During the 1960’s, many as was firmly supported by the historical founders of econometrics, had hoped that econometrics would provide a sound scientific foundation for econometrics in which each element of specification would be determined primarily on the basis of economic theory. However, due to misusing of econometrics and also wide usage of the so called cookbook econometrics, many research...

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This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovations, nonparametric Bayesian methods are used to flexibly model the distribution’s skewness and kurtosis while volatility dynamics follow a parametric structure. Our Bayesian approach p...

The stock price process in China is full of uncertainty hence the indices were introduced to serve as indicators financial market. How capture statistical characteristics Chinese returns by method parametric distributions fitting could be useful fields econometrics and risk management. In this paper, we use a wider range model four main indices. We find generalization Student’s t distribution s...

This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modifi cation of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrum...

This special issue gathers a collection of articles presenting new advances in the field of resampling methods in econometrics. Both exact (Monte Carlo tests) and improved asymptotic (bootstrap) procedures are studied. A wide array of models and problems are studied: inference on nonlinear models, limited dependent variables, GMM methods, nonparametric regression, time series analysis (unit roo...

Cluster-Sample Methods in Applied Econometrics Author(s): Jeffrey M. Wooldridge Source: The American Economic Review, Vol. 93, No. 2, Papers and Proceedings of the One Hundred Fifteenth Annual Meeting of the American Economic Association, Washington, DC, January 3-5, 2003 (May, 2003), pp. 133-138 Published by: American Economic Association Stable URL: http://www.jstor.org/stable/3132213 . Acces...

What do we mean by econometrics? Econometrics is the field of economics in which statistical methods are developed and applied to estimate economic relationships, test economic theories, and evaluate plans and policies implemented by private industry, government, and supranational organizations. Econometrics encompasses forecasting–not only the high-profile forecasts of macroeconomic and financ...