Semiannual Data
Using Simulation Methods for Bayesian Econometric Models
Bayesian Inference in the Seemingly Unrelated Regressions Model
Computationally Intensive Methods for Deriving Optimal Trimming Parameters
Estimating and Testing Fundamental Stock Prices: Evidence from Simulated Economies
Neural Networks: An Econometric Tool
Real-Time Forecasting with Vector Autoregressions: Spurious Drift, Structural Change, and Intercept Correction
Econometric Modeling Based on Pattern Recognition via the Fuzzy C-Means Clustering Algorithm
Nonparametric Bootstrap Specification Testing in Econometric Models
The Effect of Economic Growth on Standard of Living: A Semiparametric Analysis 

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Giles\, David E. A.