Ｒによる計量経済学ハンドブック Conceptual Econometrics Using R (Handbook of Statistics)

Rao, C.R. (EDT)/ Vinod, Hrishikesh D. (EDT)

North-Holland（2019/08発売）

• 製本 Hardcover:ハードカバー版／ページ数 330 p.
• 言語 ENG
• 商品コード 9780444643117
• DDC分類 330.015195

Full Description

Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.

Contents

Part I: Statistical Inference
1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
Jean-Marie Dufour and Julien Neves
2. New exogeneity tests and causal paths
Hrishikesh D. Vinod
3. Adjusting for bias in long horizon regressions using R
Kenneth D. West and Zifeng Zhao
4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R
Yong Li, Jun Yu and Tao Zeng

Part II: Multivariate Models
5. Dynamic panel GMM using R
Peter C.B. Phillips and Chirok Han
6. Vector autoregressive moving average models
Wolfgang Scherrer and Manfred Deistler
7. Multivariate GARCH models for large-scale applications: A survey
Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot

Part III: Miscellaneous Topics
8. Modeling fractional responses using R
Joaquim Jose Santos Ramalho
9. Quantitative game theory applied to economic problems
Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella