By Philip Hans Franses
A great functional advent to the fundamentals of econometrics.
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This intriguing quantity offers state of the art advancements in excessive frequency monetary econometrics, spanning a various variety of themes: marketplace microstructure, tick-by-tick information, bond and foreign currency echange markets and big dimensional volatility modelling. The chapters on industry microstructure take care of liquidity, asymmetries of data, and restrict order aggressiveness in natural restrict order e-book markets.
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Additional resources for Concise Introduction to Econometrics: An Intuitive Guide
1047-1056. K. (1992), "On the Price and Structural Efficiency in Farrell's Model," Bulletin of Economic Research, Vol. 44, pp. 281-300. K. (1994), "Estimating Efficiency by Cost Frontiers: Comparison of Parametric and Nonparametric Methods," to be published in Applied Economics Letters. M. (1957), "Technical Change and the Aggregate Production Function," Review of Economics and Statistics, Vol. 39, pp. 312-320. CHAPTER 2 Dynamics of Efficiency Dynamisation of efficiency in data envelopment analysis may be viewed in several forms, depending on the interpretation of efficiency.
16, Department of Economics, University of Oslo. J. (1957), "The Measurement of Productive Efficiency," Journal of Royal Statistical Society, Series A, Vol. 120, pp. 253-290. A. S. Schmidt, eds. (1993), The Measurement of Productive Efficiency: Techniques and Applications, New York: Oxford University Press. H. (1990), "A Gamma Distributed Stochastic Frontier Model," Journal of Econometrics, Vol. 46, pp. 141-163. Johansen, L. (1972), Production Functions, Amsterdam: North Holland. Leibenstein, H.
For nonstationary input-output data the question of fluctuations of efficiency over time raises important policy issues. One the one hand, frequent changes in technology and innovation may cause the mix 32 CHAPTER 1 of efficient firms to change over time. It may also involve unequal lags of adjustment and adaptivity as firms switch over to newer technologies. In macroeconomic growth models these issues are very important as they determine the course of growth in the long run. , Box-Cox transformations apply log transformations to the dependent and independent variables to obtain approximate normality.
Concise Introduction to Econometrics: An Intuitive Guide by Philip Hans Franses