Computer-Aided Econometrics

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ISBN: 9780824742713 | 0824742710
Cover: Hardcover
Copyright: 6/18/2003

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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#xC3;#xA2;#xE2;#x1A;#xAC;#xE2;#xAC;focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.

Preface

iii

Contributors

Introduction

xiii

Some Methodological Questions Arising from Large Data Sets

(10)

Clive W.J. Granger

Applications of Simulation Methods

Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions

(26)

Jean-Marie Dufour

Lynda Khalaf

Finding Optimal Penalties for Model Selection in the Linear Regression Model

(32)

Maxwell L. King

Gopal K. Bose

On Bootstrap Coverage Probability with Dependent Data

(22)

Janis J. Zvingelis

A Comparison of Alternative Causality and Predictive Accuracy Tests in the Presence of Integrated and Cointegrated Economic Variables

(58)

Norman R. Swanson

Ataman Ozyildirim

Maria Pisu

Finite Sample Performance of the Empirical Likelihood Estimator Under Endogeneity

149

(26)

Ron C. Mittelhammer

George G. Judge

Testing for Unit Roots in Semiannual Data

175

(34)

Sandra G. Feltham

David E. A. Giles

Bayesian and Related Inference

Using Simulation Methods for Bayesian Econometric Models

209

(54)

John Geweke

William McCausland

John Stevens

Bayesian Inference in the Seemingly Unrelated Regressions Model

263

(28)

William E. Griffiths

Computationally Intensive Methods for Deriving Optimal Trimming Parameters

291

(24)

Marco van Akkeren

Econometric Modeling

Estimating and Testing Fundamental Stock Prices: Evidence from Simulated Economies

315

(36)

R. Glen Donaldson

Mark J. Kamstra

Neural Networks: An Econometric Tool

351

(34)

Johan F. Kaashoek

Herman K. van Dijk

Real-Time Forecasting with Vector Autoregressions: Spurious Drift, Structural Change, and Intercept Correction

385

(22)

Ronald Bewley

Econometric Modeling Based on Pattern Recognition via the Fuzzy C-Means Clustering Algorithm

407

(44)

David E. A. Giles

Robert Draeseke

Nonparametric and Semiparametric Inference

Nonparametric Bootstrap Specification Testing in Econometric Models

451

(28)

Tae-Hwy Lee

Aman Ullah

The Effect of Economic Growth on Standard of Living: A Semiparametric Analysis

479

(20)

Nilanjana Roy

Index

499

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Computer-Aided Econometrics

Summary

Table of Contents

Supplemental Materials

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Computer-Aided Econometrics

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Supplemental Materials

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