Programming 1 1 Setting up 3 1.1 Installing R 3 1.2 Starting R 3 1.3 Working directory 4 1.4 Writing scripts 5 1.5 Help 5 1.6 Supporting material 5 2 R as a calculating environment 11 2.1 Arithmetic 11 2.2 Variables 12 2.3 Functions 13 2.4...

CHAPTER 1 The Basis for, and Advantages of, Bayesian Model Estimation via Repeated Sampling CHAPTER 2 Hierarchical Mixture Models Hierarchical Mixture Models CHAPTER 3 Regression Models Regression Models CHAPTER 4 Analysis of Multi-level D...

Preface Contributors Introduction 1. Some Methodological Questions Arising from Large Data Sets Clive W.J. Granger Applications of Simulation Methods 2. Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions Jean-Marie Duf...

Preface.Acknowledgments. Acronyms. 1. Introduction to Bayesian inference. 1.1 Introduction: Bayesian modeling in the 21st century. 1.2 Definition of statistical models. 1.3 Bayes theorem. 1.4 Model-based Bayesian Inference. 1.5 Inference u...

Contents: 1. General Introduction 2. Examples of the EMAlgorithm 3. Basic Theory of the EM Algorithm 4. Standard Errors and Speeding Up Convergence 5. Extensions of the EM Algorithm 6. Miscellaneous Topics...

Contents 1. TRADING MECHANISMS, EXCHANGES AND MARKET MICROSTRUCTURE 1. Introduction 2. Price settings in financial markets 2.1 The Walrasian auction 2.2 Price driven and order driven markets 2.3 Characteristics of trading mechanisms 2.4 Ma...

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v 1 Variability, Information, and Prediction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.0.1 The Curse of Dim...

Contents List of Figures xvii Preface xix 1 Finite-Sample Properties of OLS 2 Large-Sample Theory 3 Single-Equation GMM 4 Multiple-Equation GMM 5 Panel Data 6 Serial Correlation 7 Extremum Estimators 8 Examples of Maximum Likelihood 9 Unit...

1 Initial Tasks and Overview 1 Helmut Lutkepohl 1.1 Introduction 1 1.2 Setting Up an Econometric Project 2 1.3 Getting Data 3 1.4 Data Handling 5 1.5 Outline of Chapters 5 2 Univariate Time Series Analysis 8 Helmut Lutkepohl 2.1 Characteri...

1 models 2 Statistical problems and decision theory 3 statistical information: classical approach 4 baesian interpretations of sufficiency, ancillarity, and indentification 5 elements of estimation theory 6 unbiased estimation 7 maximum li...