Book Description

This book provides the tools and concepts necessary to study the behavior of econometric estimators and test statistics in large samples. An econometric estimator is a solution to an optimization problem; that is, a problem that requires a body of techniques to determine a specific solution in a defined set of possible alternatives that best satisfies a selected object function or set of constraints. Thus, this highly mathematical book investigates situations concerning large numbers, in which the assumptions of the classical linear model fail. Economists, of course, face these situations often.

Key Features
* Completely revised Chapter Seven on functional central limit theory and its applications, specifically unit root regression, spurious regression, and regression with cointegrated processes
* Updated material on:
* Central limit theory
* Asymptotically efficient instrumental variables estimation
* Estimation of asymptotic covariance matrices
* Efficient estimation with estimated error covariance matrices
* Efficient IV estimation ... Read more

Reviews (4)

A must-have.
This book is a must-have for serious econometrics students who want to specialize in asymptotic theory. But the price of this book is an outrage (...). The publisher should really consider publishing a paperback version to make it more affordable.

I also recommend Davidson's Stochastic Limit Theory and Billingsley's Convergence of Probability Measures.

a good source for quick references
I agree with other reviewers - it's a great book, but I just wanted to add a few comments. The book is well organized and covers many results in asymptotics of linear regression model. The book is also very compact and gets you directly to the point. If you compare it, for example, with "Stochastic Limit Theory" by Davidson, which is the great book by the way, in the last one you have to go through 300 of pages of mathematics and probability background before you get to stochastic convergence. But a large number of results were left without a proof and the author provides references to other books instead, so if you want to go more deeply into the topic you would need another 3-4 books to read with it (or to get Davidson's book). Also, a few very important results for asymptotics of linear regression has not been mentioned. For example, "persistence excitation" result (Lai, Robbins and Wei, 1978) was not mentioned, which is strange, because it can be very useful for proving strong consistency of LS estimators and in many cases is much easier to apply than LLN.

A very useful resource
This is a must-have for economists who do any work with theoretical econometrics. It is the kind of book I wish I had when I was a graduate student in economics. It provides kind of a theoretical backing to books like Greene and updates the more difficult to read econometrics texts of long ago like Theil.

White starts out easy (easy if you do econometrics, that is). The linear model and the consequences of violating the basic assumptions. But from the basic beginning, the book goes far and seems to focus on those issues I consider to be most important (and things I didn't get first time around). And it takes you up to the "cutting edge."

Too often, things like Laws of Large Numbers and Central Limit Theory are thrown at you like a tool that you must accept. But reading White's book helps you understand why these things work the way they do. I found this helpful.

One more thing: Solutions in the back! perhaps this will start a trend.

Some of the items might be difficult if you haven't had a bit of analysis or your understanding of applied econometrics isn't too good. But I guess if you pick up something called "Asympotic Theory" you know what you are getting into.

I enjoyed it.

The best introduction on Asymptotic Theory for Econometrics
This book provides the basics of asymptotic theory for linear econometric models. It presents very clearly the classical assumptions concerning linear models, and shows the implications from them. Then, it relaxes each assumption, and compares the results with those obtained previously. This makes the book very readable and understandable.

Of course, the reader is required to have taken a course in Econometrics, and should be used to matrix notation.

I strongly recommend this book for those who wish to deepen their undertanding on Econometric Theory. I think this is the first book to be read.

The exercises are proposed in the body of the text and should be solved before going on, because in fact they are part of the text. The solution is in the end of the book. ... Read more

Book Description

A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. It focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts.This book is an exceptional text for readers who require a quick access to the foundation theories in this field. Chapters are organized to provide clear information and to point to further readings on the subject. Important topics covered include:serial correlation

heteroskedasticity

nonparametric and semiparametric models

count and panel data regression models

spatial correlation. ... Read more

Book Description

Composed in honor of the 65th birthday of Lloyd Shapley, this volume makes accessible the large body of work that has grown out of Shapley's seminal 1953 paper.Each of the twenty essays concerns some aspect of the Shapley value. ... Read more

Reviews (1)

An excellent collection of essays.
The book is an excellent collection of essays related to the Shapley value. Much of what is there is difficult to get from journal papers, since the papers, including the seminal ones, were published in rather obscure journal. This is a good buy for a specialist in game theory. ... Read more

Book Description

This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets.   It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis.   Emphasis is placed on theory, testing and explaining ‘real-world’ issues.

The new edition will include:

• Updated charts and cases studies.
• New companion website allowing students to put theory into practice and to test their knowledge through questions and answers.
• Chapters on Monte Carlo simulation, bootstrapping and market microstructure.

Reviews (3)

Excellent Book Emphasizing Time Series
This book contains one of the clearest discussions of the CAPM model that I have found anywhere.It is also quite rigorous.It also contains one of the most vague treatments of utility functions in existence.Overall this is an outstanding book on financial economics.Potential sophisticated readers should be aware that the book does rely almost exclusively on time series analysis and therefore is subject to the limitations associated with the same.But for a good clear introduction of the subject from a time series point of view the book is really hard to beat.

Excellent Introduction to Financial Economics
An excellent book to start understanding quantitaive methods in financial economics. This could serve as one of the best introductions to the first-timers. The author has taken care to explain the concepts in a lucidmanner to prepare the student to take on the concepts at a greater detail.He even touches upon complex issues like stock market 'anomalies' andmodels of noise trader behaviour. The discussion on 'rational bubble'isalso quite helpful. On the whole, a very good text to understandcompeting theoritical models in financial economics and their applicabilityin various markets like stock, bond and currency market.

Quantitative Financial Economics : Stocks, Bonds and Foreign
A superb book particularly attractive for those who intend to learn about the application of econometric techniques to finance but likely to find its peer book by Campbell,Lo,McKinlay a bit too advanced... ... 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 (2)

Very good
I have read both hardcover texts by these authors (Undergraduate Econometrics & Learning and Practicing Econometrics) This book follows very closely with the examples presented in the textbook. Unfortunately the book doesn't go into more advanced topics(eg. Poisson, Negative Binomial...). Comparing it to other books, it is much easier to read than Green's Econometric Analysis, but does not go into the greater depth of topics as Green. IMO it helped me learn SAS quite a bit. Four months ago I had no idea how to use it.

Econometrics and SAS were meant to be together
I thought that this manual really helped me in my job. It was a great aid to the knowledge that I already had about SAS and has been a wonderful resource for me. ... Read more

Book Description

Book Description

Weather and climate extremes can significantly impact the economics of a region.This book examines how weather and climate forecasts can be used to mitigate the impact of the weather on the economy. Interdisciplinary in scope, it explores the meteorological, economic, psychological, and statistical aspects of weather prediction. Chapters by area specialists provide a comprehensive view of this timely topic.They encompass forecasts over a wide range of temporal scales, from weather over the next few hours to the climate months or seasons ahead, and address the impact of these forecasts on human behavior. Economic Value of Weather and Climate Forecasts seeks to determine the economic benefits of existing weather forecasting systems and the incremental benefits of improving these systems, and will be an interesting and essential text for economists, statisticians, and meteorologists. ... Read more

Book Description

The book develops an inclusive method for economic planning from Gandhi's voluminous writings, a method which addresses many of the concerns of contemporary policy making. With a loss of faith on the part of the policy makers in large ideological models, and a rise in pragmatism, it jas become necessary to develop a more systematic method of putting together the knowledge that economists have developed about different components of the economy. In this book, Ganghian ideas are used to put together such a method. ... Read more

Reviews (2)

An original idea worth considering
This is a really original book. I have never seen Gandhi interpreted in this way. It has helped me understand why Gandhi was ignored when ideology ruled the world. And now that ideology has fallen apart, Gandhian method does look a viable alternative. This book outlines the method in a rigorous and yet accessible fashion.

Economics after ideology
Economics today is dominated by pragmatism. And what is considered pragamatic can change all the time. George Bush may have been elected on a platform of smaller government, but that has not stopped him from launching a major expenditure thrust that has converted a stable surplus budget into a major deficit one. If this change is good for America and the world, fine. But how can we be sure that he is not just doing what is expedient?

It is in such situations that a revival of Gandhian method could be useful. Pani manages to bring out a method from Gandhi's writings that can help ensure that pragmatism does not degenerate into expediency. He builds a consistent inclusive method and places it in the context of recent debates on economic methodology. As such an exercise has not been tried out before, some of its elements will surprise Gandhians. And some of the implicit recomendations, like the need to focus on the individual rather than national economies, will surprise mainstream economists. But at a time when ideology has failed, a scientific return to Gandhi does appear promising. ... Read more

Reviews (5)

Good for graduate students with high level in econometrics
It is an essential book if you study econometrics at a PhD level, otherwise maybe it is too complete and not easy to understand without previous knowledge.

outdated
One of my professors (Josh Angrist) said once that a lot of peple can run regression, but very few understand what regression is. This book can help you to understand what you actually estimate by applying regression. The problem with this book that it's outdated. Discussion of asymptotic theory is unsufficient, there is nothing on IV or GMM estimation. I would recommend to buy Davidson and MacKinnon "Estimation and Inference In Econometrics" instead of this one.

Excellent as an introduction and as a reference.
This is one of those rare textbooks that manages to be both a good introduction to the subject and a useful reference. Readable on the first try and well organized. Highly recommended.

Terse but very good
This textbook for advanced undergraduates or first-year graduate students leads the reader through the basic concepts and statistical procedures of econometrics. The extensive use of matrix notation allows the reader to easily apply Goldberger's formulae to actual data (especially with computer packages such as Gauss and Matlab). Although the author gives brief treatments which sometimes require several readings to be fully understood, he is by no means unclear or confusing. Quite the contrary, as the book is very concise. Sections which I found especially useful and interesting were: 22.5 Statistical versus Economic Significance, 23 Multicollinearity (actually humorous!), and 24 Regression Strategies.

Very readable by your own self.
Maybe this is one of the most famous books in classical econometrics now at graduate level. Different from other overwhelming econometrics text books (e.g., Greene), this textbook is very readable and still practical. I liked it. ... Read more

Book Description

New efficiency theory refers to the various parametric and semi-parametric methods of estimating production and cost frontiers, which include data envelopment analysis (DEA) with its diverse applications in management science and operations research. This monograph develops and generalizes the new efficiency theory by highlighting the interface between economic theory and operations research.Some of the outstanding features of this monograph are: (1) integrating the theory of firm efficiency and industry equilibrium, (2) emphasizing growth efficiency in a dynamic setting, (3) incorporating uncertainty of market demand and prices, and (4) the implications of group efficiency by sharing investments. Applications discuss in some detail the growth and decline of US computer industry, and the relative performance of mutual fund portfolios. ... Read more

Book Description

Reviews (1)

I don't know any rich economist, do you?
This book is great! McCloskey explains, with an easy to read style, but without losing the rigor on the content, how the economists tell stories to persuade the public, politicians and their colleagues. With a witty approach, McCloskey proves that economists aren't able to predict, why aren't all of them rich, then? The author gives several examples of how economists use rhetorical devices with the aim to persuade their audience, instead of the scientific methodology they officially support. This amazing and amusing book is not only for economists; if you think that economics are very serious, read this and the next time it will be harder for the economists to fool you! ... Read more

Reviews (42)

Learn to trade in ranges
This is an excellent book to learn how to trade when the market is range bound as it is right now. I and many others made a ton of money following the advice in this and other Wade Cook Books even during the Clinton Bear Market.

As for other books. I would recommend Wall Street Money Machine Volume 1, Red Light Green Light (really great right now during earnings season) and Wall Street Money Machine Vol. 2.

Regarding other books that get mentioned, in most cases they are just fluff filled copies of Wade's books. One book written by this so called option expert was virtually a carbon copy of Wall Street Money Machine Volume 4. The fact that they are advertising their books here on Amazon with Wade's books tells me that they are still trying to copy off of Wade.

Imitation may be the sincerest form of flattery but I prefer to go with the original----WADE COOK. While they are copying Wade, Mr. Cook is developing new strategies and these guys are trying to play catch up.

Want to learn how to trade profitably? Start with this book.

Goodbook by Wade
I bought this book first of all, by seeing allo f the 1 star reviews which Wade allows to stay on this website. Lesser authors usually delete the bad and many times, have padded their websites with make believe reviews.I also just found out that Wade has averaged over 22% this year in his accounts and does publish losing trades on WIN along with the winners.Interesting and very impressive considering that even Warren Buffett's Berkshire Hathaway is in the red and off by about 10%. Also, all three indexes are down by over 20%.Wades books are ez to read, offer easy to apply techniques that provide quic cash flow.I found it amusing that oe of the revewers is mad at Wade because this reviewer lost money in the market and didn't know what a spread was! C'mon now! Is that Wades fault? It is covered in his books. If you didn't take the time to read that, then guess who is really to blame?Good books by WAde. I'm loking forward to some really big cash profits in 2003!

This book is making me money now
The information that WADE COOK discusses in this book is ideal for the times we are in right now and when the market is where it is right now. I'm using these strategies and profiting.

Great book. Thanks Wade.

Learn how to temper volatility
McMillian and others are good authors but their books are not easy reading and not for the novice investor. And they do not explain how to make money as wella s Wade Cook does.

Wade's genius is the ability to take a difficult subject and explain so even the most naive can understand and apply it. Wade has also developed his own strategies that are unique. My advice is to start with Wade Cook and then borrow those other books from a library.

Wade also has a weekly teleconference program that many of us have found helpful. To check out the times go to www.wadecook.org.

DISCLAIMER: I am not now nor have I even been a employee of Wade Cook's or an independant rep or associated with Wade Cook in any way. I am just a stock trader who has benefitted from his advice and want to voice my opinion.

Learn to Trade Volatility
Cook communicates no insights, but he does share a wealth of story telling. My advice to would-be readers of Wade Cook and beginning option traders is to learn to trade volatility in all phases of the market cycle. McMillan and Gentile have written on these issues. I recommend using an Amazon search for these authors and finding out how volatility is used in option pricing & strategy formulation.

Just move beyond Wade Cook. ... Read more

Book Description

The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. ... Read more

Reviews (2)

The best book book of the century
Dynamic Econometrics is a excellent book of econometric modeling, this book is a mixture of econometrics and economic theory.The book covers time series (ARMA, VAR, Unit roots, cointegration) , econometric modelling of time series (encompasing, nested tests, DGP's theory) and Macroeconometrics (Macroeconomic Theory and Statistical methods) the book is an excellent bridge between Macroeconomic Theory and Econometrics.
PcGive, PcNaive and PcGets are excellent software for solving problems,in dynamic econometrics all examples maybe can be solved with this programs.

Excellent!
Anyone interested in modeling economic time series should read this book! Hendry presents a very good analysis of estimation, inference, and modeling. What is most important, he gives various examples. This is surely a classic in LSE econometrics and it helps a lot in a Macroeconometric course. ... Read more

Book Description

The World Bank Atlas is changing its publication cycle. Beginning in 2004, the World Bank Atlas will publish in September each year. The World Bank Atlas (36th edition) is the edition following the World Bank Atlas 2003.

The World Bank Atlas (36th edition) vividly illustrates the key development challenges in the world today. It provides easy-to read, colorful world maps, tables, and graphs highlighting key social, economic, and environmental data for 208 countries.

Drawing on data from World Development Indicators, the Atlas brings to life cross-country comparisons of social indicators like life expectancy, infant mortality, safe water, population below the poverty line and energy efficiency, as well as basic economic indicators like income growth, income per person, private capital and aid flows. ... Read more

Book Description

Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of identification, neglect of dynamics and non-stationarity, and poor forecasting properties. By the start of the 1990s, the status of macroeconometric models had declined markedly, and had fallen completely out of and with academic economics. Nevertheless, unlike the dinosaurs to which they often have been likened, macroeconometric models have never completely disappeared from the scene. This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changing demands, in response, for instance, to new policy regimes like inflation targeting. Model builders have adopted new insights from economic theory and taken advantage of the methodological and conceptual advances within time series econometrics over the last twenty years. The modelling of wages and prices takes a central part in the book as the authors interpret and evaluate the last forty years of international research experience in the light of the Norwegian 'main course' model of inflation in a small open economy. The preferred model is a dynamic model of incomplete competition, which is evaluated against alternatives as diverse as the Phillips curve, Nickell-Layard wage curves, the New Keynesian Phillips curve, and monetary inflation models on data from the Euro area, the UK, and Norway. The wage price core model is built into a small econometric model for Norway to analyse the transmission mechanism and to evaluate monetary policy rules. The final chapter explores the main sources of forecast failure likely to occur in a practical modelling situation, using the large-scale nodel RIMINI and the inflation models of earlier chapters as case studies. ... Read more