Reviews (1)

Has All The Facts
Great reference for building market models. A lot of good examples. Real world case studies. Easy to understand math formulas. Technical - but good! ... Read more

Book Description

This book is a survey of exchange-rate economics. Using the latest econometric techniques, it covers the main theories that explain the determination of exchange rates and utilizes recent empirical data on exchange rate behavior. ... Read more

Reviews (1)

Outstanding!
This is a well-written and comprehensive survey of the modern international finance literature. I recommend this book to PH.D students who looking for a dissertation topic. Researchers should also have a copy of this book for reference. ... Read more

Book Description

This is a classical reprint edition of theoriginal 1971 edition of An Introduction to Bayesian Inference in Economics. This historical volume is an early introduction to Bayesian inference and methodology which still has lasting value for today's statistician and student. The coverage ranges from the fundamental concepts and operations of Bayesian inference to analysis of applications in specific econometric problems and the testing of hypotheses and models. ... Read more

Book Description

The main objective of this book is to show that behind the bewildering diversity of historical speculative episodes, it is possible to find hidden regularities. Speculative bubbles require the study of various episodes in order for a comparative perspective to be obtained and the analysis developed in this book follows a few simple but unconventional ideas. To that end, the author demonstrates how some of the basic concepts of dynamical system theory, such as the notions of impulse response, reaction times and frequency analysis, play an instrumental role in describing and predicting speculative behavior. ... Read more

Book Description

Every major econometric method is illustrated by a persuasive, real life example applied to real data.
* Explores subjects such as sample design, which are critical to practical application econometrics. ... Read more

Reviews (1)

good examples, complicated explanations,too many typos
As a student who never has taken econometrics class, I suffered the weakness of this book (which was used as the textbook) more than I benefited from the strengths.

The strength of this book lies in the good examples they use. The book is not dense and mostly the explanation is very
concise.The examples they have is very interesting and might attract students' attention quite well.

However, I found this book's explanation is not very biginner
friendly.The explanation is often unnecessary compliated with too much math, so it might not be good for introductory econometrics class (it could make a good supplemental reading).

Gujarati's, Kennedy, etc has similar coverage but the explanation is much more plain and reader friendly.

The crucial problem which makes this book less than desirable is, amount of typos - I'd say one typo in a few pages on average.Although they have listed erratas on the publisher's web-site, unfortunately they cover relatively low fraction of all the typos this book has (could be inevitable problem with the first edition book).End-of-chapter questions and slides suffer the similar problem, so when my professor did not catch the problem in the end-of-chapter question, I just wasted too much time trying to figure out the answers, which was the worst part of using this book. ... Read more

Book Description

This text provides a simple and straightforward introduction to econometrics for the beginner.The author's intent is to provide the student with a "user friendly," non-intimidating introduction to econometric theory and techniques.The book motivates students to understand econometric techniques through extensive examples, careful explanations, and a wide variety of problem material.The audience is undergraduate economics, agricultural economics, and business administration majors, MBA students and others in the social and behavioral sciences where econometric techniques, especially the techniques of linear regression analysis, are used. ... Read more

Book Description

Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions.This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. Roger Koenkwe has devoted more than 25 years of research to the topic.The methods in his analysis are illustrated with a variety of applications from economics, biology, ecology and finance and will target audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above. ... Read more

Book Description

This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance.

New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects.

Features of this book include:

• Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments
• Empirical examples drawn from a wide variety of fields including labour economics, finance, international economics, environmental economics and macroeconomics
• End-of-chapter exercises review key concepts in light of empirical examples
• A supplementary website, featuring additional materials including data sets for illustrations and exercises, can be found at www.wileyeurope.com/go/verbeek2ed

Reviews (3)

must have it
One of the very few econometric books that are possible to read for non-mathematicians. Recommend to everyone interested in econometrics.

Nice balance between proofs and intuition.
The strength of this book lies in the nice balance between mathematics and intuition. Although Wooldridge is easier to understand and better in the intuition department, he doesn't prepare you as well as Verbeek for what is yet to come: books like Econometric Analysis by Greene or Econometric Society Monographs. Verbeek uses much of the language found in scientific articles and more advanced works, without making the explanations unneccesary difficult.

If your goal is, however, not to go much deeper than introductory econometrics, then do yourself a favour and buy Introductory Econometrics by Wooldridge.

Econometrics Explained
I'm an econ grad student - and I'm always looking for books that give me insight on econometrics. This book does precisely that! Verbeek writes econometrics like others write novels, he develops the models clearly and logically. This book should be used in graduate and undergraduate programs everywhere. It's also good for the practicing economist who wants to brush up on econometrics. It's hard to find a text that offers this much intuition and still gives a good solid mathematical treatment of the subject. I've also used the standard "kennedy" book (too simplified), the Greene's textbook - technically thorough but doesn't do much for intuitive understanding - Verbeek's book is much more readable and useful in my opinion. ... Read more

Book Description

Time Series Models for Business and Economic Forecasting is the most up-to-date and accessible guide to one of the fastest growing areas in business and economic analysis. The author is regarded as one of the most accomplished econometricians in Europe and this book is based on his highly successful lecture program for multidisciplinary, graduate and upper level undergraduate students. Early chapters of the book focus on the typical features of time series data in business and economics. Later chapters are concerned with the discussion of some important concepts in time series analysis, the techniques that can be readily applied in practice, different modeling methods and model structures, multivariate time, and the common aspects across time series. ... Read more

Reviews (5)

Good introductory book !
Full of real-life examples that provide some intuitive insight about the issues that may arise when modelling time series and forecasting. Requires some initial knowledge in statistics and algebra but if you're involved in time series modelling, it should be your first book. All the data thats used is available in the authors webbsite for downloading, very nice.

nice book on time series for statisticians and economists
To make this review short, I will say that I agree with all seven points made by the reviewer from New York, NY, whomever he or she may be. Franses is clear, concise, authoritative and up-to-date on all the advances.

I particularly like the nice coverage of GARCH models that are new to me. It is a great introductory text especially for economics majors. For more advanced books and other treatments of time series consider Kennedy's fourth edition of "A Guide to Econometrics" or the suggestion from reviewer "New York, NY". Also my listmania list on time series will give you several sources to look at.

Excellent introductory book on economic time series modeling
Recently, I reread Franses book and expanded my review, which now includes 10 benefits.
(1) Organization by key features of economic time series (trends, seasonality, outliers, conditional heteroskedasticity, non-linearity), rather than by methods, which provides a practical foundation for the various methodologies. The order in which chapters are presented reflects the order of difficulty in modeling trends, seasonality, etc. Even if there were no other benefits, this organization makes it worthwhile.
(2) Appropriate level for first book on time series models as applied to economic time series, explaining more difficult concepts GARCH and VAR without excess detail. Box and Jenksins book is more a textbook; Brockwell and Davis is also more advanced; Hamilton is comprehensive and technical, but not as friendly. This book is very approachable even if you have had only 1 or 2 statistics courses. In economics, many people are interested in forecasting, and Franeses here is a good start. If you are looking for a more advanced forecasting book, try the recent books by Clements and Hendry from Cambridge U Press.
(3) Clear distinction of the steps of model identification, estimation, diagnostics, and selection; something which other time series analysis books do not seem to do early or easily. (4) Delineates stochastic and deterministic models in the second chapter, providing a framework for when to take differences (eg. ARMA vs ARIMA). His timing is excellent. Many people I have interviewed on time series do not understand why they need to difference (eg use prices instead of returns) or why to transform the series (eg use logs instead of actual values).
(5) Generous use of examples with real not simulated data with a website to download all the data, making it possible to import, graph, and analyze on your own.
(6) A website containing printing corrections. Techincal books are likely to have some errors, but very few keep websites to list what those are.
(7) Revealing graphics, especially for conditional heteroskedasticity, the 'CH' in GARCH. Figures 7.1-7.3 illustrate the concept that large returns tend to follow large returns very cleanly.
(8) His notation is clear and consistent, yet not overwhelming: conventional Greek letters, only 1 level of subscripting, matrix noation where appropriate; even the results are neatly presented, as standard errors appear in () below their point estimates. Finally, Franses uses the same notation from chapter to chapter where the term is the same--not so common when chapters written by different authors.
(9) Great appendices: extensive and updated references, a thorough subject index, and an author index. My only suggestion for improvement is that a second edition or the website should contain some exercises. Highly recommended.
(10) The price! There are books published under Wiley at 3 to 4 times the price! under Springer Verlag for 2 to 3 times the price. Certain books are worth the money, but Cambridge University Press paperback publications, when written well, are exeptional values. I encourage the ambitious time series student to look at other time series books, including one written this year by Franses including Quantitative Models in Market Research.

Excellent introduction into time series
This book is a brilliant introduction into time series analysis. I found it a great basis for further analysis, allowing to go into deep with, for example, J.D. Hamilton's classical work. The book has a very well-defined structure, which (in my opinion) serves both auto-didact and (under)graduate teaching. Check out the author's web-page at Erasmus University Rotterdam for a list with corrections of some typos and the data sets used.

This book is exceptional
The beauty of this text is it's clarity and the author's choice to stay away from didactic lectures on formal statistical mathematics. I would highly recommend this book for anyone who has an undergraduate background in mathematics, statistics or economics and wants a medium level text to show them how to model time series. ... Read more

Book Description

This book offers a comprehensive presentation of the mathematics required to tackle problems in economic analysis. To give a better understanding of the mathematical concepts, the text follows the logic of the development of mathematics rather than that of an economics course. After a review of the fundamentals of sets, numbers, and functions, the book covers limits and continuity, the calculus of functions of one variable, linear algebra, multivariate calculus, and dynamics. To develop the student's problem-solving skills, the book works through a large number of examples and economic applications. The second edition includes simple game theory, l'Hpital's rule, Leibniz's rule, and a more intuitive development of the Hamiltonian. An instructor's manual is available. ... Read more

Reviews (3)

Excellent for help with economic theory ...
Very useful book for calculations for economic application: I say applications, because the examples are extremely useful for use with economic courses or theory.

I am studying at undergraduate level, and have used this book along-side set texts for 3-4 courses ... including intermediate microeconomics (so, if you have the Varian set textbook, this book is extremely helpful!!, with lots of relevant examples).

Very useful, easy to understand (straight forward).

Some Comments on 'Maths. for Economics' by M.hoy
It is a good and comprehensive textbook for students who want to acquire from basic to advanced skills in calculus and linear algebria but unfortunately some important topics such as dynamic programming and Bellman equations which are currently used nowadays at many advanced level economics courses are found missing. I hope further editions would incorporate more explanatory information to guide beginners how to handle such new skills.

Clear and Clean
This is a very useful introductory text for economics students who want to plug into the mathematics needed for more advanced economics courses. The treatment of multivariate calculus is intuitive and clear, but I wish there was less pre-calculus and more work on total differentials and differential equations. Chiang is better for those topics. The introduction to dynamics is a useful preliminary look at this deep topic ... Read more

Book Description

This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. ... Read more

Reviews (2)

A very disappointing book: extremely complicated
Christian Gouriéroux is maybe the best French econometrician. In particular, his last discovery, the indirect inference, seems to be a very clever way of solving the problem of highly complicated likelihood functions. But in this book, only 4 pages are dedicated to present the subject, and they are filled with over complicated mathematical formulas and a very short explanation. The notations are extremely complicated for economists (at least for myself) and, if you don't have a very solid mathematical background, you'll feel lost from the beginning until the last one. Nor undergraduate economics students neither graduate applied econometricians should feel comfortable with the style of the book. I guess only professional researchers are aimed by this book. It's rather disappointing, because the array of subjects are very interesting and the author is a great econometrician.

Wonderful Introduction to the Topic
A truly wonderful book. If you like simulation-based methods or you are just interested in learning about the frontier in econometrics, buy this book. You are not going to find a better introduction or a clearer description of issues ... Read more

Book Description

With more and more physicists and physics students exploring the possibility of utilizing their advanced math skills for a career in the finance industry, this much-needed book quickly introduces them to fundamental and advanced finance principles and methods.

Quantitative Finance for Physicists provides a short, straightforward introduction for those who already have a background in physics. Find out how fractals, scaling, chaos, and other physics concepts are useful in analyzing financial time series. Learn about key topics in quantitative finance such as option pricing, portfolio management, and risk measurement. This book provides the basic knowledge in finance required to enable readers with physics backgrounds to move successfully into the financial industry.

* Short, self-contained book for physicists to master basic concepts and quantitative methods of finance
* Growing fieldmany physicists are moving into finance positions because of the high-level math required
*Draws on the author's own experience as a physicist who moved into a financial analyst position ... Read more

Reviews (1)

Nicely Crafted Econophysics
WHAT amazes me most in this nicely crafted presentation of hot topics in econometrics, mathematical finance, econophysics, and agent-based modeling is how the selection of topics is well-informed and how these pour out smoothly.
I will recommend this book to my own financial economics students as an up-to-date, quick-reference companion to classes and the lab.

The author holds a PhD in Physics, as one might presume.And he needed a manual like this one when he first got a job of financial data analyst. So he later on decided to write a book primarily intended to reach the audience of "physicists who want to work on Wall Street yet have not bothered to read anything about finance".Yet I think the book should be of interest to the financial community at large, academics and practitioners.Great stuff.
... Read more

Reviews (3)

State-Space Models with Regime-Switching:Classical and Gibbs
This is basically the only book around on this subject, and they do have useful informations as well. I think explanation is concise enough to clearly understand. I found this book to be useful because of those. The only thing is some typos (which I think is inevitable for this kind of book) and program software on the web which is not very clearly written.

A waste of time.
This book is poorly written. It has numerous typos. The authors never even bothered to explain some of the math notations they used. Apparently, I believe some the examples were copied from other books without a clear explanation of the notations. You'll end up scratching your head on the notations and typos. I wasted a lot of time reading this book. They never mentioned some of shorting comings of using Gibbs Sampling, and ignore some of alternative methods that are far superior in many other respects.

excellent book on regime switching
This is really great book for understanding regime switching and state-space models.As far as I know this is the first book that includes both topics together.It is easy to understand and supporting applications at the end of the each chapter make things easier for the reader.Furthermore, it also tells about bayesian econometrics and gibbs-sampling approach.In short,it is a must buy book for a economics graduate student who is interested in nonlinear time series econometrics ... Read more

Book Description

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical (those for which a suitable category can be found but where no actual measurement exists) or truncated (those that can be observed only in certain ranges). Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling. Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author. ... Read more

Reviews (4)

the best of it's kind
in microeconometrics methods is one of the best books one could have. to acomplish this book you need another in panel data, like for example cheng hsiao's book. With this two books you have all you need to work in microeconometrics

good book, useless index
the biggest problem with this book is the poor index. it is pretty much only by author, with almost no subject listings. other than that this is one of the best guides to applied econometrics that i have seen.

A Classic
This book is a classic, having educated generations of Economists on how to do micro-econometrics. But, published in 1983, it is rather out of date and crying out for a new edition.

For Probit and Tobit Regressions....This is the book to have
Any graduate student must have this book on his shleves...Maddala explains probit, logit, tobit regressions very clearly....Examples are concrete and based on daily problems....A must have!!! ... Read more

Book Description

Elements of Forecasting, 3e is a concise, modern survey of business and economic forecasting methods.Written by a leading expert on forecasting, it focuses on the core techniques of widest applicability and assumes only an elementary background in statistics.It is applications-oriented and illustrates all methods with detailed real-world applications, many of them international in flavor, designed to mimic typical forecasting situations.In many chapters, the application is the centerpiece of the presentation. ... Read more

Reviews (4)

Third edition is no better
I posted the unfavorable review of the second edition. I have recently had an opportunity to see the third edition, and find the same errors are still present.

an embarrassingly slapdash and sloppy book
There were a considerable number of errors in the first edition that I pointed out to the author shortly after its publication. The second edition seems to have corrected few if any of them. Let me cite two egregious examples.

In the chapter on ARMA models, the example analyzed is Canadian Employment data. One of the models that is fit is an MA(4) -- see pages 164-6. When I tried to reproduce these results using software other than EVIEWS, using the data disk in the 1st edition, I couldn't. I contacted EVIEWS and they discovered a programming error in the estimation routine. They released a patch to fix EVIEWS. However, the author never re-estimated his model, and the estimates in the second edition are the same as in the first. However, my copy of the 2nd edition has no data disk! Was that thought to be an adequate solution?!

Chapter 9 ("Putting it all together") is a capstone chapter that analyzes liquor sales data using the techniques introduced in earlier chapters. After several pages (pp. 207-19) a model is selected. On pages 220-2, the residuals are examined using the Box-Ljung statistic, and deemed acceptable. However, as a careful examination of table 9.6 makes clear, the p-values for the Box-Ljung statistic were computed as if the input data were a raw series. The model generating the residuals (p. 219) had 3 autoregressive terms! This changes the d.f. in the chi-square distribution of the statistic. If you make the appropriate correction using the data in table 9.6, and compute the p-values correctly, you will see that the model residuals apparently ARE NOT white noise. One reason is a calendar effect in liquor sales: months that contain more than a usual number of Fridays and Saturdays result in more liquor sales; ones with more Sundays result in lower liquor sales. However, the author doesn't discover this, but accepts his inappropriate model on the basis of faulty distribution theory.

Good, but poor examples
If the purpose of using this book is to get a brief idea of what certain concepts are then it is a good book. Unfortunately, many people using this book are going to be those who do not have much background with the concepts inside and they will be looking for clearer explanations of what the author is talking about. I think that is the book's weakness: the fact that many times I didn't feel that his definitions and explanations were complete enough.

Excellent introductory guide to forecasting !!!
The use of practical examples (using the Eviews software) and the availability of a data disk makes this a very relevant guide for practitioners. There is a good section on graphical analysis and modelling of cycles using AR and MA processes. The mathematics is kept simple and clear, intuitive explanations are given throughout. The treatment of unit roots, cointegration and other advanced materials is quite sketchy but I guess that is to be expected in an introductory text. With the level of clarity evident throughout this book, I certainty hope Diebold follows up with another book on more advanced forecasting techniques. ... Read more

Book Description

This introduction to contemporary topics in the modelling of financial time series is data and problem driven, giving students the skills to estimate and interpret models, and intuitively grasp the underlying theoretical econometrics. An introductory knowledge of calculus, algebra, statistics and regression analysis is assumed. The book focuses on the needs of finance students and uses pedagogic textbook features throughout, notably in the later chapters, which offer advice on planning and executing a project in empirical finance, and which also evaluates sources of on-line financial information. ... Read more

Reviews (1)

A practical approach to financial econometrics
As a professor of financial econometrics in a master's degree course in accounting, I was eagerly searching for a book which should be comprehensive, understandable, and practical. Professor Brooks book came to me as a auspicious surprise. It is very readable, it contains chapters on the main topics of modern empirical studies in finance and accounting, and it brings a lot of exercises not only at the conceptual level, but also exercises with software applications, which are described in detail throughout the book. The only problem is that the software exercises are carried out with data taken from a British company that does not supply them freely. Therefore, unless someone is willing to spend a little fortune, one must reproduce the exercises using alternative data (in my case, data for Brazilian companies or the Brazilian stock market). Of course, it is not possible to get to the results presented in the book, so that the reader's analysis and conclusions might be different from the book's, which may bring doubts about the correctness of the reader's exercise. Despite this, the book is really very good as a text and exercise book for a financial econometrics course at the MSc level, and also a good starting point for those willing to embark on empirical studies in finance and accounting. ... Read more

Book Description

This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets. ... Read more

Book Description

Why do economies grow? What fixes the long-run rate of growth? These are some of the simplest, but also hardest, questions in economics. Growth of lack of it has huge consequences for a country's citizens. But for various reasons, growth theory has had long fallow patches. Happily, this is changing.

In 1956 Robert Solow developed what became the standard neo-classical model of economic growth. Counties grow, on this theory, by accumulating labour and capital. Adding either obeys diminishing returns: the more labour or capital you already have, the more you need for a further given jump in output. One consequence is that an economy with less capital ought to outgrow one with more. Generally, they do. Another is that growth should eventually drop to zero. Awkwardly, it stays positive. To save the theory, long-run growth was explained by an outside factor, technical innovation, which is not in the growth function itself--hence the label "exogenous" for the Solow family of models.

Partial as it was, the Solow model won wide acceptance and growth theory slumbered for three decades. Then came two changes. One was an attempt to add technical change and other factors to labour and capital within the growth function so that the model might predict long-run growth without leaning on outside "residuals"--the so-called "endogenous" approach. The other was a huge number of factual studies.

Barro and Sala-i-Martin explain all this and more with admirable clarity (and much demanding maths) in the first modern textbook devoted to growth theory. The main theories are examined. The stress throughout is on linking theory to fact. One of three chapters on empirical work suggests how much each of several possible factors would be needed to explain differing international growth rate--not an explanation itself, but an indispensable set of empirical benchmarks.

from The Economist, 17 February 1996 ... Read more

Reviews (7)

Macro Musings
By David Guy Atkin
As somewhat of a social insomniac, I have an exorbitant amount of time laying in bed doddling. While playing games with myself is somewhat amusing, I have found the most amazing solution. THIS BOOK! A stimulating read...perfect for rest, relaxation, and casually flipping thru during spare time...especially, the rigorous development of the dynamics of the Uzawa-Lucas model...the illustrations are captivating and encapsulate all I love about Economics and New Jersey.

Economic Growth is just Super!
Prior to having used this book, Macroeconomics was the bain of my life. A short sweater wearing Frenchman assigned it as the set text of his course and everything changed. The models are clear, lucid and stimulating. The exposition is first rate and the mix of theory with empirics is frankly breathtaking.

I used to turn up 20 minutes late to macro lectures out of fear, now I wake up early asking myself "How can I make Peru grow faster". Is Economic Growth dull? Now, not so much as not at all...

Excelent Book
This is an excelent book that covers very well "the old and new" Growth Theory". However it is a very hard book and be prepared to use everything you know about math and economics. Perfect book for graduation courses in growth theory. My only suggestion is to include a chapter about the efect of institutions on the economies.

Taking Xavier's Class at Columbia? This book is a must
Hi, I ran into this book while taking Professor Sala-I-Martin's Intermediate Macro class at columbia. I found it to be much clearer and useful as compared with the assigned textbook. His final is impossible without it, get it early and follow along when he discusses the Solow Swan model, Endogenous growth rate, etc. You'll thank me when you ace the final.

One of the principal books about the modern economic growth.
"Economic Growth" by Robert Barro and Xavier Sala-I-Martin is one of the best book about economic growth theory who I've seen. This book together with "Advanced Macroeconomics" by David Romer and "Endogenous Growth Theory" by Philippe Aghion and Peter W. Howitt are the principal books about all the modern economic growth theory. I recommend very much this book. PD. I bought the last book, sorry. ... Read more

Book Description

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Covering bond, equity and financial markets, it is essential for scholars and practitioners wishing to acquire an understanding of the latest research techniques and findings in the field, and also graduate students wishing to research in financial markets. It provides many examples to illustrate techniques that are only just emerging in the technical literature. ... Read more

Reviews (2)

Poorly Written and Unclear
Obviously patched together from topics written over a period of time, this book is not cohesive nor understandable. Mills doesn't spend any words developing his topics nor explaning the development. Spend your resources on Hamilton's classic and great definative bible, Time Series Analysis instead.

it's a terrific book for non-linear time series analysis
This is a very compact, practical book. It edits in a very readable way. What I like it most is that it contributes to non-linear time series analysis a lot, whereas not too many other time series related books do. The real data in the appendix can be downloaded and played around by the readers. You will really have a great time to read it. ... Read more

Book Description

Bayesian Econometrics introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require previous training in econometrics. The focus is on models used by applied economists and the computational techniques necessary to implement Bayesian methods when doing empirical work. It includes numerous numerical examples and topics covered in the book include:

• the regression model (and variants applicable for use with panel data
• time series models
• models for qualitative or censored data
• nonparametric methods and Bayesian model averaging.

A website containing computer programs and data sets to help the student develop the computational skills of modern Bayesian econometrics can be found at: www.wiley.co.uk/koopbayesian ... Read more

Reviews (1)

Great book
This is GREAT book which explains complicated concept in a very plain manner. The computer program (MATLAB) they posted on the web is also crearily written and very organized. I highly recommend this book for anyone who are interested in Bayesian Econometrics. ... Read more