Econometrics and economic statistics

Testing for a unit root is now an essential part of time series analysis.

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques.

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis.

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field.

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance.

Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.

An accessible discussion examining computationally-intensive techniques and bootstrap methods, providing ways to improve the finite-sample performance of well-known asymptotic tests for regression models.

Economic Forecasting provides a comprehensive overview of macroeconomic forecasting.

Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems.

A collection of twenty-three studies that explore the latest developments in the analysis of income and wealth distribution and mobility.

The papers in this volume analyze the deployment of Big Data to solve both existing and novel challenges in economic measurement.

A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables.

Health care costs represent a nearly 18% of U.

Start-ups and other entrepreneurial ventures make a significant contribution to the US economy, particularly in the tech sector, where they comprise some of the largest and most influential companies.

The productivity slowdown of the 1970s and 1980s and the resumption of productivity growth in the 1990s have provoked controversy among policymakers and researchers.

Zvi Griliches, a world-renowned pioneer in the field of productivity growth, has compiled in a single volume his pathbreaking research on R&D and productivity.

Robust and reliable measures of consumer expenditures are essential for analyzing aggregate economic activity and for measuring differences in household circumstances.

Since the Great Depression, researchers and statisticians have recognized the need for more extensive methods for measuring economic growth and sustainability.

As the accelerated technological advances of the past two decades continue to reshape the United States' economy, intangible assets and high-technology investments are taking larger roles.

Conventional wisdom once held that the demand for addictive substances like cigarettes, alcohol, and drugs was unlike that for any other economic good and, therefore, unresponsive to traditional market forces.

The celebrated economist Zvi Griliches's entire career can be viewed as an attempt to advance the cause of accuracy in economic measurement.

This volume contains papers presented at a conference in May 1988 in Washington, D.

The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics.

The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data.

The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena.

When Harold Fried, et al.

This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting.

This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics.

As Wall Street rose to dominate the U.

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action.

Economic Elites, Crises, and Democracy analyzes critical topics of contemporaneous capitalism.

The conduct of most of social science occurs outside the laboratory.

The conduct of most of social science occurs outside the laboratory.

Economic Elites, Crises, and Democracy analyzes critical topics of contemporaneous capitalism.

Info-metrics is the science of modeling, reasoning, and drawing inferences under conditions of noisy and insufficient information.

This book collects results from ad hoc surveys on firms pricing behavior conducted in 2003 and 2004 by nine National central banks of the Euro area in the context of a joint research project (Eurosystem Inflation Persistence Network).

The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena.

When Harold Fried, et al.

Providing a valuable resource for government economists, academics, and research libraries, this volume contains twelve papers by Robert Pollak--four previously unpublished--that explore the theory of the cost of living index.

Stochastic Limit Theory, published in 1994, has become a standard reference in its field.

Stochastic Limit Theory, published in 1994, has become a standard reference in its field.

This is an open access title available under the terms of a CC BY-NC-ND 4.

This is an open access title available under the terms of a CC BY-NC-ND 4.

The purpose of this book is to bring together, for the first time, a description and examples of the main methods used in microsimulation modelling used in the field of income distribution analysis.

The purpose of this book is to bring together, for the first time, a description and examples of the main methods used in microsimulation modelling used in the field of income distribution analysis.

This edited collection concerns nonlinear economic relations that involve time.

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.