Book Description

Empirical and theoretical evidence on the German service sector is inversely related to its growing overall importance for the entire economy. This monograph offers a comprehensive theory-based econometric treatment of three important and severely understudied issues related to services: innovative activity, the effects of innovation on the demand for labour, and the performance of newly founded firms. In addition, the book contains detailed descriptive statistics on innovative activity, skill mix as well as on growth and current economic importance. It offers researchers, policy makers, and practitioners a unique opportunity to gain knowledge on the new German service economy. ... Read more

Book Description

Classics in Game Theory assembles in one sourcebook the basic contributions to the field that followed on the publication of Theory of Games and Economic Behavior by John von Neumann and Oskar Morgenstern (Princeton, 1944). The theory of games, first given a rigorous formulation by von Neumann in a in 1928, is a subfield of mathematics and economics that models situations in which individuals compete and cooperate with each other. In the "heroic era" of research that began in the late 1940s, the foundations of the current theory were laid; it is these fundamental contributions that are collected in this volume. In the last fifteen years, game theory has become the dominant model in economic theory and has made significant contributions to political science, biology, and international security studies. The central role of game theory in economic theory was recognized by the award of the Nobel Memorial Prize in Economic Science in 1994 to the pioneering game theorists John C. Harsanyi, John Nash, and Reinhard Selten. The fundamental works for which they were honored are all included in this volume.

Harold Kuhn, himself a major contributor to game theory for his reformulation of extensive games, has chosen eighteen essays that constitute the core of game theory as it exists today. Drawn from a variety of sources, they will be an invaluable tool for researchers in game theory and for a broad group of students of economics, political science, and biology. ... Read more

Reviews (2)

more for specialists
I love this book -- but this is what I do. I doubt someone looking to learn game theory on their own is going to find this of any interest. Any serious student of game theory should find it very useful.

A classic
This book takes you through the land that Von Neumann, in my opinion, created. There is no way any game theorist or game theory novice can appreciate the lenghts to which the field has expanded, without first understanding its roots. It contains the actual report, where Nash defined what is now the basis for all game theory, the Nash equilibrium! That is true excitement ... Read more

Book Description

World Development Indicators, the World Bank's respected statistical publication presents the most current and accurate information on global development on both a national level and aggregated globally. This information allows readers to monitor the progress made toward meeting the goals endorsed by the United Nations and its member countries, the World Bank, and a host of partner organizations in September 2001 in their Millennium Development Goals.

The 400-page print edition of World Development Indicators 2004 allows you to consult over 80 tables and over 800 indicators for 152 economies and 14 country groups, as well as basic indicators for a further 55 economies. There are key indicators for the latest year available, important regional data, and income group analysis. The report contains six thematic presentations of analytical commentary covering: World View, People, Environment, Economy, States and Markets, and Global Links.

The CD-ROM editions contain 40 years of time series data for more than 200 countries from 1960-2002, single-year observations, and spreadsheets on many topics. It contains more than 1,000 country tables and the text from the World Development Indicators 2004 print edition and the World Bank Atlas 2003. The Windows® based format permits users to search for and retrieve data in spreadsheet form, create maps and charts, and fully download them into other popular software programs for study or presentation purposes. ... Read more

Reviews (1)

Statistical Modelling and Inference for this Century
I used "In All Likelihood" as a basis for the 13 week 3rd year Mathematical Statistics/ Statistical Inference course I have almost finished teaching. Finding this book at Amazon was my very good fortune. It is exactly the way I would have tried to write such a course but I couldn't have done as good a job as Pawitan.

I like this book because it covers all the theory, such as, sufficiency, completeness, minimum variance unbiased estimation, large sample asymptotics etc. But the beauty of the book lies in the relevant, modern examples. Likelihood functions are liberally graphed for the many examples. These are created in R; if you are an R user, or wish to be, you'll like the availability of the source code. If you're not into R, it won't make a difference to the usability of the book.

Books like Bickel & Doksum, Casella & Berger and Rice, have the theory, but not the range of practical examples that add so much to "In All Likelihood". Pawitan's theoretical sections are comparatively easy to follow. Pawitan points out important results rather than the reader needing to surmise what bits of theory are useful in practice.

On the other hand, since reading Pawitan I can now read sections out of McCullough and Nelder, and other applications books, no longer feeling I have missed some important background theory.

I see signs of good teaching practice throughout "In All Likelihood" that make it easy to learn and teach from. For example, difficult concepts are often initially introduced in an example and then reintroduced in technical detail. This way the learner feels some familiarity the second time around.

Semester is nearly over. We covered the first nine chapters (out of 18) in 38 hours of lectures. I'm reading the rest of the book now. Every page or two something else I have heard, seen or read in the past begins to make more sense. Examples of topics in the second half of the book are the EM algorithm, Generalized Estimating Equations and random/mixed effects models. I told my students that if they considered buying a book for their future in statistics, "In All Likelihood" is a very good one. ... Read more

Book Description

Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation.

Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance.

This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance. ... Read more

Book Description

Economies evolve and are subject to sudden shifts precipitated by legislative changes, economic policy, major discoveries, and political turmoil. Macroeconometric models are a very imperfect tool for forecasting this highly complicated and changing process. Ignoring these factors leads to a wide discrepancy between theory and practice.

In their second book on economic forecasting, Michael P. Clements and David F. Hendry ask why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to economic forecasting, they look at the implications for causal modeling, present a taxonomy of forecast errors, and delineate the sources of forecast failure. They show that forecast-period shifts in deterministic factors--interacting with model misspecification, collinearity, and inconsistent estimation--are the dominant source of systematic failure. They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, co-breaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors). Finally, they present three applications to test the implications of their framework. Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and model-based policy analyses. ... Read more

Reviews (1)

Excellent
The book is up-to-date and advanced where materials cannot be found from some other general time series texts. ... Read more

Book Description

Given extensive use of individual level data in Health Economics, it has become increasingly important to understand the microeconometric techniques available to applied researchers. The purpose of this book is to give readers convenient access to a collection of recent contributions that contain innovative applications of microeconometric methods to data on health and health care.

Contributions are selected from papers presented at the European Workshops on Econometrics and Health Economics and published in Health Economics. Topics covered include:

• Latent Variables
• Unobservable heterogeneity and selection problems
• Count data and survival analysis
• Flexible and semiparametric estimators for limited dependent variables
• Classical and simulation methods for panel data
• Publication marks the tenth anniversary of the Workshop series.

... Read more

Reviews (1)

Wonderful text
Very interesting. This book is a "must to have" for any researcher in health economics. ... Read more

Book Description

Are foreign exchange markets efficient? Are fundamentalsimportant for predicting exchange rate movements? What is thesignal-to-ratio of high frequency exchange rate changes? Is itpossible to define a measure of the equilibrium exchange rate that isuseful from an assessment perspective? The book is a selective survey of current thinking on key topics inexchange rate economics, supplemented throughout by new empiricalevidence. The focus is on the use of advanced econometric tools tofind answers to these and other questions which are important topractitioners, policy-makers and academic economists. In addition, thebook addresses more technical econometric considerations such as theimportance of the choice between single-equation and system-wideapproaches to modelling the exchange rate, and the reduced form versusstructural equation problems. Readers will gain both a comprehensive overview of the waymacroeconomists approach exchange rate modelling, and an understandingof how advanced techniques can help them explain and predict thebehavior of this crucial economic variable. ... Read more

Reviews (1)

Guidance for modelling exchange rate
The book provides answers to the key issues on exchange rate modelling supported by empirical evidence.It gives a comprehensive overview of the econometrics technique used for modelling exchange rate from macroeconomicperspective.

It is an essential guidance for those readers generallyinterested in the topic and those practitians actually trying to model theexchange rate. ... Read more

Book Description

Thisworkbook consists of exercises taken fromLikelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together with worked-out solutions. ... Read more

Reviews (1)

necesary for readers of cointegration
In this book are solved the problems of the clasical book of Soren Johansen (likelihood based inference in cointegrated autorregresive vector), the problems may be help you the book is excellent for teachers in advanced econometrics ... Read more

Book Description

Applied econometric research is concerned with the measurement of the parameters of economic relationships and with the prediction (by means of these parameters) of the values of economic variables
Dependent variable is the value of a function that is determined by the function and the value(s) chosen for its independent variable(s). The generalized method of moments (GMM) estimation has emerged over the last decade as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. Panel, or longitudinal, data, are data on constant experimental units over a period of time. Nonparametric methods are any of various inferential procedures whose conclusions do not rely on assumptions about the distribution of the population of interest.
This book uses a GMM approach to make its presentation of panel data methods for weak model assumptions ("semiparametric"). These assumptions are useful because they can offer general approaches and explain real problems. So while the subjects covered by this book are narrower than those appearing in a comprehensive book on panel data, the utility of the material (that is, the book's ability to make accessible practical computation and implementation methods) is higher.
An economic system typically consists of many interdependent variables and the relationships among them. In estimating the equations of such systems, econometricians frequently encounter an obstacle known as "the identification problem." The latter is most easily illustrated by reference to the process of determination of price and output in a market. To model this process the econometrician must develop a quantitative estimate of both the demand and supply functions. Typically the data used to estimate these functions are past observations of price and output determined by the points of intersection between the demand and supply curves. If, in the past, the supply curve has been shifting (due, say, to production cost changes) while the demand curve has remained fixed, the resultant intersection points trace out the demand function. If the demand curve has shifted (due, say, to income changes) while the supply curve has remained fixed, the intersection points trace out the supply curve. The most likely outcome is movement of both curves yielding a pattern of price, quantity intersection points from which the econometrician will be unable, without further information, to distinguish the demand curve from the supply curve or estimate the parameters of either. This is the identification problem.

Key Features
* Describes recent developments in panel-data econometrics
* Emphasizes estimation methods
* Focuses on practical implemention and computational feasibility of estimation methods
* Compares parametric and semiparametric approaches, highlighting advantages of new methods
* Provides distribution-free estimators for limited response models
* Includes standard programs with accompanying data sets on disk
* Presents computational steps and recent methods in panel data analysis
* Describes main theoretical ideas behind the generalized method of moments (GMM) estimation ... Read more

Book Description

This is the classic work upon which modern-day game theory is based. What began more than sixty years ago as a modest proposal that a mathematician and an economist write a short paper together blossomed, in 1944, when Princeton University Press published Theory of Games and Economic Behavior. In it, John von Neumann and Oskar Morgenstern conceived a groundbreaking mathematical theory of economic and social organization, based on a theory of games of strategy. Not only would this revolutionize economics, but the entirely new field of scientific inquiry it yielded--game theory--has since been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations. And it is today established throughout both the social sciences and a wide range of other sciences.

... Read more

Reviews (2)

An Obvious Classic But . . .
Let me start out by acknowledging that this is THE BOOK that started Game Theory as it exists today. While Bayesian statistics are an obvious precursor, everyone agrees that von Neumann's and Morgenstern's work was ground breaking.

That said, this is not the best written Game Theory text out there. Like all seminal works, it suffers from the basic fact that we've learned a lot of new things since the time it was written. Many people have gone on to build and expand on the insights contained in this book, especially in the area of bargaining and cooperative game theory.

This is a very impressive book to keep on your shelf, and the discussion of poker and the role of bluffing is very interesting, but, owing largely to the 60+ years that have passed since its initial publication, it's not the best reference work or study material available.

Another word of warning: The review below is correct that the level of math that you must understand to fully appreciate this book is quite substantial. This book is more for the mathematically sophisticated who want to develop an appreciation for the origins of game theory.

Landmark work but heavy going

I'm not even sure I'm qualified to pass judgement on this book, but what I understand, I give 5 stars without hesitation. The authors discuss almost every class of game (2-person, 3-person, zero-sum, non-zero-sum, etc.) and even a very simplified version of poker.

You basically have to be a mathematician to get full value from this book. This book is absolutely full of equations and complex proofs. For a beginner with little math, I'd recommend Game Theory by Morton Davis, or for someone with some university math I'd recommend Games and Decisions by Luce and Raiffa. However, if your math is good, you might as well go straight to this book, which started the whole field of game theory. ... Read more

Book Description

In this interesting survey of recent developments in the field of cointegration, the authors discuss how cointegration (the linking of long run components of a pair or of a group or series), can be used to discuss some types of equilibrium and to introduce those equilibria into time-series models in a fairly uncontroversial way. The authors discuss the basic ideas in their introduction and the final chapters review the most recent developments in the field in a non-technical manner. ... Read more

Book Description

Designed to promote students' understanding of econometrics and to build a more operational knowledge of economics through a meaningful combination of words, symbols and ideas. Each chapter commences in the way economists begin new empirical projects--with a question and an economic model--then proceeds to develop a statistical model, select an estimator and outline inference procedures. Contains a copious amount of problems, experimental exercises and case studies. ... Read more

Reviews (5)

Excellent on intuition and good preparation for Greene
This book is very good at giving brand new students of econometrics the intuition behind concepts. At the same time, it does not ignore the mathematics (calculus and linear algebra) and thus it is a good preparation for Greene.
One thing I don't like about this book is notation. For example, the book refers to the mean as beta instead of mu. I do prefer Gujarati's notation much better.
It would also be very nice to have an update of this great textbook since it was written in 1993.

Thank you,

The best undergraduate econometrics book
Instills understanding by slowly going through derivations and principles, while at the same time motivating econometric analysis by referring to economic situations where it can be used. Much better than Gujarati (which tends to be a "cookery book" rather than giving an integrated treatment).

The only weakness of the book is that it focusses almost exclusively on estimation under the assumption that error terms are identicallly and independently distributed (iid). However, all other undergraduate econometric textbooks (and a lot of graduate ones too!) display this preoccupation, so Griffiths et al are no worse than their rivals.

An update to this book would also be good, as it's nearly 10 years old now.

However, its good points far outweigh these weaknesses.

Good applied econometrics for undergraduates
This book is excellent for beginners in econometrics. It is particuarly useful for people not wanting to know all the mathematics ( algebra and matrix approach) behind econometrics. Students doing term papers find it very practical as they want to know how to go from theoretical econometrics to empirical econometrics.

The Perfect Bridge to Greene
This is a great beginner's textbook. Whereas some, like Greene, are going to be too hard for some beginners, and others like Gujarati are far too basic, this book strikes an excellent balance. It's best feature is all the worked examples is gives you, including the raw data used, allowing you to enter the data into a statistical package and make sure you get the same result. This is a great confidence builder!

Good book but maybe too ...
This is a good book for beginners. I found the idea of explaining the whole process by examples really interesting but if you're gonna go deep in econometrics maybe this is not your book. It takes you by the hand and that's a great thing for the ones who don't know this great science and after all I did appreciate this book! ... Read more

Book Description

This is the second of a two-volume set of articles reflecting the current state of research in theoretical and applied econometrics. All the contributions were commissioned to be presented at the plenary sessions of the Sixth World Congress of the Econometric Society in Barcelona. ... Read more

Book Description

Comprising of seven up-to-date comprehensive surveys from leading scholars in Econometrics, this book follows the format of the highly successful book, Surveys in Econometrics, edited by Oxley, et al.(Blackwell Publishers 1995).This collection is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses, as well as a wider range of academics and professional economists.The contributions consider a range of contemporary topics from the area of cointegration and unit root testing where empirical examples are used wherever possible to illustrate the issue at hand.The topics range from issues associated with seasonality and cointegration, to panel unit root tests and the econometrics of I(2) processes. ... Read more

Book Description

This collection of papers explores the major developments in the analysis of non-stationary time series and cointegration. It provides comprehensive coverage of the depth of the current research and demonstrates the importance of an understanding of non-stationarity and cointegration. Papers cover David Hendry's work on forecasting, Peter Phillips' work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Also included is an overview of the different estimators of cointegrating relationships and a new test of cointegration. ... Read more

Reviews (2)

Difficult to read, even more difficult to apply...
The authors have attempted the difficult task of gathering
in this book a lot of recent research results on Levy processes in option pricing. Many of the results in the book are due to the authors themselves, who are specialists of the field of pseudodifferential calculus.
There are a lot of references, not only to their own work but also to others, in maths and finance, which is useful.
However, perhaps because of their own background, they have chosen to describe these models using the theory of pseudo-differential operators, a technicallly difficult theory which is not even known to most mathematicians. The result is that the book is impossible to read for non mathematicians and difficult to read even for mathematicians who do not have a background incomplex analysis and pseudo-differential operators. In fact I think that it is unncessarily complicated since none of the articles cited use pseudo-differential operators and everything could have been formulated using elemnetary manipulation of Fourier transforms.
Another problem is that they give no real world applications
on pricing and hedging...
Finally, by insisting on 'general results' instead of explicit examples the authors reduce even more the readability.

unreadable
This book is like the author's names: unreadable. If you are a hard-core mathematician you maybe like it. If you are a practicioner forget it. Although they claim it, this stuff is not useful in practice. There are also no real application worked out. The stuff on exotics is nice in theory, but not applicable in practice. You are much better of with Shiryaev's book or the book of Schoutens ... Read more

Book Description

This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. It is a well-integrated textbook presenting a wide diversity of models in a coherent and unified framework. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods recently developed for the specific needs of econometrics. Although the two volumes do not demand a high level of mathematical knowledge, they do draw on linear algebra and probability theory. The breadth of approaches and the extensive coverage of this two-volume work provide for a thorough and entirely self-contained course in modern economics.Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory. ... Read more

Book Description

Adonis Yatchew provides simple and flexible (nonparametric) techniques for analyzing regression data. He includes a series of empirical examples with the estimation of Engel curves and equivalence scales, scale economies, household gasoline consumption, housing prices, option prices and state price density estimation.The book is of interest to a broad range of economists including those working in industrial organization, labor, development, and urban, energy and financial economics. ... Read more