Econometrics books

Volume 27 of the International Symposia in Economic Theory and Econometrics series collects a range of unique and diverse chapters, each investigating different spheres of development in emerging markets with a specific focus on significant engines of growth and advancement in the Asia-Pacific economies.  Looking at the most sensitive issues behind economic growth in emerging markets, and particularly their long-term prospects, the chapters included in this volume explore the newest fields of research to understand the potential of these markets better. Including chapters from leading scholars worldwide, the volume provides comprehensive coverage of the key topics in fields spanning SMEs, terrorism, manufacturing waste reduction, financial literacy, female empowerment, leadership and corporate management, and the relationship between environmental, social, governance, and firm value.  For students, researchers and practitioners, this volume offers a dynamic reference resource on emerging markets across a diverse range of topics.

Technical analysis points out that the best source of information to beat the market is the price itself. Introducing readers to technical analysis in a more succinct and practical way, Ramlall focuses on the key aspects, benefits, drawbacks, and the main tools of technical analysis. Chart Patterns, Point & Figure, Stochastics, Sentiment indicators, Elliot Wave Theory, RSI, R, Candlesticks and more are covered, including both the concepts and the practical applications. Also including programming technical analysis tools, this book is a valuable tool for both researchers and practitioners.

The volume contains articles that should appeal to readers with computational, modeling, theoretical, and applied interests. Methodological issues include parallel computation, Hamiltonian Monte Carlo, dynamic model selection, small sample comparison of structural models, Bayesian thresholding methods in hierarchical graphical models, adaptive reversible jump MCMC, LASSO estimators, parameter expansion algorithms, the implementation of parameter and non-parameter-based approaches to variable selection, a survey of key results in objective Bayesian model selection methodology, and a careful look at the modeling of endogeneity in discrete data settings. Important contemporary questions are examined in applications in macroeconomics, finance, banking, labor economics, industrial organization, and transportation, among others, in which model uncertainty is a central consideration.

Dynamic factor models (DFM) constitute an active and growing area of research, both in econometrics, in macroeconomics, and in finance. Many applications lie at the center of policy questions raised by the recent financial crises, such as the connections between yields on government debt, credit risk, inflation, and economic growth. This volume collects a key selection of up-to-date contributions that cover a wide range of issues in the context of dynamic factor modeling, such as specification, estimation, and application of DFMs. Examples include further developments in DFM for mixed-frequency data settings, extensions to time-varying parameters and structural breaks, for multi-level factors associated with subsets of variables, in factor augmented error correction models, and in many other related aspects. A number of contributions propose new estimation procedures for DFM, such as spectral expectation-maximization algorithms and Bayesian approaches. Numerous applications are discussed, including the dating of business cycles, implied volatility surfaces, professional forecaster survey data, and many more.

Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career. The volume features original papers on the theory and practice of econometrics that is related to the work of Aman Ullah. Topics include nonparametric/semiparametric econometrics; finite sample econometrics; shrinkage methods; information/entropy econometrics; model specification testing; robust inference; panel/spatial models. Advances in Econometrics is a research annual whose editorial policy is to publish original research articles that contain enough details so that economists and econometricians who are not experts in the topics will find them accessible and useful in their research.

Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao. In the first few chapters of this book, new theoretical panel and time series results are presented, exploring JIVE estimators, HAC, HAR and various sandwich estimators, as well as asymptotic distributions for using information criteria to distinguish between the unit root model and explosive models. Other chapters address topics such as structural breaks or growth empirics; auction models; and semiparametric methods testing for common vs. individual trends. Three chapters provide novel empirical approaches to applied problems, such as estimating the impact of survey mode on responses, or investigating how cross-sectional and spatial dependence of mortgages varies by default rates and geography. In the final chapters, Cheng Hsiao offers a forward-focused discussion of the role of big data in economics.  For any researcher of econometrics, this is an unmissable volume of the most current and engaging research in the field.

The collection in Volume 43 Part A of Advances in Econometrics serves as a tribute to Professor M. Hashem Pesaran. Hashem is one of the most innovative, influential, and productive econometricians of his generation, with over 200 papers published in leading scientific journals to his credit along with highly influential books on both theoretical and applied topics, significantly pushing forward the frontiers of knowledge in econometrics and economics. Thanks to his profound and pioneering work on theoretical and empirical questions, the economics profession has gained a much better understanding of both the power and limitations of econometric analysis. Consistent with Hashem’s contributions, this volume comprises of chapters on a variety of topics covering prediction and macroeconomic modelling. The list of topics includes studies on Bayesian Quantile regression methods, forecasting implications from the economic impact of global warming, assessment of DSGE models, and parameter estimation in the presence of multiple breaks.

The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to Professor M. Hashem Pesaran. Hashem is one of the most innovative, influential, and productive econometricians of his generation, with over 200 papers published in leading scientific journals to his credit along with highly influential books on both theoretical and applied topics, significantly pushing forward the frontiers of knowledge in econometrics and economics. Thanks to his profound and pioneering work on theoretical and empirical questions, the economics profession has gained a much better understanding of both the power and limitations of econometric analysis. Reflecting the diversity of Hashem’s many contributions, this volume includes chapters on a wide variety of topics, including panel modelling, micro applications, and econometric methodology. The long list of topics includes studies analysing multiple treatment effects in panels, heterogeneity and aggregation, an exploration of the Orthogonal to Backwards Means (OBM) estimator, and an examination of potential reasons for anaemic productivity growth in Italy using recent dynamic heterogeneous panel data methods developed by Hashem Pesaran and his co-authors.

This is Volume 24 of the monograph series International Symposia in Economic Theory and Econometrics. ISETE publishes proceedings of conferences and symposia, as well as research monographs of the highest quality and importance. All articles published in these volumes are refereed relative to the standards of the best journals, therefore not all papers presented at related symposia are published in these proceedings volumes. The topics chosen for these volumes are those of particular research importance at the time of the selection of the topic.

This volume of the International Symposia in Economic Theory and Econometrics explores the latest economic and financial developments in Asia. Chapters cover a range of topics such as the online market's impact on Indonesia's social welfare system, the influence of organizational culture on the triple bottom line performance of large manufacturing companies in the Philippines, and the impact of economic policy uncertainty on foreign direct investment inflows in India. These peer-reviewed papers touch on a variety of timely, interdisciplinary subjects such as sustainability and the effects of public policy. Recent Developments in Asian Economics also includes empirical studies in financial economics and public governance. For example, one chapter considers the consumption and satisfaction of Chinese rural residents, while another empirically studies the effects of sharia disclosure and sharia supervisory boards on Islamic banks' soundness. The papers in this volume have been compiled from four conferences in Asia and Australia, including the SIBR 2020 Sydney Conference on Interdisciplinary Business and Economic Research, which was held in Sydney, Australia; the 5th Indonesian Finance Association (IFA) Conference held in Manado, Indonesia in 2019; the 1st International Doctoral Colloquium on Business and Economics in Surakarta, Indonesia; and the 5th Sebelas Maret International Conference on Business, Economics and Social Sciences held in 2018 in Bali, Indonesia. Together, ISETE 28 is a crucial resource of current, cutting-edge research for any scholar of international finance and economics.