Conceptual Econometrics Using R
Handbook of Statistics Series, Vol. 41

Director of collection: Rao C.R.

Language: Anglais
Cover of the book Conceptual Econometrics Using R

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420 p. · 15.2x22.9 cm · Hardback

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.



  • Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
  • Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art

Part I: Statistical Inference

    1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
    2. Jean-Marie Dufour and Julien Neves

    3. New exogeneity tests and causal paths
    4. Hrishikesh D. Vinod

    5. Adjusting for bias in long horizon regressions using R
    6. Kenneth D. West and Zifeng Zhao

    7. Hypothesis testing, specification testing, and model selection based on the MCMC output using R
    8. Yong Li, Jun Yu and Tao Zeng

      Part II: Multivariate Models

    9. Dynamic panel GMM using R
    10. Peter C.B. Phillips and Chirok Han

    11. Vector autoregressive moving average models
    12. Wolfgang Scherrer and Manfred Deistler

    13. Multivariate GARCH models for large-scale applications: A survey
    14. Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot

      Part III: Miscellaneous Topics

    15. Modeling fractional responses using R
    16. Joaquim Jose Santos Ramalho

    17. Quantitative game theory applied to economic problems

Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella

The scope of the handbook covers great many topics of practical interest to quantitative scientists, especially in Economics and Finance. The audience is not only students, teachers and researchers in various industries and sciences, but also profit and non-profit business decision makers and government policy makers.

Professor C. R. Rao, born in India, is one of this century's foremost statisticians, and received his education in statistics at the Indian Statistical Institute (ISI), Calcutta. He is Emeritus Holder of the Eberly Family Chair in Statistics at Penn State and Director of the Center for Multivariate Analysis. He has long been recognized as one of the world's top statisticians, and has been awarded 34 honorary doctorates from universities in 19 countries spanning 6 continents. His research has influenced not only statistics, but also the physical, social and natural sciences and engineering.

In 2011 he was recipient of the Royal Statistical Society's Guy Medal in Gold which is awarded triennially to those "who are judged to have merited a signal mark of distinction by reason of their innovative contributions to the theory or application of statistics". It can be awarded both to fellows (members) of the Society and to non-fellows. Since its inception 120 years ago the Gold Medal has been awarded to 34 distinguished statisticians. The first medal was awarded to Charles Booth in 1892. Only two statisticians, H. Cramer (Norwegian) and J. Neyman (Polish), outside Great Britain were awarded the Gold medal and C. R. Rao is the first non-European and non-American to receive the award.

Other awards he has received are the Gold Medal of Calcutta University, Wilks Medal of the American Statistical Association, Wilks Army Medal, Guy Medal in Silver of the Royal Statistical Society (UK), Megnadh Saha Medal and Srinivasa Ramanujan Medal of the Indian National Science Academy, J.C.Bose Gold Medal of Bose Institute and Mahalanobis Centenary Gold Medal of the Indian Science Congress, the Bhatnagar award of the Council of Scientific and Industrial Research, India and the Government of India honored him with the second highest civilian award, Padma Vibhushan, for “outstanding contributions to Science and Engineering / Statistics”, and also instituted a cash award in honor o