Book Description
Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.
Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.
Customer Reviews:
Excellent reference, but not an easy read!.......2005-01-12
This book is justly considered a classic. It has been around for many years, and with some reasons. It provides a very rigorous treatment of many fundamental concepts in cross-section econometrics, such as linear and non-linear models, M-estimation, maximum likelihood, limited dependend variable models. It also has one of the best and more rigorous yet accessible treatments of basic asymptotic theory (the examples and countexamples in this section are uncommonly good). Amemiya is very very rigorous, and this a book where typos and sloppiness do now dwell. Overall, it is not an easy read, though, unless you have a very strong math/stat background, or you are genius. One thing I always liked about this book, indeed, is the very honest title, ADVANCED econometrics, not "Introduction" to econometrics. This book is mostly used as part of the reading list in second-year PhD courses in cross-sectional econometrics. I don't think it would be a good choice for a first year course. But if econometrics is a serious component of your professional life you will be happy to have Amemiya around, and you will keep reaching for it, once in a while. It is a bit too techinical, difficult, and dry to be my ideal textbook, but it is outstanding nonetheless. I find the chapters on asymptotic theory and limited dependent variables particularly well written. On the minus side, it is now a relatively old book, and you will find here many obsolete technical tools, as well as the absence of many important and modern techniques. In particular, note that you will NOT find anything here about nonparametric and semiparametric techniques, panel data, time series. There are many (very short) empirical applications scattered around the book, but most of them are (necessarily, given the publication year) very very obsolete.
Overall, still a great book highly recommended for people who are into advanced econometrics. But if you want an introduction to cross-section econometrics, you may want to look at other textbooks such as Greene, Ruud, Davidson-McKinnon, Hayashi (more time-series oriented) and especially the "graduate" Wooldridge (Econometric Analysis of Cross-Section and Panel Data), which in my humble opinion is currently the very best option around.
P.S. Harvard University Press also has merit of printing Amemiya on top-quality paper and choosing a very nice format for the book. It's a pleasure to browse its pages!
Jackpot/Bingo/Royal Flush.......2004-02-12
This is THE bible for understanding most empirical econ papers out there. I wished I had found it earlier.
Top choice.......2000-01-28
Both comprehensive and well-structured this book proves indispensable for anyone delving into the realms of econometrics. Starting from classical least squares the author guides the reader to time series analysis, gls, nonlinear simultaneous equations models up to qr and tobit models. If formulas are a necessary condition for a good study book in econometrics, the clear language of this book fulfills the sufficient condition for any book in this category.
The best book I have read for this subject........1999-08-15
I strongly recommend this book as a textbook for this subject. After reading and using this book, I gained a solid knowledge of econometrics.
The best book I have read for this subject........1999-08-15
I strongly recommend this book as a textbook for this subject. After reading and using this book, I gained a solid knowledge of econometrics.
Book Description
A comprehensive guide to financial econometrics
Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed.
Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
Book Description
This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively
and proved formally, and all the inference techniques are illustrated using empirical examples in macroeconomics and finance. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important
developments in the field.
Book Description
When John Nash won the Nobel prize in economics in 1994, many people were surprised to learn that he was alive and well. Since then, Sylvia Nasar's celebrated biography A Beautiful Mind, the basis of a new major motion picture, has revealed the man. The Essential John Nash reveals his work--in his own words. This book presents, for the first time, the full range of Nash's diverse contributions not only to game theory, for which he received the Nobel, but to pure mathematics--from Riemannian geometry and partial differential equations--in which he commands even greater acclaim among academics. Included are nine of Nash's most influential papers, most of them written over the decade beginning in 1949.
From 1959 until his astonishing remission three decades later, the man behind the concepts "Nash equilibrium" and "Nash bargaining"--concepts that today pervade not only economics but nuclear strategy and contract talks in major league sports--had lived in the shadow of a condition diagnosed as paranoid schizophrenia. In the introduction to this book, Nasar recounts how Nash had, by the age of thirty, gone from being a wunderkind at Princeton and a rising mathematical star at MIT to the depths of mental illness.
In his preface, Harold Kuhn offers personal insights on his longtime friend and colleague; and in introductions to several of Nash's papers, he provides scholarly context. In an afterword, Nash describes his current work, and he discusses an error in one of his papers. A photo essay chronicles Nash's career from his student days in Princeton to the present. Also included are Nash's Nobel citation and autobiography.
The Essential John Nash makes it plain why one of Nash's colleagues termed his style of intellectual inquiry as "like lightning striking." All those inspired by Nash's dazzling ideas will welcome this unprecedented opportunity to trace these ideas back to the exceptional mind they came from.
Customer Reviews:
Undiluted math.......2007-09-13
If you have an interest in John Nash AND know mathematics, this is an interesting collection. The main body of the book consists of eight papers in mathematics and his Phd Thesis in uncut form, accompanied by a small introduction. Apart from that there is a general introduction from his friend Kuhn, a short biography from his biographer Nasar, a 7-page autobiography, the statement of the Nobel-prize committee, a collection of photos of Nash in various phases of his career, and a short explanation to the game of Hex that Nash invented when he arrived in Princeton.
Being an economist I was only interested in the thesis with the existence proof of the Nash equilibrium, and I am sure I would not have understood an alpha of any of the other papers. You really need to be a mathematician to appreciate this bundle. For those who want to know about Nash the man, I would recommend his autobiography "A beautiful mind" or the film with the same title.
An essential reading !.......2007-01-06
In case you have been captivated by "A beautiful mind", and be disposed to know more about the controversial existence of John Nash, pick up this book, that surely will catch your entire attention.
Good Collection of Nash Writings!.......2004-06-26
I only rate books that I really enjoy reading. While this one has some techy chapters, readers without a strong math background can still enjoy it.
Professor Nash's story was brought to life by the movie, this book shows why. One day his manifold theory will rule! ;)
excellent.......2003-10-12
Personally, I found this book to be very interestring. The proofs and ideas are presented in clear and non-rigomorphic fashion. One is able to read the works of Nash in the way he himself presented them, and hopefully appropriate some mental strategies used by this genius. There is much that goes on behind the scene of creation of proofs. I think mathematicians of today would greatly benefit from availability of larger number of books which would contain the mathematical works in the way they were originally presented. This is certainly a major step in that direction.
A Most Welcome Mathematical Banquet.......2003-08-06
I can't begin to express how deeply satisfying it was to peruse these papers by John Nash. You almost felt you were right there at his side, as he penned them.
There is even something in the book for non-mathematical types: Sylvia Nasar's Introduction and the autobiographical essay (Chapter Two). But for me the greatest interest resided in the remaining chapters: 4-11.
Of these, I particularly enjoyed reading the original presentation of Nash's Thesis on 'Non-Cooperative Games' (Chapter 6), and was fascinated not only with the air-tight logic of his proofs, but the use of hand written-in symbols.
Of course, Chapter 7 is just the re-hashing of Ch. 6, but in proper type-set form, rather than Nash's original script. But - give me the former any day! Reading the original form and format almost made me feel like Nash's Thesis aupervisor, including the same excitement of a new discovery!
Chapter 8 'Two person Cooperative Games' nicely extends the mathematical basis to cover this species of interaction.(And in many ways, people will find the cooperative game model easier to understand than the non-cooperative).
Chapter 9 is important because it delves into the issue of parallel control, and logical functions such as used in high speed digital computers. This chapter was of much interest to me since particular aspects of parallel control figured in my own model of consciousness - recently presented in Chapter Five of my book, 'The Atheist's Handbook to Modern Materialism'. Astute readers who read both books will quickly see the analog between the Schematic of Logical Unit Function (p. 122) and my own Figure 5-13 ('Development of Neural Assemblies', p. 156).
I enjoyed Chapter 10, 'Real Algebraic Manifolds' because of my ongoing interest in Algebraic Topology, and especially homology and homotopy theory. In his chapter, Nash presents a cornucopia of methods for representation, which I am still playing with for different manifolds.
Chapter 11, 'The Imbedding Problem for Riemannian Manifolds', is a delight for anyone familiar with Einstein's General Relativity, or even differential geometry. When you read through this chapter, you also will understand why Nash is still very interested (and involved) in research to do with general relativity and cosmology. Particularly fun for me was his section on 'Smoothing of Tensors' (p. 163) and 'Derivative Size Concept for Tensors' (p. 164).
Chapter 12, 'Continuity of Solutions of Parabolic and Elliptic Equations' is like 'dessert' for anyone who is intensely interested (as I am) in modular functions, which themselves are related intimately to elliptic equations.
In short, I think this book has something for both mathematicians and non-math types alike. Obviously, the former are likely to get more out of it, so the question the latter group must ask is whether the purchase is worth satiating their curiosity about Nash.
I know how I would answer, even if I couldn't tell a derivative from a differential. However, this book can be read on all kinds of levels, and that's the beauty of it.
Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Book Description
This is one of the first books to provide a textbook exposition of the literature on how to measure accurately the 'effects' of a 'treatment,' such as a drug, educational program, or tax regime, on a response variable like an illness, GPA, or income. The book focuses on non-experimental,
micro-economic estimation.
Book Description
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Average customer rating:
- Great clear textbook
- Chiang's book is best.
- A must book for every serious economics student
|
Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management (Advanced Textbooks in Economics)
Morton I. Kamien , and
Nancy L. Schwartz
Manufacturer: Elsevier Science
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Optimal Control Theory and Static Optimization in Economics
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Recursive Methods in Economic Dynamics
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Recursive Macroeconomic Theory, 2nd Edition
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ASIN: 0444016090 |
Book Description
The long awaited second edition of
Dynamic Optimization is now available. Clear exposition and numerous worked examples made the first edition the premier text on this subject. Now, the new edition is expanded and updated to include essential coverage of current developments on differential games, especially as they apply to important economic questions; new developments in comparative dynamics; and new material on optimal control with integral state equations.
The second edition of
Dynamic Optimization provides expert coverage on:- methods of calculus of variations - optimal control - continuous dynamic programming - stochastic optimal control -differential games. The authors also include appendices on static optimization and on differential games.
Now in its new updated and expanded edition,
Dynamic Optimization is, more than ever, the optimum choice for graduate and advanced undergraduate courses in economics, mathematical methods in economics and dynamic optimization, management science, mathematics and engineering.
New features of
Dynamic Optimization will show students:advances in how to do comparative dynamics; how to optimally switch from one state equation to another during the planning period; how to take into account the history of the system governing an optimization problem through the use of an integral state equation; and how to apply differential games to problems in economics and management sciences.
Customer Reviews:
Great clear textbook.......2007-01-27
I believe this was the first textbook to introduce dynamic optimization to economists. It's simply and clearly written. Each chapter introduces a new development, goes into the theory behind it and gives examples, in just a few pages so you can go through it in bite-sized chunks. The style is unfussy but doesn't talk down to you. Two appendices explain important theorems in calculus and differential equations, briefly but in enough detail to be usable if you aren't familiar with those parts of the maths. This is an excellent textbook, although I can't compare it with the competition.
Chiang's book is best........2001-05-04
This book is decent, but I think that Chiang book is better that this book, I recommend "Elements of Dynamic Optimization" from Alpha Chiang (ISBN: 157766096X), it's better.
A must book for every serious economics student.......2001-02-15
There is no doubt that to master in advanced economics one should have a firm grasp on mathematical tools. Kamien and Schwartz's Dynamiz Optimization is the perfect book to this end. Actually it deserves a rating more than five stars.
Average customer rating:
|
Models for Analyzing Comparative Advantage (Advanced Studies in Theoretical and Applied Econometrics)
David Andrew Kendrick
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover
Econometrics
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ASIN: 0792305280 |
Book Description
Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of, and with, academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies.
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- Capitalism and Freedom: Fortieth Anniversary Edition
- Chinese Literature in the Second Half of a Modern Century
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