Econometric Methods With Applications In Business And Economics
(Sprache: Englisch)
This rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. It covers basic econometric methods and addresses the creative process of model building. Using real-world examples and exercises, it...
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Produktinformationen zu „Econometric Methods With Applications In Business And Economics “
This rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. It covers basic econometric methods and addresses the creative process of model building. Using real-world examples and exercises, it focuses on regression and covers choice data and time series data. Perfect for advanced undergraduate students, new graduate students, and applied researchers.
Klappentext zu „Econometric Methods With Applications In Business And Economics “
Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics.Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations).
· Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management.
· Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics.
· Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions.
· Derivations and theory exercises are clearly marked for students in advanced courses.
This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields
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that draw on modern applied econometrics.
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Inhaltsverzeichnis zu „Econometric Methods With Applications In Business And Economics “
- Introduction
- 1 Review of Statistics
- 1.1: Descriptive statistics
- 1.2: Random variables
- 1.3: Parameter estimation
- 1.4: Tests of hypotheses
- Summary, further reading, and keywords
- Exercises
- 2 Simple Regression
- 2.1: Least squares
- 2.2: Accuracy of least squares
- 2.3: Significance tests
- 2.4: Prediction
- Summary, further reading, and keywords
- Exercises
- 3 Multiple Regression
- 3.1: Least squares in matrix form
- 3.2: Adding or deleting variables
- 3.3: The accuracy of estimates
- 3.4: The F-test
- Summary, further reading, and keywords
- Exercises
- 4 Non-Linear Methods
- 4.1: Asymptotic analysis
- 4.2: Non-linear regression
- 4.3: Maximum likelihood
- 4.4: Generalized method of moments
- Summary, further reading, and keywords
- Exercises
- 5 Diagnostic Tests and Model Adjustments
- 5.1: Introduction
- 5.2: Functional form and explanatory variables
- 5.3: Varying parameters
- 5.4: Heteroskedasticity
- 5.5: Serial correlation
- 5.6: Disturbance distribution
- 5.7: Endogenous regressors and instrumental variables
- 5.8: Illustration: Salaries of top managers
- Summary, further reading, and keywords
- Exercises
- 6 Qualitative and Limited Dependent Variables
- 6.1: Binary response
- 6.2: Multinomial data
- 6.3: Limited dependent variables
- Summary, further reading, and keywords
- Exercises
- 7 Time Series and Dynamic Models
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7.1: Models for stationary time series
7.2: Model estimation and selection
7.3: Trends and seasonals
7.4: Non-linearities and time-varying volatility
7.5: Regression models with lags
7.6: Vector autoregressive models
7.7: Other multiple equation models
Summary, further reading, and keywords
Exercises
Appendix A: Matrix Methods
A.1: Summations
A.2: Vectors and matrices
A.3: Matrix addition and multiplication
A.4: Transpose, trace, and inverse
A.5: Determinant, rank, and eigenvalues
A.6: Positive (semi)definite matrices and projections
A.7: Optimization of a function of several vari
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Autoren-Porträt von Christiaan Heij, Paul de Boer, Philip Hans Franses
Christiaan Heij is Associate Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics.Paul de Boer is Assistant Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics.
Philip Hans Franses is Professor of Applied Econometrics and Professor of Marketing Research, both at the Erasmus University Rotterdam. He has published in leading international journals on applied econometrics, time series analysis, empirical finance, and marketing research. He is the (co-)author of various books published by Oxford University Press and Cambridge University Press.
Teun Kloek is Professor Emeritus of Econometrics at Erasmus University Rotterdam. He has published in leading international journals on econometric theory, applied econometrics and quantitative economics.
Herman K. van Dijk is Professor of Econometrics and director of the Econometric Institute of the Erasmus University in Rotterdam. His fields of research are Bayesian Inference and Decision Analysis in Econometrics, Computational Economics, Stochastic Trends and Cycles in Time Series Econometrics and Income Distributions.
Bibliographische Angaben
- Autoren: Christiaan Heij , Paul de Boer , Philip Hans Franses
- 2004, 816 Seiten, Maße: 18,9 x 25,2 cm, Gebunden, Englisch
- Verlag: Oxford University Press
- ISBN-10: 0199268010
- ISBN-13: 9780199268016
Sprache:
Englisch
Rezension zu „Econometric Methods With Applications In Business And Economics “
'... students will find the contents of this book to be a very helpful guide ... Because of its wide coverage and careful presentation the book should be useful for a diverse group of students in many countries and interested in a variety of areas of applications.' C. W. J. Granger, Nobel Laureate 'Most econometric texts can be described as either primarily theoretical or primarily applied. This is the first text I've seen that does a really nice job of bridging the gap between the two in a single unified whole... I can strongly recommend this book to anyone desiring a firm understanding of both where econometric methods come from and how they are used in practice.' James D. Hamilton, University of California, San Diego '... superbly presented, the coverage is thorough, the technical rigour is sensibly balanced, and the empirical examples demonstrate the techniques effectively. The exercises are stimulating, the answers are insightful, and the exposition in the background material is excellent. It will appeal very strongly to researchers, instructors and students' Michael McAleer, University of Western Australia '... a thorough introduction to the basic principles of econometrics ... The strong link between theory and applications provides great motivation for studying econometrics.' Helmut Lutkepohl, European University Institute, Florence '... meticulously crafted to give an almost seamless transition between learning and doing econometrics ... There is something here for all students of econometrics.' Michael P. Clements, Warwick University
Pressezitat
'. . . students will find the contents of this book to be a very helpful guide . . . Because of its wide coverage and careful presentation the book should be useful for a diverse group of students in many countries and interested in a variety of areas of applications.' C. W. J. Granger, Nobel Laureate
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