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Эконометрика - наука о применении статистических и математических методов в экономическом анализе для проверки правильности экономических теоретических моделей и способов решения экономических проблем. (подробнее...)
Всего публикаций в данном разделе: 467

Journal of Statistics Education [интернет ресурс]
Обновлено: 09-12-2010

http://www.amstat.org/publications/jse/

Электронный журнал выпускается и поддерживается Американской статистической ассоциацией ( American Statistical Association ) и может быть полезен всем, кто изучает статистику и применение статистических методов в экономике. Широкий выбор статей в свободном доступе для пользователей сети делает данный ресурс полезным при решении широкого круга прикладных проблем. Архив статей ведется с 1993 г.

Journal of Statistical Software [интернет ресурс]
Обновлено: 09-12-2010

http://www.jstatsoft.org/

Journal of Statistical Software - электронный журнал, который выпускается и поддерживается кафедрой статистики Университета Калифорнии (UCLA Department of Statistics). Журнал посвящен вопросам статистического программного обеспечения и публикует различные руководства, учебные пособия, описания и обзоры, статьи по использованию и установке данного программного обеспечения. Главный редактор - Jan de Leeuw, профессор университета.

Опубликовано на портале: 16-08-2004
Леонид Витальевич Канторович, Валерий Леонидович Макаров
Москва: Мысль, 1965
В этой книге были указаны важнейшие направления расширения и совершенствования основной схемы динамической модели и намечены пути ее практического использования. Здесь Канторович показал, как в экономическую модель вводятся элементы нелинейности и дискретности, и какую роль они играют в более точном учете экономической реальности, а также при математическом анализе соответствующих моделей. Данная работа определила направление многих исследований в области оптимального планирования, выполненных в последующие годы, в том числе и за рубежом, например по теории экономики благосостояния.

Опубликовано на портале: 16-08-2004
Андрей Николаевич Колмогоров
Москва: ФАЗИС, 1998, 144 с.
Целью предлагаемой работы является аксиоматическое обоснование теории вероятностей. Ведущей мыслью автора было при этом естественное включение основ теории вероятностей, считавшихся еще недавно совершенно своеобразными, в ряд общих понятий современной математики.

Значение монографии А.Н.Колмогорова определяется не только предложенной в ней схемой (ставшей универсально принятой) логического обоснования математической теории вероятностей. Ее роль также и в том, что содержащиеся в ней новые концепции, понятия и результаты (такие как условное математическое ожидание, теорема о существовании случайного процесса с заданной системой конечномерных распределений, закон нуля или единицы и др.) открыли новую эру и в развитии самой теории вероятностей, и в расширении сферы ее влияния и областей применения.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 12-08-2004
Наталья Владимировна Макарова, Валерий Ярославович Трофимец
Москва: Финансы и статистика, 2002
В учебном пособии рассматриваются функциональные возможности табличного процессора Excel для проведения статистического анализа на персональном компьютере. Описана технология работы с программной надстройкой Пакет анализа, предусмотренной при установке Excel в Microsoft Office, и встроенными статистическими функциями. Приводятся примеры статистического анализа экономической информации, при этом кратко излагаются необходимые сведения для постановки задачи на языке математической статистики. Примеры реализованы в среде Microsoft Excel 97/2000.
Отдельные главы книги имеют относительную законченность и могут рассматриваться как справочная литература в произвольной последовательности.Учебное пособие предназначено для студентов обучающихся по специальности Статистика

Опубликовано на портале: 12-08-2004
В пособии излагаются основы теории марковских случайных процессов, протекающих в дискретных системах с дискретным и непрерывным временем. Иллюстрируется их применение в качестве вероятностных моделей различных финансово-экономических ситуаций. Пособие содержит достаточное количество детально разработанных примеров и заданий с ответами для самостоятельной работы читателя. Предназначено, прежде всего, для студентов заочной формы обучения по специальностям финансово-экономического направления, однако может быть полезным студентам и аспирантам очной формы обучения, магистрантам и слушателям института профессиональной переподготовки, а также преподавателям, читающим лекции и ведущим практические занятия по дисциплине экономико-математического моделирования.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 12-08-2004
Представлен учебник, в котором дано систематическое изложение основных базовых математических методов, используемых в экономике.
Он содержит не только инструментарий математического анализа, знание которого необходимо любому грамотному экономисту, но и многочисленные примеры его применения.
Отличительная особенность учебника состоит в том, что он соединяет изучение математических методов с содержательным рассмотрением разделов экономики. Учебник предназначен для тех, кто изучает экономику, а также сталкивается со статистическими и экономическими моделями в экономике. Под общей редакцией А.В. Сидоровича.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию ресурс содержит прикрепленный файл

Опубликовано на портале: 12-08-2004
This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
ресурс содержит полный текст, либо отрывок из него ресурс содержит графическое изображение (иллюстрацию) ресурс содержит прикрепленный файл

Опубликовано на портале: 11-08-2004
This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
ресурс содержит полный текст, либо отрывок из него ресурс содержит графическое изображение (иллюстрацию) ресурс содержит прикрепленный файл

Опубликовано на портале: 11-08-2004
This two-volume set of books in the Econometric Society Monographs series (ESM numbers 32 and 33), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in these volumes explore topics in spectral analysis, seasonality, nonlinearity, methodology, forecasting, causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 11-08-2004
This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical (those for which a suitable category can be found but where no actual measurement exists) or truncated (those that can be observed only in certain ranges). Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling. Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author.

Опубликовано на портале: 11-08-2004
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
ресурс содержит графическое изображение (иллюстрацию) ресурс содержит прикрепленный файл

Опубликовано на портале: 30-07-2004
This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.
"The analysis of transition/duration data is the next frontier beyond the now well-charted area of qualitative choice and limited-dependent variables. Lancaster's book is an excellent travel guide to this relatively unknown but beautiful land where time-series analysis and qualitative choice merge. Even if they do not decide to stay, economists and social scientists will return enriched from a trip under Professor Lancaster's guidance." Geert Ridder, University of Groningen
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
This book systematically and thoroughly covers a vast literature on the nonparametric and semiparametric statistics and econometrics that has evolved over the past five decades. Within this framework, this is the first book to discuss the principles of the nonparametric approach to the topics covered in a first year graduate course in econometrics, e.g., regression function, heteroskedasticity, simultaneous equations models, logit-probit and censored models. Professors Pagan and Ullah provide intuitive explanations of difficult concepts, heuristic developments of theory, and empirical examples emphasizing the usefulness of modern nonparametric approach. The book should provide a new perspective on teaching and research in applied subjects in general and econometrics and statistics in particular.

"This book contains nonparametric concepts for information recovery that will become an enduring element of every econometrician's tool kit." George Judge, University of California, Berkeley

"Pagan and Ullah have brought together a large set of research results in semi- and nonparametric estimation that greatly improves the accessibility of this important body of research to graduate students and professionals." Joel Horowitz, University of Iowa

"A valuable treatment of nonparametric and semiparametric methods in econometrics. This book will be a useful resource for years to come." Oliver Linton, Yale University

"This book covers an enormous amount of material in a succinct and user friendly fashion.... I strongly recommend it." Professor O.B. Linton, London School of Economics

"...thorough and elegant." Mathematics of Computing

"Pagan and Ullah's textbook, Nonparametric Econometrics, is not intended to be a 'cookbook' nor would it be confused with one. If, however, you are looking for the most comprehensive collection of nonparametirc and semiparametric methods dealing with those issues that are often encountered by applied economists, then this definitely is the book for you. This textbook deserves to be in the library of all economists who wish to keep abreast of less-than-fully parametric econometric techniques, and would serve readily as the cornerstone for a graduate course on the subject." JASA
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
From the reviews of the First Edition.
"An interesting, useful, and well-written book on logistic regression models... Hosmer and Lemeshow have used very little mathematics, have presented difficult concepts heuristically and through illustrative examples, and have included references."- Choice

"Well written, clearly organized, and comprehensive... the authors carefully walk the reader through the estimation of interpretation of coefficients from a wide variety of logistic regression models . . . their careful explication of the quantitative re-expression of coefficients from these various models is excellent." - Contemporary Sociology "An extremely well-written book that will certainly prove an invaluable acquisition to the practicing statistician who finds other literature on analysis of discrete data hard to follow or heavily theoretical."-The Statistician In this revised and updated edition of their popular book, David Hosmer and Stanley Lemeshow continue to provide an amazingly accessible introduction to the logistic regression model while incorporating advances of the last decade, including a variety of software packages for the analysis of data sets. Hosmer and Lemeshow extend the discussion from biostatistics and epidemiology to cutting-edge applications in data mining and machine learning, guiding readers step-by-step through the use of modeling techniques for dichotomous data in diverse fields. Ample new topics and expanded discussions of existing material are accompanied by a wealth of real-world examples-with extensive data sets available over the Internet.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
Financial Time Series study enables the prediction of financial trends and futures. This book represents the outcome of a refined and concise set of lecture notes, which balance theory and applications in time series, along financial domains. It affords the reader the opportunity to acquire knowledge of knowing the underpinnings of time series modeling in order to get a better understanding of the ever-changing dynamics of the financial world.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
Fundamental topics and new methods in time series analysis. Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR); High-frequency financial data analysis; Markov Chain Monte Carlo (MCMC) methods; Derivative pricing using jump diffusion with closed-form formulas; VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process; Multivariate volatility models with time-varying correlations; Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
Introduction to Econometrics has been significantly revised to include new developments in the field. The previous editions of this text were renowned for Maddala's clear exposition and the presentation of concepts in an easily accessible manner. Features: New chapters have been included on panel data analysis, large sample inference and small sample inference Chapter 14 Unit Roots and Cointegration has been rewritten to reflect recent developments in the Dickey-Fuller (DF), the Augmented Dickey-Fuller (ADF) tests and the Johansen procedure A selection of data sets and the instructor's manual for the book can be found on our web site Comments on the previous edition: "Maddala is an outstanding econometrician who has a deep understaning of the use and potential abuse of econometrics..." "The strengths of the Maddala book are its simplicity, its accessibility and the large number of examples the book contains..." "The second edition is well written and the chapters are focused and easy to follow from beginning to end. Maddala has an oustanding grasp of the issues, and the level of mathematics and statistics is appropriate as well."
ресурс содержит графическое изображение (иллюстрацию)

Опубликовано на портале: 30-07-2004
"Modelling Individual Choice" discusses the econometric methodology appropriate to the modelling of individual choices using survey data. It is especially concerned with problems of econometric specification raised by discreteness in the variables to be modelled.
Most microeconomic texts stress the neo-classical model of smooth optimising behaviour in an environment of constant prices. Most econometric texts stress regression - based on methods implying continuous variation in economic quantities. If one attempts to estimate a model of rational behaviour from data on individuals it is soon apparent that neither of these views is generally tenable.
This book discusses the econometric methodology appropriate to the modelling of individual choices (concentrating particularly on demend and labour supply), using survey data. It is especially concerned with problems of econometric specification raised by discreteness in the variable to be modelled.
The book begins with preparatory chapters surveying the theory of rational choice and the statistical characteristics of cross-section data. Later chapters examine: models of choice between discrete alternatives; models based on corner solutions and other mechanisms generating zero demands; choice in the presence of kinked and discontinuous budget constraints; sequential choice duration analysis; ratioing and other obstructions to free choice, and finally the aggregative implications of these models.
ресурс содержит полный текст, либо отрывок из него

Опубликовано на портале: 30-07-2004
This book provides a new approach to the identification and the estimation of structural VAR models. The role of deterministic variables and the connection with the concept of cointegration is discussed at length. The book also provides criteria to select among alternative structures. In addition, the asymptotic distributions of the structural estimates of impulse response functions and forecast error variance decomposition coefficients are obtained and used to construct asymptotically based confidence intervals around the maximum likelihood estimates. Moreover, the book contains a critical evaluation of the problem of non-fundamental representations and of their relevance on the interpretability of the results of structural VAR analysis. Finally, the book contains applied examples.