The Practice of Econometric Theory (eBook)
XVI, 311 Seiten
Springer Berlin (Verlag)
978-3-540-75571-5 (ISBN)
Econometric theory, as presented in textbooks and the econometric literature generally, is a somewhat disparate collection of findings. Its essential nature is to be a set of demonstrated results that increase over time, each logically based on a specific set of axioms or assumptions, yet at every moment, rather than a finished work, these inevitably form an incomplete body of knowledge. The practice of econometric theory consists of selecting from, applying, and evaluating this literature, so as to test its applicability and range. The creation, development, and use of computer software has led applied economic research into a new age. This book describes the history of econometric computation from 1950 to the present day, based upon an interactive survey involving the collaboration of the many econometricians who have designed and developed this software. It identifies each of the econometric software packages that are made available to and used by economists and econometricians worldwide.
Preface 6
Contents 14
Introduction 16
Chapter 1 Econometric Computation 33
The Foundations of Computational Econometrics 42
Towards the Evaluation of Econometric Software 51
The Discovery of Econometric Software 52
The Computer as a Computational Medium 58
The Computer as an Imperfect Computational Device 61
Errors in Data as a Computational Circumstance 65
Chapter 2 Econometric Software: Characteristics, Users, and Developers 68
Developmental Characteristics of Econometric Software 70
The Early History of Econometric Computation 71
The Takeoff Period of Econometric Software Development 73
The Adoption of the Microcomputer 79
The Characteristics of Econometric Software 81
Aspects of the Evolution of Software Features 85
The Development of the Human Interface 88
Directives Versus Constructive Commands 93
Developers, Users, and Use 99
Use and Users 100
Econometric Software Developers 107
Chapter 3 Econometric Diagnostic Tests 109
Diagnostic Tests: A Division of Responsibilities 117
Realism Versus Instrumentalism 123
Specific Survey Characteristics 129
Chapter 4 The Basic Statistics 134
The Historical Display of OLS Regression Results 137
Survey Results: The Core Statistics 146
The Core Statistics: The First Group 149
Known Special Cases 151
Variant Special Cases 152
Disturbance Properties Tests 156
Provisions for User-Constructed Tests 158
Chapter 5 The Failure of Assumptions 161
Heteroscedasticity 164
Disturbance Properties 170
Specification Tests: Functional Form, Nonlinearity, and Simultaneity 175
Structural Stability Tests 176
Omitted Variables, Linear Restrictions and Related Tests 183
Chapter 6 Cointegration and Alternative Specifications 187
Unit Root Tests 190
Evaluating Cointegration 217
Encompassing and Non-Nested Specifications Tests 219
Chapter Appendix 222
Chapter 7 Several Historical Considerations 241
Changes in Regression Displays 1969–2007 243
MODLER Regression Output 1969–1970 245
1969: MODLER 1.0 247
1970: MODLER 2.0 249
TSP Regression Output 1978–2007 251
PcGive Regression Output 1985–2007 257
Data Management Issues 262
Chapter 8 The Implications of the Findings 274
Appendix A Version Information for the Surveyed Econometric Software Packages 279
Appendix B Grunfeld’s Investment Theory: Time Series Data on General Electric andWestinghouse (Theil, 1971, Table 7.1, p. 296) 280
Glossary 280
References 289
Index 311
| Erscheint lt. Verlag | 29.6.2009 |
|---|---|
| Reihe/Serie | Advanced Studies in Theoretical and Applied Econometrics |
| Zusatzinfo | XVI, 311 p. 28 illus. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Statistik |
| Technik | |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Volkswirtschaftslehre | |
| Schlagworte | Applied Economics • Computer • Econometric Computation • Econometric Theory • estimation methods • Specification Tests • Statistics |
| ISBN-10 | 3-540-75571-3 / 3540755713 |
| ISBN-13 | 978-3-540-75571-5 / 9783540755715 |
| Haben Sie eine Frage zum Produkt? |
PDF (Wasserzeichen)Größe: 3,5 MB
DRM: Digitales Wasserzeichen
Dieses eBook enthält ein digitales Wasserzeichen und ist damit für Sie personalisiert. Bei einer missbräuchlichen Weitergabe des eBooks an Dritte ist eine Rückverfolgung an die Quelle möglich.
Dateiformat: PDF (Portable Document Format)
Mit einem festen Seitenlayout eignet sich die PDF besonders für Fachbücher mit Spalten, Tabellen und Abbildungen. Eine PDF kann auf fast allen Geräten angezeigt werden, ist aber für kleine Displays (Smartphone, eReader) nur eingeschränkt geeignet.
Systemvoraussetzungen:
PC/Mac: Mit einem PC oder Mac können Sie dieses eBook lesen. Sie benötigen dafür einen PDF-Viewer - z.B. den Adobe Reader oder Adobe Digital Editions.
eReader: Dieses eBook kann mit (fast) allen eBook-Readern gelesen werden. Mit dem amazon-Kindle ist es aber nicht kompatibel.
Smartphone/Tablet: Egal ob Apple oder Android, dieses eBook können Sie lesen. Sie benötigen dafür einen PDF-Viewer - z.B. die kostenlose Adobe Digital Editions-App.
Zusätzliches Feature: Online Lesen
Dieses eBook können Sie zusätzlich zum Download auch online im Webbrowser lesen.
Buying eBooks from abroad
For tax law reasons we can sell eBooks just within Germany and Switzerland. Regrettably we cannot fulfill eBook-orders from other countries.
aus dem Bereich
