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Statistics and Econometric Models. Themes in Modern Econometrics. Time Series and Dynamic Models. Themes in Modern Econometrics. Statistique de l'assurance. Collection "Economie et statistiques avancées". ARCH Models and Financial Applications. Springer Series in Statistics. Articles/Essays/Papers. Gourieroux, Christian; Jasiak, Joann (2002).
With A. Szafarz, Broze is the author of The Econometric Analysis of Non-Uniqueness in Rational Expectations Models (Contributions to Economic Analysis, Elsevier, 1991). With Szafarz and C. Gourieroux, she is the author of Reduced Forms of Rational Expectations Models (Fundamentals of Pure and Applied Economics 42, Harwood Academic Publishers ...
Econometrics may use standard statistical models to study economic questions, but most often they are with observational data, rather than in controlled experiments. [10] In this, the design of observational studies in econometrics is similar to the design of studies in other observational disciplines, such as astronomy, epidemiology, sociology and political science.
A basic tool for econometrics is the multiple linear regression model. [8] Econometric theory uses statistical theory and mathematical statistics to evaluate and develop econometric methods. [9] [10] Econometricians try to find estimators that have desirable statistical properties including unbiasedness, efficiency, and consistency.
In statistics, the concept of being an invariant estimator is a criterion that can be used to compare the properties of different estimators for the same quantity. It is a way of formalising the idea that an estimator should have certain intuitively appealing qualities.
An econometric model then is a set of joint probability distributions to which the true joint probability distribution of the variables under study is supposed to belong. In the case in which the elements of this set can be indexed by a finite number of real-valued parameters , the model is called a parametric model ; otherwise it is a ...
SHAZAM (Econometrics and Statistics Software) – comprehensive econometrics and statistics package; SigmaStat – package for group analysis; Simul – econometric tool for multidimensional (multi-sectoral, multi-regional) modeling; SmartPLS – statistics package used in partial least squares path modeling (PLS) and PLS-based structural ...
In statistics and econometrics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR) model. BVAR differs with standard VAR models in that the model parameters are treated as random variables, with prior probabilities, rather than fixed values.
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