Econometrics of Qualitative Dependent Variables by Christian Gourieroux
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Econometrics of Qualitative Dependent Variables
By Christian Gourieroux

Econometrics of Qualitative Dependent Variables

By (author) See other recent books by Christian Gourieroux
Series edited by P.C.B. Phillips See other recent books by P.C.B. Phillips See other recent books by Eric Ghysels
Format: Hardback

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Econometrics of Qualitative Dependent Variables by Christian Gourieroux

Book Description

This 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 Details

ISBN: 9780521331494
ISBN-10: 0521331498
Classification: Economic statistics , Social research & statistics , Probability & statistics
Format: Hardback (228mm x 152mm x 25mm)
Pages: 384
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 16-Oct-2000
Country of Publication: United Kingdom

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Books By Author Christian Gourieroux

Granularity Theory with Applications to Finance and Insurance by Christian Gourieroux Granularity Theory with Applications to Finance and Insurance, Paperback (September 2014)

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 by Christian Gourieroux 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.

Econometrics of Individual Risk by Christian Gourieroux Econometrics of Individual Risk, Hardback (January 2007)

Risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be devastating as macroevents such as share-price fluctuations. This work provides an econometric methodology for quantifying and managing this underappreciated but important variety of risk. It is of interest to graduate students in economics.

Financial Econometrics by Christian Gourieroux Financial Econometrics, Hardback (November 2001)

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.

» View all books by Christian Gourieroux

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Recent books by Christian Gourieroux close
Granularity Theory with Applications to Finance and Insurance by Christian Gourieroux
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Econometrics of Qualitative Dependent Variables by P.C.B. Phillips
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