Surgical Econometrics

Financial Econometrics *

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...

Bayesian Econometrics

Suppose a data vector X = (X1, ..., Xn) follows a distribution with a density function pn(x|θ) which is fully characterized by some parameter vector θ = (θ1, ..., θd)′. Suppose that the prior belief about θ is characterized by a density p(θ) defined over a parameter space Θ, a subset of a Euclidian space R. Using Bayes’ rule to incorporate the information provided by the data, we can form poste...

Econometrics IV

Preamble These lecture notes were written for a 2nd-year Ph.D. course in econometrics of panel data and limited-dependent-variable-models. The primary goal of the course is to introduce tools necessary to understand and implement empirical studies in economics focusing on other than time-series issues. The main emphasis of the course is twofold: (i) to extend regression models in the context of...

Financial Econometrics

Bayesian Econometrics ; Demand ; Econometrics ; Matrix Algebra ; Maximum Likelihood Regression ; Regression

yt and Pt replaced by any variables that affect supply but not demand. In the 1970s econometricians began to recognize that how the supply or demand equation is normalized affects the estimator of the supply or demand elasticity (¡M or ¬R ) when the two-stage least squares (2SLS) approach is employed. The quality of this estimator is sensitive to the strength of instruments used in the 2SLS est...