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Conceptual Econometrics Using R - 1st Edition - ISBN: 9780444643117, 9780444643124

Conceptual Econometrics Using R, Volume 41

1st Edition

Serial Editor: C.R. Rao
Serial Volume Editor: Hrishikesh Vinod
Hardcover ISBN: 9780444643117
eBook ISBN: 9780444643124
Imprint: North Holland
Published Date: 22nd August 2019
Page Count: 330
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Table of Contents

Part I: Statistical Inference
1. Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
Jean-Marie Dufour and Julien Neves
2. New exogeneity tests and causal paths
Hrishikesh D. Vinod
3. Adjusting for bias in long horizon regressions using R
Kenneth D. West and Zifeng Zhao
4. Hypothesis testing, specification testing, and model selection based on the MCMC output using R
Yong Li, Jun Yu and Tao Zeng

Part II: Multivariate Models
5. Dynamic panel GMM using R
Peter C.B. Phillips and Chirok Han
6. Vector autoregressive moving average models
Wolfgang Scherrer and Manfred Deistler
7. Multivariate GARCH models for large-scale applications: A survey
Kris Boudt, Alexios Galanos, Scott Payseur and Eric Zivot

Part III: Miscellaneous Topics
8. Modeling fractional responses using R
Joaquim Jose Santos Ramalho
9. Quantitative game theory applied to economic problems
Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez and Cori Vilella


Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.

Key Features

  • Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
  • Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art


Quantitative scientists, especially in economics and finance. Students, teachers and researchers in various industries and sciences but also profit and nonprofit business decision makers and government policy makers


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22nd August 2019
North Holland
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Ratings and Reviews

About the Serial Editor

C.R. Rao

C.R. Rao

Professor C. R. Rao, born in India, is one of this century's foremost statisticians, and received his education in statistics at the Indian Statistical Institute (ISI), Calcutta. He is Emeritus Holder of the Eberly Family Chair in Statistics at Penn State and Director of the Center for Multivariate Analysis. He has long been recognized as one of the world's top statisticians, and has been awarded 34 honorary doctorates from universities in 19 countries spanning 6 continents. His research has influenced not only statistics, but also the physical, social and natural sciences and engineering.

In 2011 he was recipient of the Royal Statistical Society's Guy Medal in Gold which is awarded triennially to those "who are judged to have merited a signal mark of distinction by reason of their innovative contributions to the theory or application of statistics". It can be awarded both to fellows (members) of the Society and to non-fellows. Since its inception 120 years ago the Gold Medal has been awarded to 34 distinguished statisticians. The first medal was awarded to Charles Booth in 1892. Only two statisticians, H. Cramer (Norwegian) and J. Neyman (Polish), outside Great Britain were awarded the Gold medal and C. R. Rao is the first non-European and non-American to receive the award.

Other awards he has received are the Gold Medal of Calcutta University, Wilks Medal of the American Statistical Association, Wilks Army Medal, Guy Medal in Silver of the Royal Statistical Society (UK), Megnadh Saha Medal and Srinivasa Ramanujan Medal of the Indian National Science Academy, J.C.Bose Gold Medal of Bose Institute and Mahalanobis Centenary Gold Medal of the Indian Science Congress, the Bhatnagar award of the Council of Scientific and Industrial Research, India and the Government of India honored him with the second highest civilian award, Padma Vibhushan, for “outstanding contributions to Science and Engineering / Statistics”, and also instituted a cash award in honor of C R Rao, “to be given once in two years to a young statistician for work done during the preceding 3 years in any field of statistics”.

For his outstanding achievements Rao has been honored with the establishment of an institute named after him, C.R.Rao Advanced Institute for Mathematics, Statistics and Computer Science, in the campus of the University of Hyderabad, India.

Affiliations and Expertise

The Pennsylvania State University, University Park, PA, USA

About the Serial Volume Editor

Hrishikesh Vinod

Hrishikesh Vinod

Hrishikesh D. Vinod is a Ph. D. in economics from Harvard University, who has published over 200 research papers in refereed journals in Economics and Statistics. His R books include: (i) Hands-On Intermediate Econometrics Using R, (ii) Hands-on Matrix Algebra Using R, (World Scientific Publishers: Hackensack), and (iii) Advances in Social Science Research Using R. (Springer). His Wiley Interscience book (joint with D. P. Reagle) is entitled Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. His Marcel Dekker book (joint with A. Ullah) is Recent Advances in Regression Methods. Vinod was a researcher at the prestigious Bell Laboratories before becoming a tenured full professor of Economics at the 177-year old Fordham University in New York, where he is the Director of the Institute of Ethics and Economic Policy within Economics Department. The exceptionally diverse range and depth of Vinod’s research is seen from his CV at: `ResearchGate' reports that Vinod's work is cited by other researchers some 2700 times, attesting its originality and pioneering quality. The cited research may be classified into six categories. 1) Economic theory and applications: Joint production function, Demand function, Disequilibrium models, Elasticity of substitution, Kernel estimation of shape of demand curve, Poisson Model for Measuring the Returns to R&D, Fuzzy Latin Squares. 2) Econometric theory and applications: Bounds on variance of regression coefficients, Unit root, Double bootstrap, Maximum entropy methods, Causality from non-experimental data, economic distance between blacks and whites, Godambe-Durbin Estimating Functions in Econometrics, Maximum Entropy for singular covariance matrices, Projection Pursuit models. 3) Economic policy issues: Controlling corruption, Corporate governance, India's over-population, Hindu economics, Human rights, Entrepreneurship, Unemployment reduction prowess under Bush versus Obama, Preventing Madoff-Style Ponzi Schemes, Enhancing US power and influence in the UN, Stress testing, Tax cuts, Bank divestitures. 4) Mathematical Statistics and applications: Generalized Durbin-Watson test, Ridge regression extensions, Nonparametric regression using clusters, Generalized t ratio, Canonical ridge estimator, Closed forms for asymptotic bias and variance in autoregressive models, Consequences of perturbations of collinear data. 5) Combinatorics, Matrix algebra and applications: Inventory theoretic models of demand and Clustering by integer programming. 6) Software: Vinod's Journal of Economic Literature and American Economic Review articles discuss software numerical accuracy issues. Vinod's R packages are: `meboot’ for maximum entropy bootstrap and `generalCorr’ for generalized correlation coefficients and causality. Winner of several honors and awards including Fellow of the Journal of Econometrics and keynote speaker at international meetings.

Affiliations and Expertise

Fordham University, USA