Statistics and Econometric Models

Volume 1, General Concepts, Estimation, Prediction and Algorithms
Erscheinungsjahr 2004
ISBN: 978-0-521-40551-5
Verlag: Cambridge University Press

Buch, Englisch, 522 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 993 g

Reihe: Themes in Modern Econometrics

This is the first volume in a major two-volume set of advanced texts in econometrics. It is essentially a text in statistics which is adapted to deal with economic phenomena. Christian Gourieroux and Alain Monfort have written a text which synthesises a great deal of material scattered across a variety of books and journals. They present both the basic and the more sophisticated statistical models which are crucial to an understanding of econometric models, and have taken care to employ mathematical tools with which a majority of students with a basic course in econometrics will be familiar. One of the most attractive features of the books is the liberal use throughout of real-world economic examples. They are also distinctive for their emphasis on promoting an intuitive understanding of the models and results at the expense of overly technical discussions.

Autoren/Hrsg.

Gourieroux, Christian

Monfort, Alain

Weitere Mitwirkende

Vuong, Quang

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

Preface
1. Models
2. Statistical problems and decision theory
3. Statistical information: classical approach
4. Bayesian interpretations of sufficiency, ancillarity and identification
5. Elements of estimation theory
6. Unbiased estimation
7. Maximum likelihood estimation
8. M-estimation
9. Methods of moments and their generalizations
10. Estimation under equality constraints
11. Prediction
12. Bayesian estimation
13. Numerical procedures.