Econometric Modeling and Inference

Front Cover
Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Statistical Models
3
Sequential Models and Asymptotics
17
Estimation by Maximization and by the Method of Moments
33
290 Sims C A 1980 Macroeconomics and reality Econometrica 48 148
48
Nonparametric Methods
87
Simulation Methods
103
of Estimators and Tests
116
Conditional Expectation
129
Stationary Dynamic Models
261
292 Spanos A 1986 Statistical foundations of econometric modelling Cambridge
292
Nonstationary Processes and Cointegration
304
305 Wand M P Jones M C 1995 Kernel smoothing Chapman and Hall London
305
Models for Conditional Variance
341
Nonlinear Dynamic Models
366
Identification and Overidentification
395
Simultaneity
421

Generalized Least Squares Method Heteroskedasticity
179
Nonparametric Estimation of the Regression
213
Discrete Variables and Partially Observed Models
234
Models with Unobservable Variables
446
Bibliography 477
493
Copyright

Other editions - View all

Common terms and phrases

About the author (2007)

Jean-Pierre Florens is Professor of Mathematics at the University of Toulouse I, where he holds the Chair in Statistics and Econometrics, and a senior member of the Institut Universitaire de France. He is also a member of the IDEI and GREMAQ research groups. Professor Florens' research interests include: statistics and econometrics methods, applied econometrics, and applied statistics. He is coauthor of Elements of Bayesian Statistics with Michel Mouchart and Jean-Marie Rolin (1990). The editor or co-editor of several econometrics and statistics books, he has also published numerous articles in the major econometric reviews, such as Econometrica, Journal of Econometrics, and Econometric Theory.

VÍlayoudom Marimoutou is Professor of Economics at the University of Aix-Marseille 2 and a member of GREQAM. His research fields include: time series analysis, non-stationary processes, long range dependence, and applied econometrics of exchange rates, finance, macroeconometrics, convergence, and international trade. His articles have appeared in publications such as the Journal of International Money and Finance, Oxford Bulletin of Economics and Statistics, and the Journal of Applied Probability.

Anne Peguin-Feissolle is Research Director of the National Center of Scientific Research (CNRS) and a member of the GREQAM. She conducts research on econometric modelling, especially nonlinear econometrics, applications to macroeconomics, finance, spatial economics, artificial neural network modelling, and long memory problems. Professor Peguin-Feissolle's published research has appeared in Economics Letters, Economic Modelling, European Economic Review, Applied Economics, and the Annales d'Economie et de Statistique, among other publications.

Bibliographic information