Financial Econometrics Using Stata


Author: Simona Boffelli,Giovanni Urga
Publisher: Stata Press
ISBN: 9781597182140
Category:
Page: N.A
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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.

An Introduction to Modern Econometrics Using Stata


Author: Christopher F. Baum
Publisher: Stata Press
ISBN: 1597180130
Category: Business & Economics
Page: 341
View: 6177

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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.

Using Stata for Principles of Econometrics, 4th Edition


Author: Lee C. Adkins
Publisher: Wiley Global Education
ISBN: 111842459X
Category: Business & Economics
Page: 624
View: 5547

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This book is a supplement to Principles of Econometrics, 4th Edition by R. Carter Hill, William E. Griffiths and Guay C. Lim (Wiley, 2011), hereinafter POE4. This book is not a substitute for the textbook, nor is it a stand alone computer manual. It is a companion to the textbook, showing how to perform the examples in the textbook using Stata Release 11. This book will be useful to students taking econometrics, as well as their instructors, and others who wish to use Stata for econometric analysis.

Introductory Econometrics for Finance


Author: Chris Brooks
Publisher: Cambridge University Press
ISBN: 1139916459
Category: Business & Economics
Page: N.A
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This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

Applied Econometrics Using the SAS System


Author: Vivek Ajmani
Publisher: John Wiley & Sons
ISBN: 1118210328
Category: Mathematics
Page: 328
View: 4316

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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.

Health Econometrics Using Stata


Author: Partha Deb,Edward C. Norton,Willard Graham Manning (Jr.)
Publisher: N.A
ISBN: 9781597182287
Category: Medical care
Page: 264
View: 2177

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Health Econometrics Using Stata by Partha Deb, Edward C. Norton, and Willard G. Manning provides an excellent overview of the methods used to analyze data on healthcare expenditure and use. Aimed at researchers, graduate students, and practitioners, this book introduces readers to widely used methods, shows them how to perform these methods in Stata, and illustrates how to interpret the results. Each method is discussed in the context of an example using an extract from the Medical Expenditure Panel Survey. After the overview chapters, the book provides excellent introductions to a series of topics aimed specifically at those analyzing healthcare expenditure and use data. The basic topics of linear regression, the generalized linear model, and log and Box-Cox models are covered with a tight focus on the problems presented by these data. Using this foundation, the authors cover the more advanced topics of models for continuous outcome with mass points, count models, and models for heterogeneous effects. Finally, they discuss endogeneity and how to address inference questions using data from complex surveys. The authors use their formidable experience to guide readers toward useful methods and away from less recommended ones. Their discussion of "health econometric myths" and the chapter presenting a framework for approaching health econometric estimation problems are especially useful for this aspect.

Introduction to Time Series using Stata


Author: Sean Becketti
Publisher: Stata Press
ISBN: 9781597181327
Category: Mathematics
Page: 741
View: 6883

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Recent decades have witnessed explosive growth in new and powerful tools for timeseries analysis. These innovations have overturned older approaches to forecasting, macroeconomic policy analysis, the study of productivity and long-run economic growth, and the trading of financial assets. Familiarity with these new tools on time series is an essential skill for statisticians, econometricians, and applied researchers. Introduction to Time Series Using Stata provides a step-by-step guide to essential timeseries techniques—from the incredibly simple to the quite complex—and, at the same time, demonstrates how these techniques can be applied in the Stata statistical package. The emphasis is on an understanding of the intuition underlying theoretical innovations and an ability to apply them. Real-world examples illustrate the application of each concept as it is introduced, and care is taken to highlight the pitfalls, as well as the power, of each new tool. Sean Becketti is a financial industry veteran with three decades of experience in academics, government, and private industry. Over the last two decades, Becketti has led proprietary research teams at several leading financial firms, responsible for the models underlying the valuation, hedging, and relative value analysis of some of the largest fixed-income portfolios in the world.

Applied Econometrics with R


Author: Christian Kleiber,Achim Zeileis
Publisher: Springer Science & Business Media
ISBN: 9780387773186
Category: Business & Economics
Page: 222
View: 7523

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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.

Econometrics For Dummies


Author: Roberto Pedace
Publisher: John Wiley & Sons
ISBN: 1118533879
Category: Business & Economics
Page: 360
View: 5565

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Score your highest in econometrics? Easy. Econometrics can prove challenging for many students unfamiliar with the terms and concepts discussed in a typical econometrics course. Econometrics For Dummies eliminates that confusion with easy-to-understand explanations of important topics in the study of economics. Econometrics For Dummies breaks down this complex subject and provides you with an easy-to-follow course supplement to further refine your understanding of how econometrics works and how it can be applied in real-world situations. An excellent resource for anyone participating in a college or graduate level econometrics course Provides you with an easy-to-follow introduction to the techniques and applications of econometrics Helps you score high on exam day If you're seeking a degree in economics and looking for a plain-English guide to this often-intimidating course, Econometrics For Dummies has you covered.

Microeconometrics using Stata


Author: Adrian Colin Cameron,P. K. Trivedi
Publisher: Statacorp Lp
ISBN: 9781597180481
Category: Business & Economics
Page: 692
View: 3991

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An outstanding introduction to microeconometrics and how to do microeconometric research using Stata, this book covers topics often left out of microeconometrics textbooks and omitted from basic introductions to Stata. Cameron and Trivedi provide the most complete and up-to-date survey of microeconometric methods available in Stata. They begin by introducing simulation methods and then use them to illustrate features of the estimators and tests described in the rest of the book. They address each topic with an in-depth Stata example and demonstrate how to use Stata'真s programming features to implement methods for which Stata does not have a specific command.Multi/Card Deck Copy

Principles of Econometrics


Author: R. Carter Hill,William E. Griffiths,Guay C. Lim
Publisher: Wiley Global Education
ISBN: 1119342856
Category: Business & Economics
Page: 904
View: 7466

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Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.

Market Risk Analysis, Practical Financial Econometrics


Author: Carol Alexander
Publisher: John Wiley & Sons
ISBN: 0470771038
Category: Business & Economics
Page: 426
View: 5585

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Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Applied Health Economics


Author: Andrew M. Jones,Nigel Rice,Teresa Bago d'Uva,Silvia Balia
Publisher: Routledge
ISBN: 1136239820
Category: Business & Economics
Page: 416
View: 6492

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The first edition of Applied Health Economics did an expert job of showing how the availability of large scale data sets and the rapid advancement of advanced econometric techniques can help health economists and health professionals make sense of information better than ever before. This second edition has been revised and updated throughout and includes a new chapter on the description and modelling of individual health care costs, thus broadening the book’s readership to those working on risk adjustment and health technology appraisal. The text also fully reflects the very latest advances in the health economics field and the key journal literature. Large-scale survey datasets, in particular complex survey designs such as panel data, provide a rich source of information for health economists. They offer the scope to control for individual heterogeneity and to model the dynamics of individual behaviour. However, the measures of outcome used in health economics are often qualitative or categorical. These create special problems for estimating econometric models. The dramatic growth in computing power over recent years has been accompanied by the development of methods that help to solve these problems. The purpose of this book is to provide a practical guide to the skills required to put these techniques into practice. Practical applications of the methods are illustrated using data on health from the British Health and Lifestyle Survey (HALS), the British Household Panel Survey (BHPS), the European Community Household Panel (ECHP), the US Medical Expenditure Panel Survey (MEPS) and Survey of Health, Ageing and Retirement in Europe (SHARE). There is a strong emphasis on applied work, illustrating the use of relevant computer software with code provided for Stata. Familiarity with the basic syntax and structure of Stata is assumed. The Stata code and extracts from the statistical output are embedded directly in the main text and explained at regular intervals. The book is built around empirical case studies, rather than general theory, and the emphasis is on learning by example. It presents a detailed dissection of methods and results of some recent research papers written by the authors and their colleagues. Relevant methods are presented alongside the Stata code that can be used to implement them and the empirical results are discussed at each stage. This text brings together the theory and application of health economics and econometrics, and will be a valuable reference for applied economists and students of health economics and applied econometrics.

Financial Econometrics

An Example-Based Handbook
Author: Anokye Mohammed Adam
Publisher: Nova Science Publishers
ISBN: 9781536123319
Category: Finance
Page: 251
View: 9901

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Financial modelling -- and for that matter, quantitative finance -- is a very crucial area of study for the decision makers to make informed and robust choices in matters of interest to the growth and survival of their organisations. Thus, the skills and knowledge (at least, in this book) must be possessed by every finance professional; risk analysts, quantitative analysts, asset and portfolio managers, compliance officers, Forex and Contract for Difference (CFD) traders, etc. Econometric and statistical models employed in financial modelling are too many to be captured under this course. The econometric models captured in this book are for the purposes of fostering understanding, appreciation, and the reality of the mathematics beneath the topics in econometrics. Broadly speaking, this book covers the various facets of regression models in this important field. Diagnostics on the linear regression model, Logit and Probit (Categorical Dependent Variable Models), Stationary and Non-Stationary Time Series, Cointegration and Error Correction Models (ECM), Autoregressive Distributed Lag (ARDL) Models, forecasting with ARIMA and Vector Autoregression (VAR) models, Panel Data Regression Models, and finally Asset Price/Return Volatility: ARCH and GARCH Models are illustrated for easy comprehension.

Applied Econometrics


Author: Dimitrios Asteriou,Stephen G. Hall
Publisher: Macmillan International Higher Education
ISBN: 1137415479
Category: Business & Economics
Page: 552
View: 1656

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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.

Introductory Econometrics: A Modern Approach


Author: Jeffrey M. Wooldridge
Publisher: Cengage Learning
ISBN: 1305446380
Category: Business & Economics
Page: 912
View: 8072

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Discover how empirical researchers today actually think about and apply econometric methods with the practical, professional approach in Wooldridge's INTRODUCTORY ECONOMETRICS: A MODERN APPROACH, 6E. Unlike traditional books, this unique presentation demonstrates how econometrics has moved beyond just a set of abstract tools to become genuinely useful for answering questions in business, policy evaluation, and forecasting environments. INTRODUCTORY ECONOMETRICS is organized around the type of data being analyzed with a systematic approach that only introduces assumptions as they are needed. This makes the material easier to understand and, ultimately, leads to better econometric practices. Packed with timely, relevant applications, the book introduces the latest emerging developments in the field. Gain a full understanding of the impact of econometrics in real practice today with the insights and applications found only in INTRODUCTORY ECONOMETRICS: A MODERN APPROACH, 6E. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.

The Stata Survival Manual


Author: David Pevalin,Pevalin David J Robson Karen
Publisher: McGraw-Hill Education (UK)
ISBN: 0335240275
Category: Mathematics
Page: 389
View: 2786

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The book will guide you through the research process offering further reading where more complex decisions need to be made and giving 'real world' examples from a wide range of disciplines and anecdotes that clarify issues for readers.