Econometrics of Qualitative Dependent Variables
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Econometrics of Qualitative Dependent Variables by Christian Gourieroux
Book DescriptionThis textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.
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Book DetailsISBN: 9780521331494
(228mm x 152mm x 25mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 16-Oct-2000
Country of Publication: United Kingdom
Books By Author Christian Gourieroux
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This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.
Reduced Forms of Rational Expectations Models, Paperback (August 2013)
A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Financial Econometrics, Hardback (November 2001)» View all books by Christian Gourieroux
Financial econometrics is a great success story in economics. Intended for professionals and advanced graduate students pursuing expertise in econometric modeling, this guide focuses on methods related to foregoing research and those modeling techniques that seem relevant to future advances.
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