Computer-Aided Econometrics: 1st Edition (Hardback) book cover

Computer-Aided Econometrics

1st Edition

Edited by David E. A. Giles

CRC Press

520 pages

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Hardback: 9780824742713
pub: 2003-06-18
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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

Introduction

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

Index

Subject Categories

BISAC Subject Codes/Headings:
BUS069000
BUSINESS & ECONOMICS / Economics / General
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General