Computer-aided introduction to econometrics (Q4806201)

This book is a collection of seven contributions to different fields of econometrics which can be classified into three parts. The first part deals with standard regression analysis, the second with time series analysis, and the final part with numerical optimization methods. The book is addressed to undergraduate students and/or applied researchers and practitioners to develop professional skills in econometrics. The basic intention of the book is to teach econometrics using the resources from the internet by incorporating an interactive computing internet based method that allows to practize all the techniques presented and discussed in this book. Therefore, the editor refers to his book as an e-book. The relevant web-site can be opened by www.xplore.de or www.quantlet.com. The first two chapters in the regression part present an introduction to elementary econometrics for the univariate as well as for the multivariate linear regression model. All of the material presented in these two chapters is well known, therefore, it is unnecessary to comment on it. Chapter three presents procedures for dimension reduction and gives several applications of the different methods. The second part of the book starts with an introduction to univariate time series analysis. The fourth chapter of the book, written by Moral and González, starts with a brief introduction to linear stationary models. After the introductory part, emphasis is put on nonstationary time series, distinguishing nonstationarity in the variance and nonstationarity in the mean of a time series. Testing for nonstationarity by unit root tests is provided next. How one can forecast with ARIMA models is explained in the following section. Also contained in the chapter are some remarks on cointegration and error correction models. The next chapter, by Chen et al., introduces multiplicative SARIMA models. This class of models is well suited if time series exhibit clear-cut seasonal patterns. More advanced topics are considered by Olave and Alcalá, who discuss ARCH models and their extensions. In this chapter, two examples of ARCH models are given, dealing with the Spanish financial markets. Part three of the book is concerned with numerical optimization methods in econometrics. This contribution starts with a solution oriented approach for solving nonlinear equations or systems of nonlinear equations. The algorithms applied to these problems are the Newton-Raphson method as well as a modified Newton-Raphson approach for systems of nonlinear equations. The second main topic of the third parts deals with minimization of a function, distinguishing between the one-dimensional and the multidimensional case.