Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms

Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms

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Description

This is the first volume in a major two-volume set of advanced texts in econometrics. It is essentially a text in statistics which is adapted to deal with economic phenomena. Christian Gourieroux and Alain Monfort have written a text which synthesises a great deal of material scattered across a variety of books and journals. They present both the basic and the more sophisticated statistical models which are crucial to an understanding of econometric models, and have taken care to employ mathematical tools with which a majority of students with a basic course in econometrics will be familiar. One of the most attractive features of the books is the liberal use throughout of real-world economic examples. They are also distinctive for their emphasis on promoting an intuitive understanding of the models and results at the expense of overly technical discussions.show more

Product details

  • Electronic book text
  • CAMBRIDGE UNIVERSITY PRESS
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • French
  • 16 b/w illus. 5 tables
  • 113924048X
  • 9781139240482

Table of contents

Preface; 1. Models; 2. Statistical problems and decision theory; 3. Statistical information: classical approach; 4. Bayesian interpretations of sufficiency, ancillarity and identification; 5. Elements of estimation theory; 6. Unbiased estimation; 7. Maximum likelihood estimation; 8. M-estimation; 9. Methods of moments and their generalizations; 10. Estimation under equality constraints; 11. Prediction; 12. Bayesian estimation; 13. Numerical procedures.show more