Handbook of computational econometrics
By: edited by David A. Belsley, Erricos Kontoghiorghes.
Contributors: Belsley, David A.; Kontoghiorghes, Erricos John.
Publisher: Wiley
Published: 2009
Place of publication: Chichester, U.K
Language: eng
Number of pages: 496
ISBN-13: 9780470743850
Subjects: Econometrics -- Computer programs; Economics -- Statistical methods; Econometrics -- Data processing
Description: "Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations.    This book:  Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies.  Brings together contributions from leading researchers.  Develops the techniques needed to carry out computational econometrics.  Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation.      This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels"--Provided by publisher.

"This project's main focus is to provide a handbook on all areas of computing that have a major impact, either directly or indirectly, on econometric techniques and modelling. The book sets out to introduce each topic along with a more in-depth look at methodologies used in computational econometrics, to include use of econometric software and evaluation, bootstrap testing, algorithms for control and optimization and looks at recent computational advances"--Provided by publisher.
Notes: Includes bibliographical references and index.
Table of contents: title: Econometric software; title: The accuracy of econometric software; title: Heuristic optimization methods in econometrics; title: Algorithms for minimax and expected value optimization; title: Nonparametric estimation; title: Bootstrap hypothesis testing; title: Simulation-based Bayesian econometric inference: principles and some recent computational advances; title: Econometric analysis with vector autoregressive models; title: Statistical signal extraction and filtering: a partial survey; title: Concepts of and tools for nonlinear time-series modelling; title: Network economics.