in Finite Sample Econometrics
May 2004; p ublished online August 2004 .
Chapter. Subjects: Econometrics and Mathematical Economics. 22546 words.
This chapter derives techniques for obtaining exact and approximate moments of a function of random vector/matrix. A special case of the function considered is the ratio of quadratic forms,...
in Econometrics in a Formal Science of Economics
December 2014; p ublished online September 2015 .
Chapter. Subjects: Econometrics and Mathematical Economics. 10455 words.
Chapter VI begins with a discussion of the axioms of a formal theory-data confrontation in which the data appear as vector-valued sequences of observations of a vector-valued random...
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in High-Frequency Financial Econometrics
July 2014; p ublished online October 2017 .
Chapter. Subjects: Econometrics and Mathematical Economics. 14454 words.
This chapter starts with a brief reminder about a number of concepts and results which pertain to classical statistical models, without specific reference to stochastic processes. It then...
October 2016; p ublished online December 2016 .
Book. Subjects: Econometrics and Mathematical Economics. 416 pages.
Panel data is a data type increasingly used in research in economics, social sciences, and medicine. Its primary characteristic is that the data variation goes jointly over space (e.g....