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Financial, Macro and Micro Econometrics Using R - 1st Edition - ISBN: 9780128202500, 9780128202517

Financial, Macro and Micro Econometrics Using R, Volume 42

1st Edition

Serial Volume Editors: Hrishikesh Vinod C.R. Rao
Hardcover ISBN: 9780128202500
eBook ISBN: 9780128202517
Imprint: North Holland
Published Date: 20th January 2020
Page Count: 349
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Table of Contents

Part I: Finance
1. Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
Arpita Mukherjee, Weijia Peng, Norman R. Swanson and Xiye Yang
2. Real time monitoring of asset markets: Bubbles and crises
Peter C.B. Phillips and Shuping Shi
3. Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability prediction
Jianghao Chu, Tae-Hwy Lee and Aman Ullah

Part II: Macro Econometrics
4. Mixed data sampling (MIDAS) regression models
Eric Ghysels, Virmantas Kvedaras and Vaidotas Zemlys-Balevičius
5. Encouraging private corporate investment in India
Hrishikesh Vinod, Honey Karun and Lekha S. Chakraborty
6. High-mixed frequency forecasting methods in R—With applications to Philippine GDP and inflation
Roberto S. Mariano and Suleyman Ozmucur
7. Nonlinear time series in R: Threshold cointegration with tsDyn
Matthieu Stigler

Part III: Micro Econometrics
8. Econometric analysis of productivity: Theory and implementation in R
Robin C. Sickles, Wonho Song and Valentin Zelenyuk
9. Stochastic frontier models using R
Giancarlo Ferrara


Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including 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, financial market jumps and co-jumps, among other topics.

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
  • Gives readers what they need to jumpstart their understanding on the state-of-the-art


Quantitative scientists, especially in Economics and Finance. The audience is not only students, teachers and researchers in various industries and sciences, but also profit and non-profit business decision makers and government policy makers


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© North Holland 2020
20th January 2020
North Holland
Hardcover ISBN:
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Ratings and Reviews

About the Serial Volume Editors

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

C.R. Rao

C. R. Rao is a world famous statistician who earned a place in the history of statistics as one of those “who developed statistics from its adhoc origins into a firmly grounded mathematical science.”

He was employed at the Indian Statistical Institute (ISI) in 1943 as a research scholar after obtaining an MA degree in mathematics with a first class and first rank from Andhra University in1941 and MA degree in statistics from Calcutta University in 1943 with a first class, first rank, gold medal and record marks which remain unbroken during the last 73 years.

“At the age of 28 he was made a full professor at ISI in recognition of his creativity.” While at ISI, Rao went to Cambridge University (CU) in 1946 on an invitation to work on an anthropometric project using the methodology developed at ISI. Rao worked in the museum of archeology and anthropology in Duckworth laboratory of CU during 1946-1948 as a paid visiting scholar. The results were reported in the book “Ancient Inhabitants of Jebel Moya” published by the Cambridge Press under the joint authorship of Rao and two anthropologists. On the basis of work done at CU during the two year period, 1946-1948, Rao earned a Ph.D. degree and a few years later Sc.D. degree of CU and the rare honor of life fellowship of Kings College, Cambridge.

He retired from ISI in 1980 at the mandatory age of 60 after working for 40 years during which period he developed ISI as an international center for statistical education and research. He also took an active part in establishing state statistical bureaus to collect local statistics and transmitting them to Central Statistical Organization in New Delhi. Rao played a pivitol role in launching undergraduate and postgraduate courses at ISI. He is the author of 475 research publications and several breakthrough papers contributing to statistical theory and methodology for applications to problems in all areas of human endeavor. There are a number of classical statistical terms named after him, the most popular of which are Cramer-Rao inequality, Rao-Blackwellization, Rao’s Orthogonal arrays used in quality control, Rao’s score test, Rao’s Quadratic Entropy used in ecological work, Rao’s metric and distance which are incorporated in most statistical books.

He is the author of 10 books, of which two important books are, Linear Statistical Inference which is translated into German, Russian, Czec, Polish and Japanese languages,and Statistics and Truth which is translated into, French, German, Japanese, Mainland Chinese, Taiwan Chinese, Turkish and Korean languages.

He directed the research work of 50 students for the Ph.D. degrees who in turn produced 500 Ph.D.’s. Rao received 38 hon. Doctorate degree from universities in 19 countries spanning 6 continents. He received the highest awards in statistics in USA,UK and India: National Medal of Science awarded by the president of USA, Indian National Medal of Science awarded by the Prime Minister of India and the Guy Medal in Gold awarded by the Royal Statistical Society, UK. Rao was a recipient of the first batch of Bhatnagar awards in 1959 for mathematical sciences and and numerous medals in India and abroad from Science Academies. He is a Fellow of Royal Society (FRS),UK, and member of National Academy of Sciences, USA, Lithuania and Europe. In his honor a research Institute named as CRRAO ADVANCED INSTITUTE OF MATHEMATICS, STATISTICS AND COMPUTER SCIENCE was established in the campus of Hyderabad University.

Affiliations and Expertise

University of Hyderabad Campus, India