Econometrics Books

This book introduces some basal concepts and also includes the recent technology in nonlinear time series. It's not difficult to understand even if you are a novel. The cited references may help you to go further steps in this area.

This is an excellent monograph. The authors have provided an up-to-date analysis of parametric and nonparametric methods with a comprehensive bibliography. The book is very readible. The authors combine elements of descriptive overview, nontrivial examples and theorems / proofs.

Econophysics a relative, new and exciting field often (and justifiably?) suffers from bad press, as this definition taken from http://www.worldwidewords.org/turnsofphrase/tp-eco2.htm points out:

"It is the application of the principles of mathematical physics to the study of financial markets. Experts are beginning to discover that the world economy behaves like a collection of electrons or a group of water molecules that interact with each other. With new tools of statistical analysis, like the recent breakthroughs in understanding chaotic systems, it is beginning to be possible to make sense of these hugely complicated systems (one year of the world's financial markets produces about 24 CD-ROMs' worth of data, so there's no shortage of material to number-crunch). As a result, specialists are addressing a variety of questions that are difficult or impossible to understand using conventional economic principles: Is the market random, or is there any underlying order? In particular, are there any long-term trends that can be foretold? Are financial crashes inevitable? Someone who is an expert in this arcane field is an econophysicist."


Here in lies its weakness, eoconphysics is percieved not only as mathematically, but also as conceptually non intutive and difficult for anyone but the the seasoned physicsist or mathematician who has had years of prior experience in statistics and mathematical physics in order to grasp both the qualitative and quantative flavor of the burgeoning filed!

Perhaps this was true until the advent of books like this, it is simple, straightforward approach not only captures the essence of the field but also provides useful history on the evolution of the field as a new sub discipline.

The text is remarkably readable and is accessible not only to graduate and undergraduate students in Physics and Economics but perhaps even to a good high school student with a working knowledge of statistics and calculus, with its focus on comparative emperical studies and the construction of models that reflect data as opposed to theory.

Each chapter presents plenty of data and the author at each step explains not only economically but alos physically what is occuring as he builds his models and explains his methods of analysis.

This is an excellent self contained book and a joy to read.

In their book on game theory John von Neumann
and Oskar Morgenstern observe that it is the
study of "free fall which brought forth mechanics".
But, contrary to conventional wisdom, the study of
free fall did not rest solely on observing the
fall of an apple.
The author aptly notes that it required the observation
of a whole set of falling bodies in order to
get rid of a bunch of unessential factors and to
single out the influence of gravity. And of course
it required Newton's genius to include into this
set of falling bodies the "fall" of the moon.
In short, by describing in detail a single
stockmarket crash one will fail to understand what is
common to ALL stockmarket crashes. The author extends
the argument even further: by focusing solely on stock
markets one will fail to recognize what is common
to a broad variety of speculative episodes.
One might think that there
is a big difference between a price peak for postage
stamps and one for stock prices but this difference may
be more appearant than real as indeed
is the difference between the fall of an apple and that
of the moon.
What kind of results are brough about by this
unconventional approach?
At the present time (October 2002) we are particularly
interested in real estate prices. Will they continue to
rise, will they stabilize or are they going to fall in the
coming years?
The sections on real estate price peaks provide several
clues:
1) It is in the most expensive markets
(e.g. San Francisco as opposed to say Pittsburgh, PA) that
prices begin to rise first at the start of the
peak; it is in these markets that prices peak first
which gives a hint about when the downturn will occur in
other markets; and it is in expensive
places that the price increases are the strongest.
2) Price peaks for real estate resemble those for
stocks in that they are almost symmetrical with respect
to the maximum; which means that where prices experienced
strong increases, they also experience
big declines.
The last part of the book provides a theoretical framework.
It begins with an insightful chapter that points out that
there are in fact two classes of speculative peaks: the
U- and the S-class. The first includes all bulky commodities,
the second comprises real property, collector books,
diamonds, bonds and in a general way
all items for which transportation cost plays no
role and for which investors can (at negligible cost)
select the item that they want to buy.
The last chapters show how these effects can be accounted
for provided one uses a model which includes a memory effect.
This means that one should use a dynamical equation of order
at least equal to two. In addition,
a basic parameter
is the proportion of investors,i.e. people who buy in order
to sell with a profit within a few years, with respect
to the number of "users"
who buy a house in order to live in it for say
a generation.
A superb book. On almost every page, good ideas
come swirling and densily packed.

This book has been of tremendous help to me while taking my economics and finance classes. Somehow the author simplifies the most difficult concepts and every page was key for me to build strong basis and get ready for my courses. If you are thinking of starting an MBA, this is the best way to start this challenging journey!

PreMBA Analytical Primer guides you the best way to start your finance and economics maths. Besides how easy-to-understand it is, not only shows you which skills will be needed but also what for to go through your degree. As a beginner I strongly recommend this book as I have worked hard to get my MBA and this is what I need to continue.

The book is excellent with a nice mix of theory and applications in DEA. I believe this is the best book on DEA. Of special interest is the CD that looks at many DEA models. The CD has no competitor and is by far the best around. I have used this CD in many of my academic papers on DEA. If you need DEA software this is the book.

This is the DEA book has many DEA models that you can apply with the software supplied. The software is an Excel Add-In which can be easily used. The book also has good intro. on DEA. It is a book for both DEA beginner and advanced users.

This is real-world macroeconomics. The kind you need to work with planning and policy instead of playing games to pass exams. The aim is to answer practical questions and the approach is flexible enough to let one incorporate idiosyncrasies of real economies.

This book introduces a methodology for considering the totality of macro-economic variables that can adjust when an exchange rate devaluates, capital flight occurs, a government holds a persistent budget deficit--or the IMF enforces its elimination. The power of this approach is the ability to lay out the variables without predetermining how they will interact. That is the kind of tool that helps policy-makers think about problems as they break, before books have been written on how to correct them. Furthermore, while this approach is mathematically formal, the mathematics are designed to assist, rather than mystify. This means that social scientists (with a little concentration) can use this book as well as the more mathematically inclined.

The book is a good source of information on stable distributions (univariate and multivariate) and on their applications in different finance areas, including modeling of financial returns, portfolio analysis, option pricing, and risk management. The book might be helpful not only to finance researchers and practitioners but also to others who encounter heavy-tailed and/or skewed processes, for example, econometricians and actuaries.

The adoption of stable modeling in finance and econometrics is undoubtedly one of the most interesting and promising ideas which has arisen in these fields. It is now widely accepted that classical models for the description of the dynamics of financial and economic variables suffer from major structural weaknesses, as they fail to explain important features of the empirical data. Therefore, the search for new more powerful models is a fundamental and fascinating topic of research. In this book, Rachev and Mittnik, two of the most prominent experts in so-called Stable Finance, present a wealth of convincing arguments to support the claim that stable models offer the right approach to the subject. Their monograph, which collects a large part of the authors' work in stable financial modeling, brings together innovative insights as well as new elegant explanations of financial and economic phenomena. Eduardo S. Schwartz, California Chair in Real Estate and Professor of Finance Anderson School of Management University of California, Los Angeles September 1999

During my Ph.D.,I have found this book very useful. It covers a lot of new results in econometrics. I think it is not only a reference book for graduate students but also a guide for academic researchers.

I think this book is a good reference point for graduate students and academicians alike. It provides a very nice review of testing issues as well as empirical bayesian methods.

This book discusses the nature of Exogeneity from both theoretical and applied perspectives. It includes the original source papers, from Econometrica and other Journals, which contain clarifications and tests of exogeneity, applications of the tests of exogeneity, and refinements of the testing procedures. Contributors include: Robert Engle, Neil Ericsson, David Hendry, Soren Johansen, and many others.

This book discusses the nature of Exogeneity from both theoretical and applied perspectives. It includes the original source papers, from Econometrica and other Journals, which contain clarifications and tests of exogeneity, applications of the tests of exogeneity, and refinements of the testing procedures. Contributors include: Robert Engle, Neil Ericsson, David Hendry, Soren Johansen, and many others.

Economics has been rigorized and advanced by the brilliant work of Debreu and Mas-Collel relating differential topology to the structure of the pseudo-equilbrium manifold. This book is an incredible summary and extension of that project, critical to our understanding of the economy.

Making use of differential topology, Andreu Mas-Collel's book is an excellent synthesis of new techniques in general equilbrium theory. Traditionally, general equilibrium theory has been dominated by convexity analysis. The existence have been driven by assumptions such as convex preferences. Mas-Collel shows another possible route from which to analyze markets : conditions on derivatives. Amongst other acheivements, the book discusses how using a differentiable approach can allow for simple calculations on the number of equilibria (using index theory). Counting the number of equilibria is an area where the traditional convexity approach has been remarkably unsuccessful. The theory is elegant and straight-forward.

The presentation is clear. The book begins with an introduction to differential topology giving the less mathematically sophisticated reader enough background in concepts like transversality to understand the economics results which are proved later in the book. Concepts are developped slowly and in an intelligent manner with equilibrium theories occurring later in the book. On the whole, this book is a great contribution to economics and ought to be required reading for all economic theorists.

"In To Form a More Perfect Union, Robert A. McGuire attempts to provide the first solid modern analysis to quantify the impact of the personal economic interests of the Founding Fathers on the structure and content of the U.S. Constitution. Readers familiar with the literature in this area will immediately, and correctly, associate this book with Charles A. Beard's Economic Interpretation of the Constitution of the United States (New York: Macmillan, [1913] 1935). In that book, Beard concludes that the delegates' personal interests shaped their behavior with respect to the drafting and the ratification of the U.S. Constitution. His hypothesis was generally accepted until the 1950s, when most scholars began to question the analysis. An onslaught of counterevidence came during the 1950s and early 1960s, and today most academics believe that Beard's original interpretation was too narrow and that the general political philosophies of the Founding Fathers had greater importance in determining the nature and contents of the U.S. Constitution.

"McGuire essentially resurrects Beard's hypothesis and offers substantial evidence in favor of the view that the Founding Fathers' personal interests had a significant influence on the process of constitutional design and ratification. In light of the substantial body of empirical evidence this book provides, it is likely to bring the personal interest view back into widespread acceptance among academics. Although McGuire draws some of the analysis presented in the book from his previously published journal articles, at least half of what he offers is new and original. What makes the book so compelling is the use of today's significantly better empirical methodology to analyze data, in contrast to the techniques available during the 1950s, when the counterevidence to Beard's hypothesis was presented.

"Readers searching for a middle ground in the debate over whether personal self-interest shaped the U.S. Constitution will find refuge in this book. McGuire repeatedly makes clear that these personal interests were relevant at the margin in the Founding Fathers' decision calculus and that many other factors (such as general political philosophy) influenced these individuals' overall behavior. Among the most compelling findings: (1) personal interests played a bigger role in the specific content of the U.S. Constitution than in the document's overall design; and (2) the framers' debt holdings and slave ownership and the degree of commercialization in their local communities are significantly correlated with their observed behavior and, hence, with the content of the constitution they produced....

"One of the book's strengths is the amount of underlying background data and statistics provided. For example, McGuire includes tables that show not only each individual delegate's vote on an issue (the data used for the dependent variable), but also the predicted probability of a yes vote for that delegate from the estimated logistic regression model. As anyone who has estimated a logistic regression model knows, it is possible for these models to fit well overall but still do a poor job of predicting individual votes. Throughout the book, however, McGuire provides the evidence necessary to comfort readers worried about such potential problems. The book's main weakness is that at times it becomes rather lengthy and dull, but this aspect is simply a cost of being thorough, which is necessary in this case because of the controversial nature of the theory being tested.

"For the great number of readers who are likely to use the results of the book as a single-sentence footnote or reference in their own research, the eleven-page prologue provides all of the background and summary information necessary to make an informed citation of the work. The remaining three hundred or so pages merely fill in the sufficient details to support these conclusions. In that sense, the book reminds me somewhat of Bjorn Lomborg's Skeptical Environmentalist (Cambridge: Cambridge University Press, 2001).

"Had I been a reviewer for the book prior to its publication, the only suggestion I might have offered to improve it would have been for the author to include a fuller discussion of the debate surrounding the adequacy and structure of the document that preceded the U.S. Constitution, the Articles of Confederation.... Had McGuire presented this discussion, he would have provided a fitting framework in which to view the Founding Fathers' choices as marginal institutional changes relative to the existing constitutional order.

"To Form a More Perfect Union undoubtedly will elicit additional research in this highly debated area of constitutional research. Future research will benefit from the 122 pages of raw data and empirical results provided as appendix material. McGuire's book most likely will meet with a better initial acceptance than Beard's book received (it was banned from high school libraries in Seattle and condemned by President Taft and by the president of Beard's own university).

"One important implication of McGuire's book is that the condition of a Rawlsian `veil of ignorance,' putatively necessary to produce a `just' social contract, is not and cannot be satisfied in reality. Any constitution or social contract will be shaped by its designers' individual self-interests. Modern public-choice scholars who favor theories based on the premise of methodological individualism will find comforting reassurance as they read To Form a More Perfect Union."

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Excerpted from a review by Russell S. Sobel in "The Independent Review," Winter 2004.

Colloquially speaking, the main thesis of this book is that the Constitution of the United States was ratified by those who "voted their pocketbook." This has been claimed before in both popular culture and by the historian Charles Beard in his books written in the early years of the twentieth century. What sets this book apart from Beard's work however is that the author attempts, and succeeds to a large degree, to justify his claims with a rigorous statistical study. For those with the appropriate mathematical background and interest in the subject matter will find the book fascinating, even though at times the reader can get lost in the details. Absent for the most part though, and this is refreshing, is excessive moralizing by the author, for such would make the book irritating to some, with a consequent loss in readership.

The main mathematical tool used is logistic regression, which it is fair to say is the most popular tool among economists, even though at times it strains credulity to apply it in some situations that they do. This book could even be used by statistics instructors as a source of more challenging problems in logistic regression. Overall the author is convincing in his use of this tool, and therefore the conclusions of the book are difficult to counter if one accepts logistic regression as being a viable tool. It certainly is in other contexts, such as finance and biological modeling.

If one investigates the economic history of the United States after the war of independence it is not surprising to hear that Americans at the time were fed up with the loose conglomeration of states under the Articles of Confederation. Being financed essentially by paper money by the Continental Congress this currency suffered dramatic depreciation in value as the war dragged on. Some economic historians have estimated that $449 million dollars were issued during this time by the Continental Congress and the states, with none of it bearing interest. Certainly this situation motivated many at the time to seek a hard-money policy, and their attitudes are reflected in their votes for the ratification of the Constitution, as the author shows clearly in this work. To allow the states to issue paper money by fiat would be an anathema to those who lived through it during the war, and its prohibition in the Constitution would thus be a very desirable goal.

The Constitution of the United States is thus a product of the attitudes and interests of those who framed it and voted to adopt it. But their intentions, whether economic or otherwise, are in the final analysis irrelevant since only its social, moral, and legal efficacies are important. If the Constitution is an umbrella of freedom and sound justice for all of its citizens then it does not matter what the intentions of its founders are. If it is not, it should be altered, and it does not matter what the intentions are of those who alter it. The primary value of studying intentions is to shed light on the attitudes of the citizens at the time, and how they reacted to the absence of British rule after the war. No longer a part of the world market system via the British mercantile system, and having a government that could not pay the interest on domestic and foreign debt, they sought out a new alliance, a new government, to ameliorate their dire situation. Their efforts were in retrospect successful, and the government they invented has done a fair job since then.