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Econometric Analysis of Cross Section and Panel Data
This graduate text provides an intuitive but rigorous treatment of contemporary methods used in microeconometric research. The book makes clear that applied microeconometrics is about the estimation of marginal and treatment effects, and that parametric estimation is simply a means to this end. It also clarifies the distinction between causality and statistical association.
The book focuses specifically on cross section and panel data methods. Population assumptions are stated separately from sampling assumptions, leading to simple statements as well as to important insights. The unified approach to linear and nonlinear models and to cross section and panel data enables straightforward coverage of more advanced methods. The numerous end-of-chapter problems are an important component of the book. Some problems contain important points not fully described in the text, and others cover new ideas that can be analyzed using tools presented in the current and previous chapters. Several problems require the use of the data sets located at the author's website. -
计量经济学导论(上、下册)
《计量经济学导论(第3册)》从计量经济学专业人士的视角来讲授计量经济学导论,不仅使这门学科更有意思,而且实际上讲解起来还更简单。其内容有:计量经济学的性质与经济数据、简单回归模型等。 -
金融计量经济学导论
本书的目标读者主要是本科生或硕士研究生(包括MBA学生),这些学生需要掌握广泛的现代计量经济技术。同时我们也希望,该书对需要了解金融领域广泛使用的统计工具的研究者(包括理论型的和应用型的)有所帮肋。本书还可用于金融学、金融经济学、证券和投资学的本科生或研究生的金融时间序列分析或金融计量经济学课程。 为了尽可能被读者所接受,本书尽量降低数量技术知识方面的要求,读者只需具备初等的微积分,代数(包括矩阵)以及基础统计学知识即可,本书在附录部分对它们进行了简单的叙述。本书始终强调的是将这些技术有效地应用于处理金融领域中的真实数据和问题。 在金融和投资领域方面,本书假定读者已具有公司理财,金融市场和投资学的基础知识。因此,诸如现代投资组合理论、资本资产定价模型(CAPM)、套利定价理论(APT)、有效市场假说、衍生证券定价以及利率期限结构等问题,虽然在整本书中经常提及,但本书并未对其进行深入探讨。 -
Mostly Harmless Econometrics
The core methods in today's econometric toolkit are linear regression for statistical control, instrumental variables methods for the analysis of natural experiments, and differences-in-differences methods that exploit policy changes. In the modern experimentalist paradigm, these techniques address clear causal questions such as: Do smaller classes increase learning? Should wife batterers be arrested? How much does education raise wages? Mostly Harmless Econometrics shows how the basic tools of applied econometrics allow the data to speak. In addition to econometric essentials, Mostly Harmless Econometrics covers important new extensions--regression-discontinuity designs and quantile regression--as well as how to get standard errors right. Joshua Angrist and Jörn-Steffen Pischke explain why fancier econometric techniques are typically unnecessary and even dangerous. The applied econometric methods emphasized in this book are easy to use and relevant for many areas of contemporary social science. * An irreverent review of econometric essentials * A focus on tools that applied researchers use most * Chapters on regression-discontinuity designs, quantile regression, and standard errors * Many empirical examples * A clear and concise resource with wide applications -
时间序列分析
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金融时间序列分析
《金融时间序列分析》主要介绍了计量经济学和统计学文献中出现的金融计量方法方面的最新进展,强调实例和数据分析。特别是包含当前的研究热点,如风险值、高频数据分析和马尔町夫链蒙特卡罗方法等。主要内容包括:金融时间序列数据的基本特征,神经网络,非线性方法,使用跳跃扩散方程进行衍生产品的定价,采用极值理论计算风险值,带时变相关系数的多元波动率模型,贝叶斯推断。 《金融时间序列分析》可作为金融等专业高年级本科生或研究生的时间序列分析教材,也可供相关专业研究人员参考。