Applied Econometrics with R

Applied Econometrics with R

This is the first book on applied econometrics using the R system for statistical computing and graphics.

Author: Christian Kleiber

Publisher: Springer Science & Business Media

ISBN: 0387773185

Category: Business & Economics

Page: 222

View: 621

R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Categories: Business & Economics

Using R for Principles of Econometrics

Using R for Principles of Econometrics

This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition.

Author: Constantin Colonescu

Publisher: Lulu.com

ISBN: 9781387473618

Category: Business & Economics

Page: 276

View: 544

This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Categories: Business & Economics

Learning Microeconometrics with R

Learning Microeconometrics with R

This book provides an introduction to the field of microeconometrics through the use of R. The focus is on applying current learning from the field to real world problems.

Author: Christopher P. Adams

Publisher: CRC Press

ISBN: 9781000282382

Category: Mathematics

Page: 368

View: 682

This book provides an introduction to the field of microeconometrics through the use of R. The focus is on applying current learning from the field to real world problems. It uses R to both teach the concepts of the field and show the reader how the techniques can be used. It is aimed at the general reader with the equivalent of a bachelor’s degree in economics, statistics or some more technical field. It covers the standard tools of microeconometrics, OLS, instrumental variables, Heckman selection and difference in difference. In addition, it introduces bounds, factor models, mixture models and empirical Bayesian analysis. Key Features: Focuses on the assumptions underlying the algorithms rather than their statistical properties. Presents cutting-edge analysis of factor models and finite mixture models. Uses a hands-on approach to examine the assumptions made by the models and when the models fail to estimate accurately. Utilizes interesting real-world data sets that can be used to analyze important microeconomic problems. Introduces R programming concepts throughout the book. Includes appendices that discuss some of the standard statistical concepts and R programming used in the book.
Categories: Mathematics

Outlines and Highlights for Applied Econometrics with R by Christian Kleiber Isbn

Outlines and Highlights for Applied Econometrics with R by Christian Kleiber  Isbn

Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780387773162 .

Author: Cram101 Textbook Reviews

Publisher: Academic Internet Pub Incorporated

ISBN: 1617447110

Category: Business & Economics

Page: 72

View: 959

Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780387773162 .
Categories: Business & Economics

Applied Spatial Statistics and Econometrics

Applied Spatial Statistics and Econometrics

This text will be a valuable resource for advanced students of econometrics, spatial planning and regional science. It will also be suitable for researchers and data scientists working with spatial data.

Author: Katarzyna Kopczewska

Publisher:

ISBN: 0367470764

Category: Econometrics

Page:

View: 491

"This textbook is a comprehensive introduction to applied spatial data analysis, using R. Each chapter walks the reader through a different method, explaining how to interpret the results and what conclusions can be drawn. The author team showcase key topics including unsupervised learning, causal inference, spatial weight matrices, spatial econometrics, heterogeneity and bootstrapping. It is accompanied by a suite of data and R code on Github, to help readers practise techniques via replication and exercises. This text will be a valuable resource for advanced students of econometrics, spatial planning and regional science. It will also be suitable for researchers and data scientists working with spatial data"--
Categories: Econometrics

Panel Data Econometrics with R

Panel Data Econometrics with R

Journal of Applied Econometrics, 22 (2):265–312, 2007. M.H. Pesaran and R. Smith. Estimating long-run relationships from dynamic heterogeneous panels.

Author: Yves Croissant

Publisher: John Wiley & Sons

ISBN: 9781118949160

Category: Business & Economics

Page: 328

View: 406

1 Introduction 5 1.1 Panel data econometrics: a gentle introduction 5 1.1.1 Eliminating unobserved components 6 1.2 R for econometric computing 11 1.2.1 The modus operandi of R 12 1.2.2 Data management 13 1.3 plm for the casual R user 14 1.3.1 R for the matrix language user 14 1.3.2 R for the user of econometric packages 16 1.4 plm for the procient R user 18 1.4.1 Reproducibile econometric work 18 1.4.2 Object-orientation for the user 19 1.5 plm for the R developer 20 1.5.1 Object orientation for development 21 1.6 Notations 24 2 The error component model 31 2.1 Notations and hypotheses 31 2.1.1 Notations 31 2.1.2 Some useful transformations 32 2.1.3 Hypotheses concerning the errors 34 2.2 Ordinary least squares estimators 36 2.2.1 Ordinary least squares on the raw data: the pooling model 36 2.2.2 The between estimator 38 2.2.3 The within estimator 39 2.3 The generalized least squares estimator 44 2.3.1 Presentation of the gls estimator 44 2.3.2 Estimation of the variances of the components of the error 46 2.4 Comparison of the estimators 51 2.4.1 Relations between the estimators 51 2.4.2 Comparison of the variances 52 2.4.3 Fixed vs random eects 53 2.4.4 Some simple linear model examples 55 2.5 The two-ways error components model 60 2.5.1 Error components in the two-ways model 60 2.5.2 Fixed and random eects models 61 2.6 Estimation of a wage equation 62 3 Advanced error components models 67 3.1 Unbalanced panels 67 3.1.1 Individual eects model 67 3.1.2 Two-ways error component model 69 3.1.3 Estimation of the components of the error variance 73 3.2 Seemingly unrelated regression equations 80 3.2.1 Introduction 80 3.2.2 Constrained least squares 81 3.2.3 Inter-equations correlation 82 3.2.4 SUR with panel data 83 3.3 The maximum likelihood estimator 88 3.3.1 Derivation of the likelihood function 89 3.3.2 Computation of the estimator 90 3.4 The nested error components model 92 3.4.1 Presentation of the model 92 3.4.2 Estimation of the variance of the error components 93 4 Tests on error component models 101 4.1 Tests on individual and/of time eects 102 4.1.1 F tests 102 4.1.2 Breusch-Pagan tests 102 4.2 Tests for correlated eects 107 4.2.1 The Mundlak approach 108 4.2.2 Hausman's test 109 4.2.3 Chamberlain's approach 110 4.3 Tests for serial correlation 115 4.3.1 Unobserved eects test 116 4.3.2 Score test of serial correlation and/or individual eects 117 4.3.3 Likelihood Ratio tests for ar(1) and individual eects 120 4.3.4 Applying traditional serial correlation tests to panel data 122 4.3.5 Wald tests for serial correlation 124 4.4 Tests for cross-sectional dependence 126 4.4.1 Pairwise correlation coe-cients 126 4.4.2 cd -type tests for cross-sectional dependence 127 4.4.3 Testing cross-sectional dependence in a pseries 129 5 Robust inference and estimation 133 5.1 Robust inference 133 5.1.1 Robust covariance estimators 134 5.1.2 plm and generic sandwich estimators 145 5.1.3 Robust testing of linear hypotheses 150 5.2 Unrestricted generalized least squares 154 5.2.1 General feasible generalized least squares 155 5.2.2 Applied examples 160 6 Endogeneity 167 6.1 Introduction 167 6.2 The instrumental variables estimator 168 6.2.1 Generalities about the instrumental variables estimator 168 6.2.2 The within instrumental variables estimator 170 6.3 Error components instrumental variables estimator 173 6.3.1 The general model 173 6.3.2 Special cases of the general model 176 6.4 Estimation of a system of equations 186 6.4.1 The three stage least squares estimator 186 6.4.2 The error components three stage least squares estimator 188 6.5 More empirical examples 191 7 Estimation of a dynamic model 193 7.1 Dynamic model and endogeneity 195 7.1.1 The bias of the ols estimator 195 7.1.2 The within estimator 197 7.1.3 Consistent estimation methods for dynamic models 198 7.2 gmm estimation of the dierenced model 201 7.2.1 Instrumental variables
Categories: Business & Economics

Hands on Intermediate Econometrics Using R

Hands on Intermediate Econometrics Using R

This is much easier today than it was 50 years ago thanks to the recent trend in transparency of applied econometric research. Many reputed journals now ...

Author: Hrishikesh D. Vinod

Publisher: World Scientific

ISBN: 9789812818850

Category: Business & Economics

Page: 512

View: 432

This book explains how to use R software to teach econometrics by providing interesting examples, using actual data applied to important policy issues. It helps readers choose the best method from a wide array of tools and packages available. The data used in the examples along with R program snippets, illustrate the economic theory and sophisticated statistical methods extending the usual regression. The R program snippets are not merely given as black boxes, but include detailed comments which help the reader better understand the software steps and use them as templates for possible extension and modification.
Categories: Business & Economics

Applied Econometrics

Applied Econometrics

A companion website for this book is available at www.palgrave.com/economics/asteriou2 which contains: ■ data files for students ■ PowerPoint slides for lecturers

Author: Dimitrios Asteriou

Publisher: Macmillan International Higher Education

ISBN: 9780230344655

Category: Business & Economics

Page: 512

View: 732

'Applied Econometrics' takes an intuitive, hands-on approach to presenting modern econometrics. Wide-ranging yet compact, the book features extensive software integration and contains empirical applications throughout. It provides step-by-step guidelines for all econometric tests and methods of estimation, and also provides interpretations of the results. The second edition of this popular book features expanded topical coverage, more coverage of fundamental concepts for students new to the subject or requiring a 'refresher', integrated finance applications throughout, as well as the addition of Stata to the software coverage (already featuring EViews and Microfit). New chapters include: ■ Limited Dependent Variable Regression Models ■ Identification in Standard and Cointegrated Systems ■ Solving Models This is an ideal book for undergraduate and master's economics or finance students taking a first course in applied econometrics. A companion website for this book is available at www.palgrave.com/economics/asteriou2 which contains: ■ data files for students ■ PowerPoint slides for lecturers
Categories: Business & Economics

Applied Econometrics

Applied Econometrics

Its practical applications make the book an instrumental, go-to guide for solid foundation in the fundamentals of econometrics. In addition, this book includes excerpts from relevant articles published in top-tier academic journals.

Author: Chung-ki Min

Publisher: Routledge

ISBN: 9780429656507

Category: Business & Economics

Page: 296

View: 596

Applied Econometrics: A Practical Guide is an extremely user-friendly and application-focused book on econometrics. Unlike many econometrics textbooks which are heavily theoretical on abstractions, this book is perfect for beginners and promises simplicity and practicality to the understanding of econometric models. Written in an easy-to-read manner, the book begins with hypothesis testing and moves forth to simple and multiple regression models. It also includes advanced topics: Endogeneity and Two-stage Least Squares Simultaneous Equations Models Panel Data Models Qualitative and Limited Dependent Variable Models Vector Autoregressive (VAR) Models Autocorrelation and ARCH/GARCH Models Unit Root and Cointegration The book also illustrates the use of computer software (EViews, SAS and R) for economic estimating and modeling. Its practical applications make the book an instrumental, go-to guide for solid foundation in the fundamentals of econometrics. In addition, this book includes excerpts from relevant articles published in top-tier academic journals. This integration of published articles helps the readers to understand how econometric models are applied to real-world use cases.
Categories: Business & Economics

Applied Econometrics

Applied Econometrics

The goal of this book is to facilitate both teaching of applied econometrics, particularly in undergraduate and Master courses, and learning by students and, more generally, by those concerned with a formal measurement of economic events.

Author: Massimiliano Marcellino

Publisher: EGEA spa

ISBN: 9788823814479

Category: Business & Economics

Page: 399

View: 352

The goal of this book is to facilitate both teaching of applied econometrics, particularly in undergraduate and Master courses, and learning by students and, more generally, by those concerned with a formal measurement of economic events. The task requires combining statistics, economics and computer science in the right proportions. Statistics is needed for a correct formulation of the problem and interpretation of the results, so the statistical content of this book is rigorous but limited to what is strictly necessary. All theoretical concepts are then illustrated empirically, with examples that use either simulated data or actual data on economic variables. The examples in this text are based on EViews.
Categories: Business & Economics

Applied Spatial Statistics and Econometrics

Applied Spatial Statistics and Econometrics

It is accompanied by a suite of data and R code on Github to help readers practise techniques via replication and exercises. This text will be a valuable resource for advanced students of econometrics, spatial planning and regional science.

Author: Katarzyna Kopczewska

Publisher: Routledge

ISBN: 9781000079784

Category: Business & Economics

Page: 594

View: 245

This textbook is a comprehensive introduction to applied spatial data analysis using R. Each chapter walks the reader through a different method, explaining how to interpret the results and what conclusions can be drawn. The author team showcases key topics, including unsupervised learning, causal inference, spatial weight matrices, spatial econometrics, heterogeneity and bootstrapping. It is accompanied by a suite of data and R code on Github to help readers practise techniques via replication and exercises. This text will be a valuable resource for advanced students of econometrics, spatial planning and regional science. It will also be suitable for researchers and data scientists working with spatial data.
Categories: Business & Economics

Panel Data Econometrics

Panel Data Econometrics

Testing for unit roots in heterogeneous panels. Journal of Econometrics 115 (1), 53–74. Kleiber, C., Zeileis, A., 2008. Applied econometrics with R.

Author: Mike Tsionas

Publisher: Academic Press

ISBN: 9780128144312

Category: Business & Economics

Page: 432

View: 119

Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Categories: Business & Economics

Studies in Applied Econometrics

Studies in Applied Econometrics

Figure 1 Continued i Electrical engineering Precision/optical instruments rrr r—r-r—r-r rr—r-r ~~~~<=io r–H–r—H-r-r—rrr—w I-y--y .

Author: Hans Schneeweiß

Publisher: Springer Science & Business Media

ISBN: 9783642515149

Category: Business & Economics

Page: 238

View: 550

This book reports new developments in applied econometrics. All papers originated in two international workshops that were organized in the University of Munich on July 6-7, 1989, and on January 11 - 12, 1990. Financial support for these conferences by the University of Munich and the Thyssen Foundation is gratefully acknowledged. Since then all papers were substantially revised and updated. We wish to thank all authors for their patience with the revisions and Thomas Bauer, Lucie Merkle and Gisela Loos for editorial help. The ftrst section of the book collects contributions that address new "Methodological Developments". Two of them deal with problems in microeconometrics, the other two consider multi-equation systems. Martin Kukuk and Gerd Ronning treat "Ordinal Variables in Microeconometric Models". They especially deal with the case of limited-dependent variable models where some exogenous variables are either measured on an interval scale or a nominal scale. They discuss and compare two methods to deal with the problem. In his paper on "Goodness of Fit in Qualitative Choice Models: Review and Evaluation", Klaus F. Zimmermann investigates methods to summarize the predictive quality of models that deal with discrete alternatives. For these models, a widely accepted measure for evaluation like the R2, as in the case of ordinary least squares, does not exist. The paper summarizes the literature and suggests reasonable choices for evaluation on the basis of large-scale Monte Carlo investigations.
Categories: Business & Economics

Applied Econometrics

Applied Econometrics

Applied Econometrics third edition includes: • Thorough updates of all material in the book • More finance applications • A brand new Chapter 20: Time Varying Coefficient Models: A new way of estimating bias free parameters This is an ...

Author: Dimitrios Asteriou

Publisher: Macmillan International Higher Education

ISBN: 9781137415479

Category: Business & Economics

Page: 552

View: 448

The third edition of Applied Econometrics builds on the success of the popular previous editions. It takes an intuitive, hands-on approach to presenting fundamental concepts in modern econometrics and carefully guides the reader through them. Step-by-step instructions for all econometric tests and methods of estimation are provided, as well as ways in which to interpret the results. This makes it an ideal companion for students new to the subject, or for those requiring a 'refresher'. Applied Econometrics third edition includes: • Thorough updates of all material in the book • More finance applications • A brand new Chapter 20: Time Varying Coefficient Models: A new way of estimating bias free parameters This is an indispensable textbook for undergraduate and Master's economics or finance students taking a course in applied econometrics.
Categories: Business & Economics

Mathematical Statistics for Applied Econometrics

Mathematical Statistics for Applied Econometrics

L (3) = r – R8 = 0. (11.67) Substituting the solution of 8 into the first-order condition with respect to the Lagrange multiplier, rR (xx)" (X'y)–(X'X) ...

Author: Charles B Moss

Publisher: CRC Press

ISBN: 9781466594104

Category: Business & Economics

Page: 363

View: 703

An Introductory Econometrics Text Mathematical Statistics for Applied Econometrics covers the basics of statistical inference in support of a subsequent course on classical econometrics. The book shows students how mathematical statistics concepts form the basis of econometric formulations. It also helps them think about statistics as more than a toolbox of techniques. Uses Computer Systems to Simplify Computation The text explores the unifying themes involved in quantifying sample information to make inferences. After developing the necessary probability theory, it presents the concepts of estimation, such as convergence, point estimators, confidence intervals, and hypothesis tests. The text then shifts from a general development of mathematical statistics to focus on applications particularly popular in economics. It delves into matrix analysis, linear models, and nonlinear econometric techniques. Students Understand the Reasons for the Results Avoiding a cookbook approach to econometrics, this textbook develops students’ theoretical understanding of statistical tools and econometric applications. It provides them with the foundation for further econometric studies.
Categories: Business & Economics

Handbook Of Applied Econometrics And Statistical Inference

Handbook Of Applied Econometrics And Statistical Inference

Journal of Applied Econometrics , 11 , 195 - 198 . Hodrick , R . , and E . Prescott ( 1981 ) , Post - war U . S . business cycles : an empirical ...

Author: Aman Ullah

Publisher: CRC Press

ISBN: 0203911075

Category: Business & Economics

Page: 744

View: 909

Summarizing developments and techniques in the field, this reference covers sample surveys, nonparametric analysis, hypothesis testing, time series analysis, Bayesian inference, and distribution theory for applications in statistics, economics, medicine, biology, engineering, sociology, psychology, and information technology. It supplies a geometric proof of an extended Gauss-Markov theorem, approaches for the design and implementation of sample surveys, advances in the theory of Neyman's smooth test, and methods for pre-test and biased estimation. It includes discussions ofsample size requirements for estimation in SUR models, innovative developments in nonparametric models, and more.
Categories: Business & Economics

Applied Econometrics

Applied Econometrics

Cointegration Rank Test Using Trace Under Restriction 5% H0: H1: Critical Drift Drift in Rank=r Rank>r Eigenvalue Trace Value in ECM Process 0 0 0.4054 ...

Author: Chung-ki Min

Publisher: Routledge

ISBN: 9780429658945

Category: Business & Economics

Page: 296

View: 685

Applied Econometrics: A Practical Guide is an extremely user-friendly and application-focused book on econometrics. Unlike many econometrics textbooks which are heavily theoretical on abstractions, this book is perfect for beginners and promises simplicity and practicality to the understanding of econometric models. Written in an easy-to-read manner, the book begins with hypothesis testing and moves forth to simple and multiple regression models. It also includes advanced topics: Endogeneity and Two-stage Least Squares Simultaneous Equations Models Panel Data Models Qualitative and Limited Dependent Variable Models Vector Autoregressive (VAR) Models Autocorrelation and ARCH/GARCH Models Unit Root and Cointegration The book also illustrates the use of computer software (EViews, SAS and R) for economic estimating and modeling. Its practical applications make the book an instrumental, go-to guide for solid foundation in the fundamentals of econometrics. In addition, this book includes excerpts from relevant articles published in top-tier academic journals. This integration of published articles helps the readers to understand how econometric models are applied to real-world use cases.
Categories: Business & Economics

Applied Econometrics Using the SAS System

Applied Econometrics Using the SAS System

2I-c'-III 'l':l|]I-!iqIl.|'|: III?-_'~'.'I-I DII'IIi—"I"l-'Ifl-IIII 5-Illhtln Drlrr I.'-'H-' I'r~= DH-' I'r=- lim' 1 III E-5115' -- III .III'IIII-I I .4II'.

Author: Vivek Ajmani

Publisher: John Wiley & Sons

ISBN: 9781118210321

Category: Mathematics

Page: 328

View: 568

The first cutting-edge guide to using the SAS® system for the analysis of econometric data Applied Econometrics Using the SAS® System is the first book of its kind to treat the analysis of basic econometric data using SAS®, one of the most commonly used software tools among today's statisticians in business and industry. This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS® system. In addition to addressing the computational aspects of econometric data analysis, the author provides a statistical foundation by introducing the underlying theory behind each method before delving into the related SAS® routines. The book begins with a basic introduction to econometrics and the relationship between classical regression analysis models and econometric models. Subsequent chapters balance essential concepts with SAS® tools and cover key topics such as: Regression analysis using Proc IML and Proc Reg Hypothesis testing Instrumental variables analysis, with a discussion of measurement errors, the assumptions incorporated into the analysis, and specification tests Heteroscedasticity, including GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH models Panel data analysis Discrete choice models, along with coverage of binary choice models and Poisson regression Duration analysis models Assuming only a working knowledge of SAS®, this book is a one-stop reference for using the software to analyze econometric data. Additional features include complete SAS® code, Proc IML routines plus a tutorial on Proc IML, and an appendix with additional programs and data sets. Applied Econometrics Using the SAS® System serves as a relevant and valuable reference for practitioners in the fields of business, economics, and finance. In addition, most students of econometrics are taught using GAUSS and STATA, yet SAS® is the standard in the working world; therefore, this book is an ideal supplement for upper-undergraduate and graduate courses in statistics, economics, and other social sciences since it prepares readers for real-world careers.
Categories: Mathematics

Theoretical and Applied Econometrics

Theoretical and Applied Econometrics

The common test of the hypothesis RB = r is based on an F - distributed statistic the derivation of which may be motivated as follows .

Author: Phoebus J. Dhrymes

Publisher: Edward Elgar Pub

ISBN: UOM:39015040749569

Category: Business & Economics

Page: 646

View: 208

This selection of Professor Dhrymes's major papers combines contributions to econometric theory with a series of empirical studies. The theoretical papers focus on such issues as the general linear model, simultaneous equations models, and distributed lags and ancillary topics. Most of these papers originated with problems encountered in empirical research. The applied studies deal with production function and productivity topics, demand for labour, arbitrage pricing theory, demand for housing and related issues.
Categories: Business & Economics