Handbook of Computational Econometrics

Erricos Kontoghiorghes is Associate Professor at the School of Economics and Management in Nicosia, Cyprus, and holds a visiting professorship at Birkbeck College since 2003. He has authored and edited seven books. He is a Co-Editor of the journal Computational Statistics & Data Analysis, Associate Editor of the journal Computational Management Science (Springer), and was Editor-in-Chief of the Handbook Series of Computing and Statistics with Applications. Professor David Besley is Professor at the Department of Economics Boston College, USA. He has written many articles and holds editorial positions for several journals including Computational Economics and is the Associate Editor for Econometrics, Computational Statistics and Data Analysis and International Journal of Forecasting.

List of Contributors. Preface. 1 Econometric software (Charles G. Renfro). 1.1 Introduction. 1.2 The nature of econometric software. 1.3 The existing characteristics of econometric software. 1.4 Conclusion. Acknowledgments. References. 2 The accuracy of econometric software (Bruce D. McCullough ). 2.1 Introduction. 2.2 Inaccurate econometric results. 2.3 Entry-level tests. 2.4 Intermediate-level tests. 2.5 Conclusions. Acknowledgments. References. 3 Heuristic optimization methods in econometrics (Manfred Gilli and Peter Winker). 3.1 Traditional numerical versus heuristic optimization methods. 3.2 Heuristic optimization. 3.3 Stochastics of the solution. 3.4 General guidelines for the use of optimization heuristics. 3.5 Selected applications. 3.6 Conclusions. Acknowledgments. References. 4 Algorithms for minimax and expected value optimization (Panos Parpas and BercRustem). 4.1 Introduction. 4.2 An interior point algorithm. 4.3 Global optimization of polynomial minimax problems. 4.4 Expected value optimization. 4.5 Evaluation framework for minimax robust policies and expected value optimization. Acknowledgments. References. 5 Nonparametric estimation (Rand R. Wilcox). 5.1 Introduction. 5.2 Density estimation. 5.3 Nonparametric regression. 5.4 Nonparametric inferential techniques. References. 6 Bootstrap hypothesis testing (James G. MacKinnon). 6.1 Introduction. 6.2 Bootstrap and Monte Carlo tests. 6.3 Finite-sample properties of bootstrap tests. 6.4 Double bootstrap and fast double bootstrap tests. 6.5 Bootstrap data generating processes. 6.6 Multiple test statistics. 6.7 Finite-sample properties of bootstrap supF tests. 6.8 Conclusion. Acknowledgments. References. 7 Simulation-based Bayesian econometric inference: principles and some recent computational advances (Lennart F. Hoogerheide, Herman K. van Dijk and Rutger D. van Oest). 7.1 Introduction. 7.2 A primer on Bayesian inference. 7.3 A primer on simulation methods. 7.4 Some recently developed simulation methods. 7.5 Concluding remarks. Acknowledgments. References. 8 Econometric analysis with vector autoregressive models (Helmut Lutkepohl). 8.1 Introduction. 8.2 VAR processes. 8.3 Estimation of VAR models. 8.4 Model specification. 8.5 Model checking. 8.6 Forecasting. 8.7 Causality analysis. 8.8 Structural VARs and impulse response analysis. 8.9 Conclusions and extensions. Acknowledgments. References. 9 Statistical signal extraction and filtering: a partial survey (D. Stephen G. Pollock). 9.1 Introduction: the semantics of filtering. 9.2 Linear and circular convolutions. 9.3 Local polynomial regression. 9.4 The concepts of the frequency domain. 9.5 The classical Wiener-Kolmogorov theory. 9.6 Matrix formulations. 9.7 Wiener-Kolmogorov filtering of short stationary sequences. 9.8 Filtering nonstationary sequences. 9.9 Filtering in the frequency domain. 9.10 Structural time-series models. 9.11 The Kalman filter and the smoothing algorithm. References. 10 Concepts of and tools for nonlinear time-series modelling (Alessandra Amendola and Christian Francq). 10.1 Introduction. 10.2 Nonlinear data generating processes and linear models. 10.3 Testing linearity. 10.4 Probabilistic tools. 10.5 Identification, estimation and model adequacy checking. 10.6 Forecasting with nonlinear models. 10.7 Algorithmic aspects. 10.8 Conclusion. Acknowledgments. References. 11 Network economics (Anna Nagurney). 11.1 Introduction. 11.2 Variational inequalities. 11.3 Transportation networks: user optimization versus system optimization. 11.4 Spatial price equilibria. 11.5 General economic equilibrium. 11.6 Oligopolistic market equilibria. 11.7 Variational inequalities and projected dynamical systems. 11.8 Dynamic transportation networks. 11.9 Supernetworks: applications to telecommuting decision making and teleshopping decision making. 11.10 Supply chain networks and other applications. Acknowledgments. References. Index.