Reflecting current technological capacities and analytical trends, Computational Methods in Statistics and Econometrics showcases Monte Carlo and nonparametric statistical methods for models, simulations, analyses, and interpretations of statistical and econometric data. The author explores applications of Monte Carlo methods in Bayesian estimation, state space modeling, and bias correction of ordinary least squares in autoregressive models. The book offers straightforward explanations of mathematical concepts, hundreds of figures and tables, and a range of empirical examples. A CD-ROM packaged with the book contains all of the source codes used in the text.Model 2b (Time Varying Mean with Stochastic Volatility Error and Holiday Effect): In Models 1 - 3, we have not considered how long the stock market is closed between time t and time t - 1 . When we have much information into the market, theanbsp;...

Title | : | Computational Methods in Statistics and Econometrics |

Author | : | Hisashi Tanizaki |

Publisher | : | CRC Press - 2004-01-21 |

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