Essays in Econometrics

CHAPTER 1 Investigating Causal Relations by Econometric Models and Cross - Spectral Methods * C. W. J. Granger There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also ...

Author: Clive W. J. Granger

Publisher: Cambridge University Press

ISBN: 0521796490

Category: Business & Economics

Page: 398

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These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
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Evaluation of Econometric Models

Engle, R. F. Band spectrum regression. International Economic Review, 1974, 15, 1-11. Fishman, George S. Spectral methods in econometrics, Cambridge, Mass.: Harvard Univ. Press, 1969. Fuller, Wayne A. Introduction to statistical time ...

Author: Jan Kmenta

Publisher: Academic Press

ISBN: 9781483267340

Category: Business & Economics

Page: 424

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Evaluation of Econometric Models presents approaches to assessing and enhancing the progress of applied economic research. This book discusses the problems and issues in evaluating econometric models, use of exploratory methods in economic analysis, and model construction and evaluation when theoretical knowledge is scarce. The data analysis by partial least squares, prediction analysis of economic models, and aggregation and disaggregation of nonlinear equations are also elaborated. This text likewise covers the comparison of econometric models by optimal control techniques, role of time series analysis in econometric model evaluation, and hypothesis testing in spectral regression. Other topics include the relevance of laboratory experiments to testing resource allocation theory and token economy and animal models for the experimental analysis of economic behavior. This publication is intended for students and researchers interested in evaluating econometric models.
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Statistical and Econometric Methods for Transportation Data Analysis Second Edition

Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches. Cambridge University Press ... Investigating causal relations by econometric models and cross- spectral methods, Econometrica 37, 424–438.

Author: Simon P. Washington

Publisher: CRC Press

ISBN: 9781420082852

Category: Technology & Engineering

Page: 544

View: 559

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The complexity, diversity, and random nature of transportation problems necessitates a broad analytical toolbox. Describing tools commonly used in the field, Statistical and Econometric Methods for Transportation Data Analysis, Second Edition provides an understanding of a broad range of analytical tools required to solve transportation problems. It includes a wide breadth of examples and case studies covering applications in various aspects of transportation planning, engineering, safety, and economics. After a solid refresher on statistical fundamentals, the book focuses on continuous dependent variable models and count and discrete dependent variable models. Along with an entirely new section on other statistical methods, this edition offers a wealth of new material. New to the Second Edition A subsection on Tobit and censored regressions An explicit treatment of frequency domain time series analysis, including Fourier and wavelets analysis methods New chapter that presents logistic regression commonly used to model binary outcomes New chapter on ordered probability models New chapters on random-parameter models and Bayesian statistical modeling New examples and data sets Each chapter clearly presents fundamental concepts and principles and includes numerous references for those seeking additional technical details and applications. To reinforce a practical understanding of the modeling techniques, the data sets used in the text are offered on the book’s CRC Press web page. PowerPoint and Word presentations for each chapter are also available for download.
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Statistical and Econometric Methods for Transportation Data Analysis

Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424–438. Granger, C. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics ...

Author: Simon Washington

Publisher: CRC Press

ISBN: 9780429520754

Category: Technology & Engineering

Page: 496

View: 240

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The book's website (with databases and other support materials) can be accessed here. Praise for the Second Edition: The second edition introduces an especially broad set of statistical methods ... As a lecturer in both transportation and marketing research, I find this book an excellent textbook for advanced undergraduate, Master’s and Ph.D. students, covering topics from simple descriptive statistics to complex Bayesian models. ... It is one of the few books that cover an extensive set of statistical methods needed for data analysis in transportation. The book offers a wealth of examples from the transportation field. —The American Statistician Statistical and Econometric Methods for Transportation Data Analysis, Third Edition offers an expansion over the first and second editions in response to the recent methodological advancements in the fields of econometrics and statistics and to provide an increasing range of examples and corresponding data sets. It describes and illustrates some of the statistical and econometric tools commonly used in transportation data analysis. It provides a wide breadth of examples and case studies, covering applications in various aspects of transportation planning, engineering, safety, and economics. Ample analytical rigor is provided in each chapter so that fundamental concepts and principles are clear and numerous references are provided for those seeking additional technical details and applications. New to the Third Edition Updated references and improved examples throughout. New sections on random parameters linear regression and ordered probability models including the hierarchical ordered probit model. A new section on random parameters models with heterogeneity in the means and variances of parameter estimates. Multiple new sections on correlated random parameters and correlated grouped random parameters in probit, logit and hazard-based models. A new section discussing the practical aspects of random parameters model estimation. A new chapter on Latent Class Models. A new chapter on Bivariate and Multivariate Dependent Variable Models. Statistical and Econometric Methods for Transportation Data Analysis, Third Edition can serve as a textbook for advanced undergraduate, Masters, and Ph.D. students in transportation-related disciplines including engineering, economics, urban and regional planning, and sociology. The book also serves as a technical reference for researchers and practitioners wishing to examine and understand a broad range of statistical and econometric tools required to study transportation problems.
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Econometrics Alchemy Or Science

The typical spectral shape of an economic variable. Econometrica, 34, 150–161. Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.

Author: David F. Hendry

Publisher: Oxford University Press on Demand

ISBN: 9780198293545

Category: Business & Economics

Page: 542

View: 467

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"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues.The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied andsimulation studies, it demonstrates that general-to-specific procedures have excellent properties.The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automatedmodel selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.
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Wavelet Applications in Economics and Finance

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance.

Author: Marco Gallegati

Publisher: Springer

ISBN: 9783319070612

Category: Business & Economics

Page: 261

View: 603

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This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.
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Statistical Foundations of Econometric Modelling

“ Pseudo - maximum likelihood methods : theory ' , Econometrica , 52 , 681-700 . Granger , C. W.J. ( 1969 ) . ' Investigating causal relations by econometric models and cross - spectral methods ' , Econometrica , 37 , 424–38 .

Author: Aris Spanos

Publisher: Cambridge University Press

ISBN: 0521269121

Category: Business & Economics

Page: 695

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A thorough foundation in probability theory and statistical inference provides an introduction to the underlying theory of econometrics that motivates the student at a intuitive as well as a formal level.
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Mathematics Unlimited 2001 and Beyond

Also, time series topics including spectral methods in econometrics, dynamic specification, inference and causality, continuous time stochastic models and issues of aggregation over time, random and changing coefficient models, ...

Author: Björn Engquist

Publisher: Springer

ISBN: 9783642564789

Category: Mathematics

Page: 1236

View: 591

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This is a book guaranteed to delight the reader. It not only depicts the state of mathematics at the end of the century, but is also full of remarkable insights into its future de- velopment as we enter a new millennium. True to its title, the book extends beyond the spectrum of mathematics to in- clude contributions from other related sciences. You will enjoy reading the many stimulating contributions and gain insights into the astounding progress of mathematics and the perspectives for its future. One of the editors, Björn Eng- quist, is a world-renowned researcher in computational sci- ence and engineering. The second editor, Wilfried Schmid, is a distinguished mathematician at Harvard University. Likewi- se the authors are all foremost mathematicians and scien- tists, and their biographies and photographs appear at the end of the book. Unique in both form and content, this is a "must-read" for every mathematician and scientist and, in particular, for graduates still choosing their specialty. Limited collector's edition - an exclusive and timeless work. This special, numbered edition will be available until June 1, 2000. Firm orders only.
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Handbook of Econometrics

Part 5 treats various topics in time series analysis , including time series and spectral methods in econometrics , dynamic specification , inference and casuality in economic time series models , continuous time stochastic models ...

Author: Z. Griliches

Publisher: Elsevier

ISBN: 0444861858

Category: Business & Economics

Page: 804

View: 336

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The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes
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Dynamic Econometrics

Comparison of five alternative methods of estimating long run equilibrium relationships , Discussion paper 89–55 ... Investigating causal relations by econometric models and cross - spectral methods , Econometrica , 37 , 424 438 .

Author: David F. Hendry

Publisher: Oxford University Press on Demand

ISBN: 0198283164

Category: Business & Economics

Page: 869

View: 963

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Confronts the practical problems of modelling aggregate time series data, in a systematic and integrated framework. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling
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Exploratory and explanatory statistical analysis of spatial data

Fisher, W. D. (1971), Econometric estimation with spatial dependence', Regional and Urban Economics, 1, 19–40. Fishman, G. S. (1969), Spectral Methods in Econometrics, Harvard University Press, Cambridge.

Author: C.P.A. Bartels

Publisher: Springer Science & Business Media

ISBN: 9789400992337

Category: Business & Economics

Page: 268

View: 527

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In September 1977 a "Regional Science Symposium" was held at the Faculty of Economics of the University of Goningen in the Netherlands. The impetus in organizing this symposium was the recent estab lishmen t at the F acuIty of Economics of a group engaged in teaching and research within the field of regional science. The aim of the symposium was to familiarize university members with regional science and to introduce the new group to both the national and international scene. Two separate topics of potential interest to both researchers and policy-makers were selected. The first theme, spatial inequalities and regional development, was chosen because of its central place in regional science. Authors from several disciplines were asked to approach this theme from a general, policy-oriented point of view. This ensured the spotlighting of the various dimensions of spatial inequality and its implications for regional policy. The results of their efforts have been collected in a volume entitled Spatial Inequalities and Regional Development. The second theme focussed on spatial statistical analysis. This branch of statistics is a relatively new one. It is receiving growing attention from researchers in the field of applied regional science. The conference dealing with this topic concentrated on recent research results related to the use of appropriate statistical and econometric methods for analyzing spatial data. The papers con cerned have been collected in another volume, entitled Exploratory and Explanatory Statistical Analysis of Spatial Data.
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A History of Econometrics

However, when cross-spectral analysis was applied to a number of NBER business-cycle indicators, the identified cyclical components were found to confirm broadly those derived by the NBER method, although the duration of the average ...

Author: Duo Qin

Publisher: OUP Oxford

ISBN: 9780191668685

Category: Business & Economics

Page: 258

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Reformation of Econometrics is a sequel to The Formation of Econometrics: A Historical Perspective (1993, OUP) which traces the formation of econometric theory during the period 1930-1960. This book provides an account of the advances in the field of econometrics since the 1970s. Based on original research, it focuses on the reformists' movement and schools of thought and practices that attempted a paradigm shift in econometrics in the 1970s and 1980s. It describes the formation and consolidation of the Cowles Commission (CC) paradigm and traces and analyses the three major methodological attempts to resolve problems involved in model choice and specification of the CC paradigm. These attempts have reoriented the focus of econometric research from internal questions (how to optimally estimate a priori given structural parameters) to external questions (how to choose, design, and specify models). It also examines various modelling issues and problems through two case studies - modelling the Phillips curve and business cycles. The third part of the book delves into the development of three key aspects of model specification in detail - structural parameters, error terms, and model selection and design procedures. The final chapter uses citation analyses to study the impact of the CC paradigm over the span of three and half decades (1970-2005). The citation statistics show that the impact has remained extensive and relatively strong in spite of certain weakening signs. It implies that the reformative attempts have fallen short of causing a paradigm shift.
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Misspecification Tests in Econometrics

Journal of Econometrics , 8 , 227-36 . ... Princeton University , Econometric Research Program , Research Memorandum no . 229 . ... Investigating causal relations by econometric models and cross spectral methods .

Author: L. G. Godfrey

Publisher: Cambridge University Press

ISBN: 0521424593

Category: Business & Economics

Page: 252

View: 738

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This book brings together many results from the growing literature in econometrics on misspecification testing, providing theoretical analyses and convenient methods for application.
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Rational Expectations and Econometric Practice

20 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods C. W. J. Granger There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not ...

Author: Robert E. Lucas

Publisher: U of Minnesota Press

ISBN: 9780816610716

Category: Business & Economics

Page: 689

View: 113

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Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, governme.
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A Practical Introduction to Econometric Methods

“ Wald , likelihood ratio and Lagrange multiplier tests in econometrics ” , in Z. Griliches and M. Intriligator ... “ Investigating causal relations by econometric models and cross - spectral methods ” , Econometrica 37 : 424–438 .

Author: Patrick K. Watson

Publisher: University of West Indies Press

ISBN: 9766401225

Category: Business & Economics

Page: 307

View: 701

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An introduction to the theory and practice of classical and modern econometric methods. It seeks to help the reader: understand the scope and limitations of econometrics; read, write and interpret articles and reports of an applied econometric nature; and to build upon the elements introduced.
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