Conceptual Econometrics Using R

The scope of the handbook covers many topics of practical interest to quantitative scientists, especially in economics and finance

C.R. Rao (Series edited by), Hrishikesh D. Vinod (Volume editor)

9780444643117

Hardback, published 22 August 2019

330 pages
22.9 x 15.1 x 2.4 cm, 0.65 kg

Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.

Part I: Statistical Inference 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R Jean-Marie Dufour and Julien Neves 2. New exogeneity tests and causal paths Hrishikesh D. Vinod 3. Adjusting for bias in long horizon regressions using R Kenneth D. West and Zifeng Zhao 4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R Yong Li, Jun Yu and Tao Zeng

Subject Areas: Stochastics [PBWL]