Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.
1. 1 Introduction - p. 82 2. 2 MCMC and its implementation in R - p. 83 3. 3 Hypothesis testing based on the MCMC output - p. 86 4. 4 Specification testing based on the MCMC output - p. 94 5. 5 Model selection based on the MCMC output - p. 98 6. 6 Empirical illustrations - p. 103 7. 7 Concluding remarks - p. 113 8. Part II: Multivariate Models - p. 115 9. Chapter 5: Dynamic panel GMM using R - p. 115 10. Chapter 6: Vector autoregressive moving average models - p. 144 11. Abstract - p. 145 12. 1 Introduction - p. 145 13. 2 Vector autoregressive moving average models - p. 147 14. 3 Identifiability of VARMA systems - p. 156 15. 4 State space models - p. 163 16. 5 Identifiability of state space models - p. 166 17. 6 Maximum likelihood estimation - p. 170 18. 7 Initial estimates - p. 172 19. 8 Model selection - p. 176 20. 9 Discussion and notes - p. 189 21. Acknowledgement - p. 190 22. Chapter 7: Multivariate GARCH models for large-scale applications: A survey - p. 191 23. Abstract - p. 193 24. 1 Introduction - p. 193 25. 2 Multivariate generalization of GARCH models - p. 195 26. 3 Multivariate distributions - p. 199 27. 4 Generalized Orthogonal GARCH models - p. 207 28. 5 Conditional correlation GARCH models - p. 214 29. 6 BIP and GAS MGARCH models - p. 221 30. 7 MGARCH models using high-frequency returns - p. 227 31. 8 Illustration - p. 231 32. 9 Conclusion - p. 236 33. Part III: Miscellaneous Topics - p. 242 34. Chapter 8: Modeling fractional responses using R - p. 242 35. Chapter 9: Quantitative game theory applied to economic problems - p. 279 36. Index - p. 309
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.
1. 1 Introduction - p. 82 2. 2 MCMC and its implementation in R - p. 83 3. 3 Hypothesis testing based on the MCMC output - p. 86 4. 4 Specification testing based on the MCMC output - p. 94 5. 5 Model selection based on the MCMC output - p. 98 6. 6 Empirical illustrations - p. 103 7. 7 Concluding remarks - p. 113 8. Part II: Multivariate Models - p. 115 9. Chapter 5: Dynamic panel GMM using R - p. 115 10. Chapter 6: Vector autoregressive moving average models - p. 144 11. Abstract - p. 145 12. 1 Introduction - p. 145 13. 2 Vector autoregressive moving average models - p. 147 14. 3 Identifiability of VARMA systems - p. 156 15. 4 State space models - p. 163 16. 5 Identifiability of state space models - p. 166 17. 6 Maximum likelihood estimation - p. 170 18. 7 Initial estimates - p. 172 19. 8 Model selection - p. 176 20. 9 Discussion and notes - p. 189 21. Acknowledgement - p. 190 22. Chapter 7: Multivariate GARCH models for large-scale applications: A survey - p. 191 23. Abstract - p. 193 24. 1 Introduction - p. 193 25. 2 Multivariate generalization of GARCH models - p. 195 26. 3 Multivariate distributions - p. 199 27. 4 Generalized Orthogonal GARCH models - p. 207 28. 5 Conditional correlation GARCH models - p. 214 29. 6 BIP and GAS MGARCH models - p. 221 30. 7 MGARCH models using high-frequency returns - p. 227 31. 8 Illustration - p. 231 32. 9 Conclusion - p. 236 33. Part III: Miscellaneous Topics - p. 242 34. Chapter 8: Modeling fractional responses using R - p. 242 35. Chapter 9: Quantitative game theory applied to economic problems - p. 279 36. Index - p. 309
