Conceptual Econometrics Using R
- 1st Edition, Volume 41 - August 20, 2019
- Imprint: North Holland
- Editors: Hrishikesh D. Vinod, C.R. Rao
- Language: English
- Hardback ISBN:9 7 8 - 0 - 4 4 4 - 6 4 3 1 1 - 7
- eBook ISBN:9 7 8 - 0 - 4 4 4 - 6 4 3 1 2 - 4
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, st… Read more
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Request a sales quoteConceptual 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
Quantitative scientists, especially in economics and finance. Students, teachers and researchers in various industries and sciences but also profit and nonprofit business decision makers and government policy makers
Part I: Statistical Inference
1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
Jean-Marie Dufour and Julien Neves
2. New exogeneity tests and causal paths
Hrishikesh D. Vinod
3. Adjusting for bias in long horizon regressions using R
Kenneth D. West and Zifeng Zhao
4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R
Yong Li, Jun Yu and Tao Zeng
Part II: Multivariate Models
5. Dynamic panel GMM using R
Peter C.B. Phillips and Chirok Han
6. Vector autoregressive moving average models
Wolfgang Scherrer and Manfred Deistler
7. Multivariate GARCH models for large-scale applications: A survey
Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot
Part III: Miscellaneous Topics
8. Modeling fractional responses using R
Joaquim Jose Santos Ramalho
9. Quantitative game theory applied to economic problems
Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella
- Edition: 1
- Volume: 41
- Published: August 20, 2019
- Imprint: North Holland
- No. of pages: 330
- Language: English
- Hardback ISBN: 9780444643117
- eBook ISBN: 9780444643124
HV
Hrishikesh D. Vinod
Hrishikesh D. Vinod is a Ph. D. in economics from Harvard University, who has published over 200 research papers in refereed journals in Economics and Statistics. His R books include: (i) Hands-On Intermediate Econometrics Using R, (ii) Hands-on Matrix Algebra Using R, (World Scientific Publishers: Hackensack), and (iii) Advances in Social Science Research Using R. (Springer). His Wiley Interscience book (joint with D. P. Reagle) is entitled Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. His Marcel Dekker book (joint with A. Ullah) is Recent Advances in Regression Methods. Vinod was a researcher at the prestigious Bell Laboratories before becoming a tenured full professor of Economics at the 177-year old Fordham University in New York, where he is the Director of the Institute of Ethics and Economic Policy within Economics Department.
The exceptionally diverse range and depth of Vinod’s research is seen from his CV at:
http://www.fordham.edu/economics/vinod/hdv-cv.htm `ResearchGate' reports that Vinod's work is cited by other researchers some 2700 times, attesting its originality and pioneering quality. The cited research may be classified into six categories.
1) Economic theory and applications: Joint production function, Demand function, Disequilibrium models, Elasticity of substitution, Kernel estimation of shape of demand curve, Poisson Model for Measuring the Returns to R&D, Fuzzy Latin Squares.
2) Econometric theory and applications: Bounds on variance of regression coefficients, Unit root, Double bootstrap, Maximum entropy methods, Causality from non-experimental data, economic distance between blacks and whites, Godambe-Durbin Estimating Functions in Econometrics, Maximum Entropy for singular covariance matrices, Projection Pursuit models.
3) Economic policy issues: Controlling corruption, Corporate governance, India's over-population, Hindu economics, Human rights, Entrepreneurship, Unemployment reduction prowess under Bush versus Obama, Preventing Madoff-Style Ponzi Schemes, Enhancing US power and influence in the UN, Stress testing, Tax cuts, Bank divestitures.
4) Mathematical Statistics and applications: Generalized Durbin-Watson test, Ridge regression extensions, Nonparametric regression using clusters, Generalized t ratio, Canonical ridge estimator, Closed forms for asymptotic bias and variance in autoregressive models, Consequences of perturbations of collinear data.
5) Combinatorics, Matrix algebra and applications: Inventory theoretic models of demand and Clustering by integer programming.
6) Software: Vinod's Journal of Economic Literature and American Economic Review articles discuss software numerical accuracy issues. Vinod's R packages are: `meboot’ for maximum entropy bootstrap and `generalCorr’ for generalized correlation coefficients and causality.
Winner of several honors and awards including Fellow of the Journal of Econometrics and keynote speaker at international meetings.
Affiliations and expertise
Fordham University, USACR
C.R. Rao
book “Ancient Inhabitants of Jebel Moya” published by the Cambridge Press under the joint authorship of Rao and two anthropologists. On the basis of work done at CU during the two year period, 1946-1948, Rao earned a Ph.D. degree and a few years later Sc.D. degree of CU and the rare honor of life fellowship of Kings College, Cambridge.
He retired from ISI in 1980 at the mandatory age of 60 after working for 40 years during which period he developed ISI as an international center for statistical education and research. He also took an active part in establishing state statistical bureaus to collect local statistics and transmitting them to Central Statistical Organization in New Delhi. Rao played a pivitol role in launching undergraduate and postgraduate courses at ISI. He is the author of 475 research publications and several breakthrough papers contributing to statistical theory and methodology for applications to problems in all areas of human endeavor. There are a number of classical statistical terms named after him, the most popular of which are Cramer-Rao inequality, Rao-Blackwellization, Rao’s Orthogonal arrays used in quality control, Rao’s score test, Rao’s Quadratic Entropy used in ecological work, Rao’s metric and distance which are incorporated in most statistical books.
He is the author of 10 books, of which two important books are, Linear Statistical Inference which is translated into German, Russian, Czec, Polish and Japanese languages,and Statistics and Truth which is translated into, French, German, Japanese, Mainland Chinese, Taiwan Chinese, Turkish and Korean languages.
He directed the research work of 50 students for the Ph.D. degrees who in turn produced 500 Ph.D.’s. Rao received 38 hon. Doctorate degree from universities in 19 countries spanning 6 continents. He received the highest awards in statistics in USA,UK and India: National Medal of Science awarded by the president of USA, Indian National Medal of Science awarded by the Prime Minister of India and the Guy Medal in Gold awarded by the Royal Statistical Society, UK. Rao was a recipient of the first batch of Bhatnagar awards in 1959 for mathematical sciences and and numerous medals in India and abroad from Science Academies. He is a Fellow of Royal Society (FRS),UK, and member of National Academy of Sciences, USA, Lithuania and Europe. In his honor a research Institute named as CRRAO ADVANCED INSTITUTE OF MATHEMATICS, STATISTICS AND COMPUTER SCIENCE was established in the campus of Hyderabad University.
Affiliations and expertise
University of Hyderabad Campus, IndiaRead Conceptual Econometrics Using R on ScienceDirect