Toolboxes are the name given by the MathWorks to related sets of MATLAB functions aimed at solving a particular class of problems. Toolboxes of functions useful in signal processing, optimization, statistics, finance and a host of other areas are available from the MathWorks as add-ons to the standard MATLAB software distribution. I use the term Spatial Econometrics Toolbox to refer to my publi...

This book is fundamentally about the estimation of risk. At an intuitive level, risk is easy to understand: given an asset with a current price of say $100, what is the likelihood that at some future time—the risk horizon—its price will be less than $90? Or more than $120? And how does the probability of observing a price below $90 change as a function of the risk horizon? Such heuristic notion...

“Experimetrics” refers to formal procedures used in designed investigations of economic hypotheses. Fundamental experimetric contributions by Ronald A. Fisher provided the foundation for a rich literature informing the design and analysis of economics experiments. Key components of this foundation include the concepts of randomization, independence and blocking. Experimetric analysis plays a ce...

In this paper we review parametric and nonparametric models and methods widely used in financial econometrics.

1. Introduction 2. What philosophical/methodological issues? 3. Philsophy of science and empirical modeling: Logical positivism/empiricism The downfall of logical positivism/empiricism The new experimentalism Learning from error 4. The Error-Statistical perspective: Statistical inference and its philosophical foundations Statistical Induction and its underlying reasoning Severe testing reasonin...

The paper considers the role of econometrics in decision making under uncertainty. This leads to a focus on predictive distributions. The decision maker's subjective distribution is only partly speci"ed; it belongs to a set S of distributions. S can also be regarded as a set of plausible data-generating processes. Criteria are needed to evaluate procedures for constructing predictive distributi...