Predictive Econometrics and Big Data

Predictive Econometrics and Big Data

Author: Vladik Kreinovich

Publisher: Springer

ISBN: 9783319709420

Category: Technology & Engineering

Page: 780

View: 237

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This book presents recent research on predictive econometrics and big data. Gathering edited papers presented at the 11th International Conference of the Thailand Econometric Society (TES2018), held in Chiang Mai, Thailand, on January 10-12, 2018, its main focus is on predictive techniques – which directly aim at predicting economic phenomena; and big data techniques – which enable us to handle the enormous amounts of data generated by modern computers in a reasonable time. The book also discusses the applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that employs mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. It is therefore important to develop data processing techniques that explicitly focus on prediction. The more data we have, the better our predictions will be. As such, these techniques are essential to our ability to process huge amounts of available data.

Macroeconomic Forecasting in the Era of Big Data

Macroeconomic Forecasting in the Era of Big Data

Author: Peter Fuleky

Publisher: Springer Nature

ISBN: 9783030311506

Category: Business & Economics

Page: 719

View: 192

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This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

Structural Changes and their Econometric Modeling

Structural Changes and their Econometric Modeling

Author: Vladik Kreinovich

Publisher: Springer

ISBN: 9783030042639

Category: Technology & Engineering

Page: 776

View: 437

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This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.

Fundamental Statistical Inference

Fundamental Statistical Inference

Author: Marc S. Paolella

Publisher: John Wiley & Sons

ISBN: 9781119417873

Category: Mathematics

Page: 584

View: 885

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A hands-on approach to statistical inference that addresses the latest developments in this ever-growing field This clear and accessible book for beginning graduate students offers a practical and detailed approach to the field of statistical inference, providing complete derivations of results, discussions, and MATLAB programs for computation. It emphasizes details of the relevance of the material, intuition, and discussions with a view towards very modern statistical inference. In addition to classic subjects associated with mathematical statistics, topics include an intuitive presentation of the (single and double) bootstrap for confidence interval calculations, shrinkage estimation, tail (maximal moment) estimation, and a variety of methods of point estimation besides maximum likelihood, including use of characteristic functions, and indirect inference. Practical examples of all methods are given. Estimation issues associated with the discrete mixtures of normal distribution, and their solutions, are developed in detail. Much emphasis throughout is on non-Gaussian distributions, including details on working with the stable Paretian distribution and fast calculation of the noncentral Student's t. An entire chapter is dedicated to optimization, including development of Hessian-based methods, as well as heuristic/genetic algorithms that do not require continuity, with MATLAB codes provided. The book includes both theory and nontechnical discussions, along with a substantial reference to the literature, with an emphasis on alternative, more modern approaches. The recent literature on the misuse of hypothesis testing and p-values for model selection is discussed, and emphasis is given to alternative model selection methods, though hypothesis testing of distributional assumptions is covered in detail, notably for the normal distribution. Presented in three parts—Essential Concepts in Statistics; Further Fundamental Concepts in Statistics; and Additional Topics—Fundamental Statistical Inference: A Computational Approach offers comprehensive chapters on: Introducing Point and Interval Estimation; Goodness of Fit and Hypothesis Testing; Likelihood; Numerical Optimization; Methods of Point Estimation; Q-Q Plots and Distribution Testing; Unbiased Point Estimation and Bias Reduction; Analytic Interval Estimation; Inference in a Heavy-Tailed Context; The Method of Indirect Inference; and, as an appendix, A Review of Fundamental Concepts in Probability Theory, the latter to keep the book self-contained, and giving material on some advanced subjects such as saddlepoint approximations, expected shortfall in finance, calculation with the stable Paretian distribution, and convergence theorems and proofs.

Essays in Honor of Cheng Hsiao

Essays in Honor of Cheng Hsiao

Author: Dek Terrell

Publisher: Emerald Group Publishing

ISBN: 9781789739596

Category: Business & Economics

Page: 472

View: 961

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Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Advances in Economics and Econometrics: Volume 2

Advances in Economics and Econometrics: Volume 2

Author: Bo Honoré

Publisher: Cambridge University Press

ISBN: 9781108243971

Category: Business & Economics

Page:

View: 813

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This is the second of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montreal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics. The book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The second volume addresses topics such as big data, macroeconomics, financial markets, and partially identified models.

Digitalization and Economic Development

Digitalization and Economic Development

Author: Mohamed Sami Ben Ali

Publisher: Taylor & Francis

ISBN: 9781000574159

Category: Business & Economics

Page: 200

View: 925

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This book analyses the impact of Information and Communication Technologies (ICTs) on economic development. It contains theoretical and empirical studies, including panel studies on various issues facing developing countries, such as education, corruption, economic growth, government expenditure, financial inclusion, foreign direct investment, infrastructure, economic and social welfare, and inequality. Each chapter offers a well-conceived analysis of the most recent trends in both theory and empirics and addresses numerous policy implications related to the different aspects dealt with in the volume. Overall, this book will be an excellent guide for global graduate students at the Master and PhD levels, as well as academics researching various issues related to economic development while analyzing the role of ICTs. It also addresses numerous policy implications related to economic development for policymakers, investors and stakeholders.

Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications

Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications

Author: Wing-Keung Wong

Publisher: MDPI

ISBN: 9783039365319

Category: Business & Economics

Page: 382

View: 503

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The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.

Decision Economics. Designs, Models, and Techniques for Boundedly Rational Decisions

Decision Economics. Designs, Models, and Techniques for Boundedly Rational Decisions

Author: Edgardo Bucciarelli

Publisher: Springer

ISBN: 9783319996981

Category: Technology & Engineering

Page: 179

View: 471

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The special session on Decision Economics (DECON) is a scientific forum held annually, which is focused on sharing ideas, projects, research results, models, and experiences associated with the complexity of behavioural decision processes and socio‐economic phenomena. In 2018, DECON was held at Campus Tecnológico de la Fábrica de Armas, University of Castilla-La Mancha, Toledo, Spain, as part of the 15th International Conference on Distributed Computing and Artificial Intelligence. For the third consecutive year, this book have drawn inspiration from Herbert A. Simon’s interdisciplinary legacy and, in particular, is devoted to designs, models, and techniques for boundedly rational decisions, involving several fields of study and expertise. It is worth noting that the recognition of relevant decision‐making takes place in a range of critical subject areas and research fields, including economics, finance, information systems, small and international business management, operations, and production. Therefore, decision‐making issues are of fundamental importance in all branches of economics addressed with different methodological approaches. As a matter of fact, the study of decision‐making has become the focus of intense research efforts, both theoretical and applied, forming a veritable bridge between theory and practice as well as science and business organisations, whose pillars are based on insightful cutting‐edge experimental, behavioural, and computational approaches on the one hand, and celebrating the value of science as well as the close relationship between economics and complexity on the other. In this respect, the international scientific community acknowledges Herbert A. Simon’s research endeavours to understand the processes involved in economic decision‐making and their implications for the advancement of economic professions. Within the field of decision‐making, indeed, Simon has become a mainstay of bounded rationality and satisficing. His rejection of the standard (unrealistic) decision‐making models adopted by neoclassical economists inspired social scientists worldwide with the purpose to develop research programmes aimed at studying decision‐making empirically, experimentally, and computationally. The main achievements concern decision‐making for individuals, firms, markets, governments, institutions, and, last but not least, science and research. This book of selected papers tackles these issues that Simon broached in a professional career spanning more than sixty years. The Editors of this book dedicated it to Herb.

Direction Dependence in Statistical Modeling

Direction Dependence in Statistical Modeling

Author: Wolfgang Wiedermann

Publisher: John Wiley & Sons

ISBN: 9781119523079

Category: Mathematics

Page: 432

View: 161

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Covers the latest developments in direction dependence research Direction Dependence in Statistical Modeling: Methods of Analysis incorporates the latest research for the statistical analysis of hypotheses that are compatible with the causal direction of dependence of variable relations. Having particular application in the fields of neuroscience, clinical psychology, developmental psychology, educational psychology, and epidemiology, direction dependence methods have attracted growing attention due to their potential to help decide which of two competing statistical models is more likely to reflect the correct causal flow. The book covers several topics in-depth, including: A demonstration of the importance of methods for the analysis of direction dependence hypotheses A presentation of the development of methods for direction dependence analysis together with recent novel, unpublished software implementations A review of methods of direction dependence following the copula-based tradition of Sungur and Kim A presentation of extensions of direction dependence methods to the domain of categorical data An overview of algorithms for causal structure learning The book's fourteen chapters include a discussion of the use of custom dialogs and macros in SPSS to make direction dependence analysis accessible to empirical researchers.

Principles of Econometrics

Principles of Econometrics

Author: R. Carter Hill

Publisher: John Wiley & Sons

ISBN: 9781118452271

Category: Business & Economics

Page: 912

View: 759

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Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.