Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.
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Table of Contents
Part I: Statistical Inference 1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R Jean-Marie Dufour and Julien Neves 2. New exogeneity tests and causal paths Hrishikesh D. Vinod 3. Adjusting for bias in long horizon regressions using R Kenneth D. West and Zifeng Zhao 4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R Yong Li, Jun Yu and Tao Zeng
Part II: Multivariate Models 5. Dynamic panel GMM using R Peter C.B. Phillips and Chirok Han 6. Vector autoregressive moving average models Wolfgang Scherrer and Manfred Deistler 7. Multivariate GARCH models for large-scale applications: A survey Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot
Part III: Miscellaneous Topics 8. Modeling fractional responses using R Joaquim Jose Santos Ramalho 9. Quantitative game theory applied to economic problems Sebasti�n Cano-Berlanga, Jos�-Manuel Gim�nez-G�mez and Cori Vilella
