Computational Methods in Statistics and Econometrics

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CRC Press, Jan 21, 2004 - Mathematics - 528 pages
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Reflecting current technological capacities and analytical trends, Computational Methods in Statistics and Econometrics showcases Monte Carlo and nonparametric statistical methods for models, simulations, analyses, and interpretations of statistical and econometric data. The author explores applications of Monte Carlo methods in Bayesian estimation, state space modeling, and bias correction of ordinary least squares in autoregressive models. The book offers straightforward explanations of mathematical concepts, hundreds of figures and tables, and a range of empirical examples. A CD-ROM packaged with the book contains all of the source codes used in the text.
 

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Contents

1 Elements of Statistics
1
Part I Monte Carlo Statistical Methods
78
2 Random Number Generation I
79
3 Random Number Generation II
170
Part II Selected Applications of Monte Carlo Methods
247
4 Bayesian Estimation
248
5 Bias Correction of OLSE in AR Models
283
6 State Space Modeling
318
Part III Nonparametric Statistical Methods
394
7 Difference between TwoSample Means
395
8 Independence between Two Samples
446
Source Code Index
489
Index
492
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