ABSTRACT

Emphasizing the impact of computer software and computational technology on econometric theory and development, this text presents recent advances in the application of computerized tools to econometric techniques and practices—focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.

chapter 1|8 pages

Some Methodological Questions Arising from Large Data Sets

ByClive W. J. Granger

chapter 2|26 pages

Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions

ByJean-Marie Dufour, Lynda Khalaf

chapter 4|22 pages

On Bootstrap Coverage Probability with Dependent Data

ByJanis J. Zvingelis

chapter 7|25 pages

Testing for Unit Roots in Semiannual Data

BySandra G. Feltham, David E. A. Giles

chapter 9|28 pages

Bayesian Inference in the Seemingly Unrelated Regressions Model

ByWilliam E. Griffiths

chapter 12|31 pages

Neural Networks: An Econometric Tool

ByJohan F. Kaashoek, Herman K. van Dijk

chapter 15|26 pages

Nonparametric Bootstrap Specification Testing in Econometric Models

ByTae-Hwy Lee, Aman Ullah