Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods.
Author: Simona Boffelli
Publisher: Stata Press
ISBN: 1597182141
Category:
Page:
View: 769
Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.
This free software guide for STATA with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular ...
Author: Chris Brooks
Publisher: Cambridge University Press
ISBN: 9781108848688
Category: Business & Economics
Page:
View: 613
This free software guide for STATA with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main textbook, the guide will give readers the confidence and skills to estimate and interpret their own models while the textbook will ensure that they have a thorough understanding of the conceptual underpinnings.
The book presents a contemporary approach to econometrics, emphasizing the role of method-of-moments estimators, hypothesis testing, and specification analysis while providing practical examples showing how the theory is applied to real ...
Author: Christopher F. Baum
Publisher: Stata Press
ISBN: 9781597180139
Category: Business & Economics
Page: 341
View: 838
Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, An Introduction to Modern Econometrics Using Stata focuses on the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how the theories are applied to real data sets using Stata. As an expert in Stata, the author successfully guides readers from the basic elements of Stata to the core econometric topics. He first describes the fundamental components needed to effectively use Stata. The book then covers the multiple linear regression model, linear and nonlinear Wald tests, constrained least-squares estimation, Lagrange multiplier tests, and hypothesis testing of nonnested models. Subsequent chapters center on the consequences of failures of the linear regression model's assumptions. The book also examines indicator variables, interaction effects, weak instruments, underidentification, and generalized method-of-moments estimation. The final chapters introduce panel-data analysis and discrete- and limited-dependent variables and the two appendices discuss how to import data into Stata and Stata programming. Presenting many of the econometric theories used in modern empirical research, this introduction illustrates how to apply these concepts using Stata. The book serves both as a supplementary text for undergraduate and graduate students and as a clear guide for economists and financial analysts.
A Research Methodology in Corporate Finance and Accounting Marek
Gruszczyński. The subsequent chapters are ... Princeton University Press,
Princeton, NJ Bofetti S, Urga G (2016) Financial econometrics using Stata. Stata
Press, College ...
Author: Marek Gruszczyński
Publisher: Springer Nature
ISBN: 9783030342197
Category: Business & Economics
Page: 215
View: 462
This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG
J Econ Perspect 24(2):3–30 Berk J, DeMarzo P (2014) Corporate finance, 4th
edn. Pearson, Boston, MA Bofetti S, Urga G (2016) Financial econometrics using Stata. Stata Press, College Station Brennan MJ (ed) (2001) Empirical corporate ...
Author: Tadeusz Dudycz
Publisher: Springer
ISBN: 9783319682853
Category: Business & Economics
Page: 309
View: 738
This volume offers a collection of studies on problem of organization’s efficiency, criteria for evaluating the efficiency, tools and methods for measuring the efficiency. The articles included present an interdisciplinary look at efficiency, its essence and the principles of its measurement. The contributions also identify a broad spectrum of conditions for achieving efficiency in various types of organizations and systems (e.g. public institution, non-profit organizations), representing various industries. The book collects selected papers presented at the 7th International Conference "Efficiency as a Source of the Wealth of Nations", held in Wrocław, Poland, in May 2017.
College Station, TX: Stata Press. Boffelli, S., and Urga, G. (2016). Financial Econometrics Using Stata. College Station, TX: Stata Press, 17–30. Bouoiyour, J.,
and Selmi, R. (2015). What does bitcoin look like? Ann. Econ. Financ. 16, 449–
492.
This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS® system.
Author: Vivek Ajmani
Publisher: John Wiley & Sons
ISBN: 9781118210321
Category: Mathematics
Page: 328
View: 951
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.
"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers ...
Author: Stan Hurn
Publisher: Oxford University Press, USA
ISBN: 0190857064
Category: Finance
Page:
View: 387
"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--
This is the Using Stata text for Principles of Econometrics, 4th Edition.
Author: Lee C. Adkins
Publisher: Wiley
ISBN: 111803208X
Category: Business & Economics
Page: 624
View: 614
This is the Using Stata text for Principles of Econometrics, 4th Edition. Principles of Econometrics is an introductory book for undergraduate students in economics and finance, and can be used for MBA and first-year graduate students in many fields. The 4th Edition provides students with an understanding of why econometrics is necessary and a working knowledge of basic econometric tools. This text emphasizes motivation, understanding and implementation by introducing very simple economic models and asking economic questions that students can answer.
The best approach for teaching introductory financial econometrics , in other
words , is to illustrate its specific concepts over and ... The computer package Stata has been used to do the empirical examples presented in these latter
chapters .
Author: Gary Koop
Publisher: John Wiley & Sons Incorporated
ISBN: IND:30000103007492
Category: Business & Economics
Page: 240
View: 342
Analysis of Financial Data teaches the basic methods and techniques of data analysis to finance students, by showing them how to apply such techniques in the context of real-world empirical problems. Adopting a largely non-mathematical approach Analysis of Financial Data relies more on verbal intuition and graphical methods for understanding. Key features include: Coverage of many of the major tools used by the financial economist e.g. correlation, regression, time series analysis and methods for analyzing financial volatility. Extensive use of real data examples, which involves readers in hands-on computer work. Mathematical techniques at a level suited to MBA students and undergraduates taking a first course in the topic. Supplementary material for readers and lecturers provided on an accompanying website.
This outstanding introduction to microeconometrics research using Stata offers the most complete and up-to-date survey of methods available.
Author: A. Colin Cameron
Publisher: Statacorp Lp
ISBN: UOM:39015078791251
Category: Business & Economics
Page: 692
View: 295
This outstanding introduction to microeconometrics research using Stata offers the most complete and up-to-date survey of methods available. The authors address each topic with an in-depth example and demonstrate how to use Stata's programming features to implement methods for which the application does not have a specific command.
However , lack of data makes this endeavour impossible to execute . The models
are specified as follows and are estimated using STATA econometrics package :
Model 1 ttaxr = ao + a , Ipacpm92 + a z manfs + a ztrads + a , transs + as fos + d ...
Econometric Framework Under the random - effects framework , the error terms
are assumed to demonstrate the ... logit regression techniques performed using
version 7.0 ( special edition ) of Stata software ( Stata Corporation , 2002 ) .
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: 186
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.
Cleves M. , W. Gould and R. Gutierrez ( 2002 ) An introduction to survival
analysis using Stata , Texas , Stata Press . Farinha , L. ... Lancaster , T. ( 1990 )
The econometric analysis of transition data , Cambridge , Cambridge University
Press .
Regression models for categorical dependent variables using stata . College
Station , TX : Stata Press . Matheson , V. A. ... Emerging markets in baseball : An econometric model for predicting the expansion teams ' new cities . In J. Fizel , E.
... ecosystems by increasing the The discount rate on financial costs also turns
out to have area of plantation forests ) , forest conservation ( avoiding de ... We
consider geographic count rate on carbon to lead to higher costs of carbon scope using dummy variables to discern whether studies es ... to significantly lower
costs of creating bon uptake costs using sectoral optimization , an econometric
CO2 offset credits than other activities . ... All regression models are estimated using Stata .
In An Introduction to Classical Econometric Theory Paul A. Ruud shows the practical value of an intuitive approach to econometrics.
Author: Paul Arthur Ruud
Publisher: Oxford University Press, USA
ISBN: 0195111648
Category: Business & Economics
Page: 951
View: 603
In An Introduction to Classical Econometric Theory Paul A. Ruud shows the practical value of an intuitive approach to econometrics. Students learn not only why but how things work. Through geometry, seemingly distinct ideas are presented as the result of one common principle, making econometrics more than mere recipes or special tricks. In doing this, the author relies on such concepts as the linear vector space, orthogonality, and distance. Parts I and II introduce the ordinary least squares fitting method and the classical linear regression model, separately rather than simultaneously as in other texts. Part III contains generalizations of the classical linear regression model and Part IV develops the latent variable models that distinguish econometrics from statistics. To motivate formal results in a chapter, the author begins with substantive empirical examples. Main results are followed by illustrative special cases; technical proofs appear toward the end of each chapter. Intended for a graduate audience, An Introduction to Classical Econometric Theory fills the gap between introductory and more advanced texts. It is the most conceptually complete text for graduate econometrics courses and will play a vital role in graduate instruction.
