Conceptual Econometrics Using R
- 1st Edition, Volume 41 - August 20, 2019
- Latest edition
- Editors: Hrishikesh D. Vinod, C.R. Rao
- Language: English
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
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
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
- Latest edition
- Volume: 41
- Published: August 20, 2019
- Language: English
HV
Hrishikesh D. Vinod
CR
C.R. Rao
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.