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9780470748909

Handbook of Computational Econometrics

by ;
  • ISBN13:

    9780470748909

  • ISBN10:

    0470748907

  • Format: eBook
  • Copyright: 2009-08-01
  • Publisher: Wiley
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Summary

Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations.This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation.This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.

Table of Contents

List of Contributors
Preface
Econometric software
Introduction
The nature of econometric software
The existing characteristics of econometric software
Conclusion
Acknowledgments
References
The accuracy of econometric software
Introduction
Inaccurate econometric results
Entry-level tests
Intermediate-level tests
Conclusions
Acknowledgments
References
Heuristic optimization methods in econometrics
Traditional numerical versus heuristic optimization methods
Heuristic optimization
Stochastics of the solution
General guidelines for the use of optimization heuristics
Selected applications
Conclusions
Acknowledgments
References
Algorithms for minimax and expected value optimization
Introduction
An interior point algorithm
Global optimization of polynomial minimax problems
Expected value optimization
Evaluation framework for minimax robust policies and expected value optimization
Acknowledgments
References
Nonparametric estimation
Introduction
Density estimation
Nonparametric regression
Nonparametric inferential techniques
References
Bootstrap hypothesis testing
Introduction
Bootstrap and Monte Carlo tests
Finite-sample properties of bootstrap tests
Double bootstrap and fast double bootstrap tests
Bootstrap data generating processes
Multiple test statistics
Finite-sample properties of bootstrap supF tests
Conclusion
Acknowledgments
References
Simulation-based Bayesian econometric inference: principles and some recent computational advances
Introduction
A primer on Bayesian inference
Simulation methods
Concluding remarks
Acknowledgments
References
Econometric analysis with vector autoregressive models
Introduction
VAR processes
Estimation of VAR models
Model specification
Model checking
Forecasting
Causality analysis
Structural VARs and impulse response analysis
Conclusions and extensions
Acknowledgments
References
Statistical signal extraction and filtering: a partial survey
Introduction: the semantics of filtering
Linear and circular convolutions
Local polynomial regression
The concepts of the frequency domain
The classical Wiener Kolmogorov theory
Matrix formulations
Wiener Kolmogorov filtering of short stationary sequences
Filtering nonstationary sequences
Filtering in the frequency domain
Structural time-series models
The Kalman filter and the smoothing algorithm
References
Concepts of and tools for nonlinear time-series modelling
Introduction
Nonlinear data generating processes and linear models
Testing linearity
Probabilistic tools
Identification, estimation and model adequacy checking
Forecasting with nonlinear models
Algorithmic aspects
Conclusion
Acknowledgments
References
Network economics
Introduction
Variational inequalities
Transportation networks: user optimization versus system optimization
Spatial price equilibria
General economic equilibrium
Oligopolistic market equilibria
Variational inequalities and projected dynamical systems
Dynamic transportation networks
Supernetworks: applications to telecommuting decision making and teleshopping decision making
Supply chain networks and other applications
Acknowledgments
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

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