Book Description
The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. Therefore, the text provides all the proofs, or at least motivations if proofs are too complicated, of the mathematical and statistical results necessary for understanding modern econometric theory. In this respect, it differs from other econometrics textbooks.
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This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, central limit theorems and related results for independent random variables as well as for stationary time series, with applications to asymptotic inference of M-estimators, and maximum likelihood theory. Some chapters have their own appendices containing the more advanced topics and/or difficult proofs. Moreover, there are three appendices with material that is supposed to be known. Appendix I contains a comprehensive review of linear algebra, including all the proofs. Appendix II reviews a variety of mathematical topics and concepts that are used throughout the main text, and Appendix III reviews complex analysis. Therefore, this book is uniquely self-contained.
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Spatial Econometrics: Statistical Foundations and Applications to Regional Convergence (Advances in Spatial Science)
Giuseppe Arbia
Manufacturer: Springer
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Spatial Data Analysis: Theory and Practice
ASIN: 354032304X |
Book Description
The new economic geography and the debate on regional economic convergence have drawn increasingly the interest of economists in the empirical analysis of regional and spatial data. However, even if the methodology for the econometric treatment of spatial data is well developed, there does not exist a book without strong pre-requisites that is easily accessible to economists. This book bridges the gap between economic theory and spatial econometric techniques. It is easy accessible to people with only basic statistical background and no prior knowledge of spatial econometric methods. It provides a comprehensive treatment of the topic by motivating the reader with examples and real data analysis. The volume provides a rigorous treatment, founded on stochastic fields theory, of the basic spatial linear model, and discusses the violations of the classical regression assumptions that occur when dealing with spatial data.
Book Description
This book provides an introduction to econometrics through a thorough grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. By basing its approach on the underlying theory, it is able to cover fully the econometric theory required up to the intermediate level; its emphasis on mastering the concepts makes it an ideal introduction to the advanced texts and the econometric literature.
Customer Reviews:
Depends on what you do with it.......2003-02-18
I bought this book upon recommendation of my professor, expecting to be able to review what was being dealt with in the lecture. This book is clearly very inappropriate for that. If you happen to already know the concepts involved in the book, you might at times feel good, having recognised something. But you'll rather not learn anything new, at least not by reading it on your own without some guidance. Thus, don't be misguided by the back of the book: it is not intuitive!
On the other hand, Spanos is fighting some philosophical (sic, he states it himself) war about the best way to tackle methodological issues in econometrics. I was admittedly unable to grasp what he was unsatisfied about, but for those interested in these kinds of questions this volume might have something to offer.
A Different Perspective in Econometrics.......1999-07-13
Spanos describes a different way of doing econometrics refocusing on the statistical properties of the data we are trying to investigate. Clearly stating and testing the statistical assumptions of any econometric model is central in his approach. A really good book.
very thorough, but at times sloppy with notation.......1999-03-28
Spanos does a good job integrating mathematical theory with the nuts-and-bolts stuff you'd expect from a standard econometrics text. Some have said that Spanos uses too much mathematical notation, but I found just the opposite: many of the passages suffer from ambiguities and outright errors; a more formal treatment would have improved the text considerably.
Book Description
Complex behavior can occur in any system made up of large numbers of interacting constituents, be they atoms in a solid, cells in a living organism, or consumers in a national economy. Analysis of this behavior often involves making important assumptions and approximations, the exact nature of which vary from subject to subject. Foundations of Complex-system Theories begins with a description of the general features of complexity and then examines a range of important concepts, such as theories of composite systems, collective phenomena, emergent properties, and stochastic processes. Each topic is discussed with reference to the fields of statistical physics, evolutionary biology, and economics, thereby highlighting recurrent themes in the study of complex systems. This detailed yet nontechnical book will appeal to anyone who wants to know more about complex systems and their behavior. It will also be of great interest to specialists studying complexity in the physical, biological, and social sciences.
Customer Reviews:
4.5 Stars-The whole is not the sum of the parts;Excellent and scholarly.......2006-02-14
This is a very interesting book.The author demonstrates that she has command over a number of different fields.She exhibits a wide ranging scholarship in this book.In a nutshell,one can categorize the major conclusions she arrives at as the whole is not the sum of the parts alone.Neither a strictly micro or macro approach to the different fields she investigates,using a complex systems framework, yields the idealized types of scientific discovery and knowledge one finds postulated in some philosophy of science discourses that emphasize deductive closure laws.I have one slight criticism of the book,which is why I have subtracted one half a star.The author has a deep general understanding of the Keynes-Knight distinction between risk and uncertainty in economics(and in social sciences).However,she lacks an understanding of the specifics of Keynes's approach in the A Treatise on Probability(1921;TP).She is unaware of Keynes's interval estimate approach to probability,his index,w,used to measure the completeness of the evidence ,ranging from ignorance through partial knowledge to a complete information set,and Keynes's conventional coefficient of weight and risk,which treats risk, based on the purely deductive laws of probability, as a special case.This would be a very minor criticism if she had integrated the work of D.Ellsberg(Ellsberg's 2001 book,Risk,Ambiguity,and Decision gives a modern,improved and updated version of the TP) and B.Mandelbrot into her discussions involving economics,risk,and uncertainty(Ellsberg's Ambiguity with his rho and alpha indexes and the wild versus mild risk of the cauchy distribution versus normal distribution as discussed by Mandelbrot).Unfortunately,Ellsberg's contributions are not discussed at all while Mandelbrot receives a single footnote that completely ignores his contributions to economics.She can certainly obtain a 5-star rating by bringing out a revised edition in which the original,technical, pioneering work of Keynes is covered followed by the modern and updated contributions of Ellsberg and Mandelbrot.
a fascinating book -- recommended to philosophers.......2002-10-26
Philosophers of science need to read this book: the hands-on
account of how three sciences work is a healthy
corrective to the usual practice of writing philosophy of science
without actually knowing how the science is done.
A Professional work.......2000-03-30
This is an amazing work. Sunny Auyang has written an easily comprehenedible book on applications of complexity theories to economics, biology and physics. It is a professional writing to professionals in different fields.One needs college level maths and some physics to fully grasp it but she has made minimum use of mathematical symbols. Her writing flows, the examples are clear, some illuminate important issues in the applied fields, some are just homey bits that convey an idea insightfully. A lot of depth in her philosophical explorations of the complexity ideas. I consider this to be a must for any person studying or instructing in system thinking.
Book Description
Economics doesn't have to be a mystery anymore. FOUNDATIONS OF MATHEMATICAL AND COMPUTATION ECONOMICS shows you how mathematics impacts economics and econometrics using easy-to-understand language and plenty of examples. Plus, it goes in-depth into computation and computational economics so you'll know how to handle those situations in your first economics job. Get ready for both the test and the workforce with this economics textbook.
Customer Reviews:
Good introduction.......2007-08-20
There is little doubt that econometrics is becoming more intensely mathematical with each passing year, making considerable demands on the intellectual capabilities of economists and also exploiting the computational powers of the latest computing machinery. Therefore, individuals who have ambitions to become involved in econometrics must begin mathematical preparation early in their education. This book fills the need for such individuals, and is written for the advanced undergraduate student in economics. It covers elementary calculus, including multivariable calculus, linear algebra, dynamic optimization, elementary numerical analysis, and a brief introduction to the theory of dynamical systems. More esoteric topics such as game theory, fixed-point analysis, and partial differential equations are not discussed in the book.
Some of the more interesting or useful features of the book include:
· The use of Matlab as a tool for calculating quantities of interest, such as the diagonalization of matrices and the numerical solution of differential equations, and its ability to access data on Excel spreadsheets. SAS has been the niche language for many in economics and econometrics, but this has been changing in recent years due to the availability of relatively inexpensive but professional symbolic programming packages like Mathematica, Matlab, and Maple. The reader who is charged with doing econometric analysis on very large data sets, with possibly millions of rows will of course not be able to implement them in Excel due to its row limitation size, vitiating the use of Matlab for such analysis.
· The inclusion of various economic concepts and models in the text, particularly in the exercises, in order to continually reinforce the idea that the book is written for economists.
· The discussion early on in the book on the philosophy of mathematics, to dissuade the skeptical reader as to the value of learning the mathematics for use in econometrics. Interestingly, the author points to the use of mathematics by none other than Karl Marx. It would be interesting to contemplate what Marx would have thought about the current state of econometrics, as heavily mathematical as it is. Along these same lines, the field of labor economics, which Marx could indeed be classified under, is currently one that makes heavy use of quantitative analysis.
· The discussion on the calibration of quantitative models in econometrics. The author points to the origin of calibration in physics, but emphasizes its necessity in the validation of models. However, and somewhat disappointingly, he does not elaborate on calibration in the book, which is unfortunate since in practice, particularly in the financial industry, calibration is extremely important and has become almost a field unto itself.
Book Description
Investors, shareholders, and corporate leaders looking for an edge in today's New Economy are moving beyond traditional accounting yardsticks toward new means of gauging performance and profitability. An increasing number of Wall Street analysts and corporate boards are adopting value-based metrics such as EVA, MVA, and CFROI as a measure of a firm's profitability because these standards adjust for all of the firm's cost of capital - equity as well as debt. James Grant tackled the issue of economic value added in its infancy with Foundations of Economic Value Added - one of the first primers on the topic, endorsed by its creator, G. Bennett Stewart. Now, in Value Based Metrics: Foundations and Practice, he and Frank Fabozzi head a team of some of the leading proponents of value based metrics on both the investment management side and the corporate side. This comprehensive reference outlines how corporations and analysts can use value based metrics to more accurately measure the financial performance of individual companies, industries, and economies, as well as how to get an edge in today's turbulent market.
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Foundations for a Disequilibrium Theory of the Business Cycle: Qualitative Analysis and Quantitative Assessment
Carl Chiarella ,
Peter Flaschel , and
Reiner Franke
Manufacturer: Cambridge University Press
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Binding: Hardcover
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ASIN: 0521850258 |
Book Description
In a non-market-clearing approach to business cycle theory, this book builds an advanced model of economic activity, inflation and income distribution in a Keynesian spirit. After a qualitative analysis of the basic feedback mechanisms, the authors calibrate the model to the stylized facts of the business cycle in the U.S. economy. This calibrated model is used to carry out various macroeconomic simulation studies as well as a detailed study of the macroeconomic impact of various monetary policy rules. It will appeal both to theorists and to applied and policy economists.
Book Description
Achille N. Isnard's seminal contributions to the study of economics remained largely unrecognized until the latter half of the twentieth century. He is best known for demonstrating the concept of market equilibrium using simultaneous equation. However, the breadth and depth of Isnard's work undoubtedly established him as one of the forerunners of modern mathematical economics.
This pioneering new book examines Isnard's life and illuminates his major contributions to political economy. At the Origins of Mathematical Economics contains substantial extracts from a number of Isnard's publications presented both in English translation and in the original French.
The diverse issues covered in Isnard's work will ensure that this book will appeal not only to economists with an interest in the history of mathematical economics, but to anyone interested in the emergence of political economy and in wider social thought during the Enlightenment.
Book Description
Econometric Foundations establishes a new paradigm for teaching econometric problems to talented upper-level undergraduates, graduate students, and professionals. The complete package (text, accompanying CD-ROM, and electronic guide) provides relevance, clarity, and organization to those wishing to acquaint themselves with the principles and procedures for information processing and recovery from samples of economic data. In the real world such data are usually limited or incomplete, and the parameters sought are unobserved and not subject to direct observation or measurement. Econometric Foundations fully provides an operational understanding of a rich set of estimation and inference tools to master such data, including traditional likelihood based and non-traditional non-likelihood based procedures, that can be used in conjunction with the computer to address economic problems. The accompanying CD-ROM contains reviews of probability theory, principles of classical estimation and inference, and handling of ill-posed inverse problems in text-searchable electronic documents, an interactive Matrix Review manual with GAUSS LIGHT software, and an electronic Examples Manual. A separate Guide, which may be accessed through the Internet, further enhances the student's mastery of the topics by providing solutions guides to the questions and problems in the text. This text, CD-ROM, and electronic guide package make Econometric Foundations the most up-to-date and comprehensive learning resource available.
Customer Reviews:
Econometric foundations.......2005-08-29
The book arrived on time, but it is a bit damaged on the back.
Software compatibility issue.......2003-10-13
If you read 'readme.txt' carefully, you'll find instructions on how to run examples under full GAUSS version. I use GAUSS 5.0 to run the examples, and no problems at all. To me, it's a good place to learn GAUSS programming.
Good software bundle.......2002-08-04
The book itself and the software programs themselves are "independently" valuable. Especially, GAUSS instruction programs are well organized, but the system itself is a little bit old(GAUSS 3.2 Light for WIN 95/NT) and Aptech version-up offer has already expired you might take into your account. There are huge amount of descriptions about GAUSS program not in book but in CD software, from Ruud Koning's GAUSS instruction to searchable GAUSS maling list archive(1995-1999) and very useful matrix review manual. But you may have to consider that the content of book itself does not describe any GAUSS but adds computer problem sets as bonus and that whole GAUSS computer problem requires original "ef" library inside CD and does not support higher edition of GAUSS(You should run inside GAUSS 3.2). The book is for advanced readers only(after reading Greene) and is not a classical econometric book which covers time series. So, this is best for those who are in in the field of Bayesian, nonparametric, or a little bit skewed to theory of that kind, but not good for those who are in the field of "classical" econometrics, time series and financial related. No time series stuff described at all.
Books:
- Introduction to the Mathematics of Financial Derivatives
- Introductory Econometrics: A Modern Approach (with Economic Applications Online, Econometrics Data Sets with Solutions Manual Web Site Printed Access Card)
- Law, Legislation and Liberty, Volume 2: The Mirage of Social Justice
- Letter to a Christian Nation
- Linear Programming, Second Edition - Foundations and Extensions (International Series in Operations Research and Management Science, Volume 37) (International ... in Operations Research & Management Science)
- Making a New Deal: Industrial Workers in Chicago, 1919-1939
- Nonlinear Regression (Wiley Series in Probability and Statistics)
- Numerical Methods in Economics
- Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
- One-Handed in a Two-Handed World (Second Edition)
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