Nowadays applied work in business and ecomics requires a solid understanding of ecometric methods to support decision-making. Combining a solid exposition of ecometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current ecometrics. Taking a 'learning by doing' approach, it covers basic ecometric methods (statistics, simple and multiple regression, nlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagstic testing and model improvement. Its last part is devoted to two major application areas: the ecometrics of choice data (logit and probit, multimial and ordered choice, truncated and censored data, and duration data) and the ecometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simu
Christiaan Heij is Associate Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics. Paul de Boer is Assistant Professor at the Econometric Institute of the Erasmus University in Rotterdam and specialises in econometrics and statistics. Philip Hans Franses is Professor of Applied Econometrics and Professor of Marketing Research, both at the Erasmus University Rotterdam. He has published in leading international journals on applied econometrics, time series analysis, empirical finance, and marketing research. He is the (co-)author of various books published by Oxford University Press and Cambridge University Press. Teun Kloek is Professor Emeritus of Econometrics at Erasmus University Rotterdam. He has published in leading international journals on econometric theory, applied econometrics and quantitative economics. Herman K. van Dijk is Professor of Econometrics and director of the Econometric Institute of the Erasmus University in Rotterdam. His fields of research are Bayesian Inference and Decision Analysis in Econometrics, Computational Economics, Stochastic Trends and Cycles in Time Series Econometrics and Income Distributions.
Christiaan Heij, Erasmus University in Rotterdam, Herman K. van Dijk, Paul de Boer, Philip Hans Franses, Teun Kloek