Econometrics and Mathematical Economics
The Credit Scoring Toolkit NEW EDITION
PRAC TIC AL ECONOMETRICS
Theory and Practice for Retail Credit Risk Introduction to Econometrics suitable as
SERIES Management and Decision Automation a student text
THIRD EDITION
Series editors: Jurgen Doornik and Bronwyn Hall Raymond Anderson, Standard Bank Group,
Christopher Dougherty,
Johannesburg
Practical Econometrics provides practical and Senior Lecturer Economics
accessible introductions to specific topics in An up-to-date, comprehensive overview of credit Department, London School
econometrics. scoring, covering the scorecard development process, of Economics
all aspects of its use and how it affects businesses and
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State Space Time a simple mathematics
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Jacques J.F. mathematical proofs
Commandeur, Senior Econometric Methods with to facilitate a thorough
Researcher, SWOV understanding of the subject.
Applications in Business and suitable as
Institute for Road Safety a student text
Extensive exercises throughout encourage students
Research, Leidschendam,
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Vrije Universiteit, The Netherlands Assistant Professor at the
Econometric Institute, Philip
Providing a practical introduction to state space Stochastic Integration Theory
methods as applied to unobserved components Hans Franses, Professor of
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time series models, also known as structural time
series models, this book introduces time series Professor of Marketing Sciences
analysis using state space methodology to readers Research, Teun Kloek, This graduate level text covers the theory of stochastic
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nor with state space methods. The only Econometrics, and Herman wide range of applications, including financial
background required in order to understand K. van Dijk, Professor of mathematics and signal processing.
the material presented in the book is a basic Econometrics, All at the Erasmus University in
Oxford Graduate Texts in Mathematics No. 14
knowledge of classical linear regression models, Rotterdam
July 2007 | 624 pages
of which a brief review is provided to refresh the
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analysis of the salient features in time series such NEW EDITION
exercises are stimulating, the answers are insightful,
as the trend, seasonal, and irregular components.
and the exposition in the background material is Oxford Users’ Guide to Mathematics
Practical problems such as forecasting and
excellent. It will appeal very strongly to researchers,
missing values are treated in some detail. This Edited by Eberhard Zeidler, Max Planck Institute for
instructors and students’
useful book will appeal to practitioners and Mathematics in the Sciences, Leipzig, Germany
researchers who use time series on a daily basis Michael McAleer, University of Western Australia
in areas such as the social sciences, quantitative ‘. . . a thorough introduction to the basic principles of Translated by Bruce Hunt
history, biology and medicine. econometrics . . . The strong link between theory and 2004 | 1,308 pages
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Edited by J.M. Bernardo, M.J. Bayarri, J.O. Berger, A.P.
This book is accompanied by supplementary material
Dawid, D. Heckerman, A.F.M. Smith, and M. West
for adopting lecturers, including a solutions manual
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Theoretical Foundations and suitable as 978-0-19-921465-5, HARDBACK £100.00/$195.00
a basic level of Mathematics, and with numerous Empirical Perspectives a student text
examples and illustrations, this text is a valuable
resource for students and researchers in the Dilip M. Nachane Mathematics for Economic Theorists
Sciences and Social Sciences. This textbook covers both the theory and the Carlos Alos-Ferrer, Professor of Microeconomics,
May 2007 | 256 pages applications aspects of econometrics for identifying University of Konstanz
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Designed as a high level text and reference for those
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Edited by Haim Barkai, Professor of Economics, Hebrew and data from both India and the West.
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A DVA N C E D T E X T S I N EC O N O M E T R I C S
The Cointegrated VAR Model Generalized Method of Moments Readings in Unobserved
Methodology and Applications suitable as Alastair R. Hall, North Carolina State University Components Models
a student text
Katarina Juselius, Professor at the ‘Overall, the book is well written, very readable and Edited by Andrew Harvey, Professor of Econometrics,
Institute of Economics, University of Copenhagen well organized. In each chapter the author conveys University of Cambridge, and Tommaso Proietti,
the essential ideas at the beginning and the end of Professor of Economic Statistics, University of Udine,
This valuable text provides a comprehensive
the chapter, and the reader is guided smoothly to Italy
introduction to VAR modelling and how it can be
applied. In particular, the author focuses on the the research frontier. Similarly, before stating new This volume presents a collection of readings
properties of the cointegrated VAR model and its theorems and proving them, the author describes the which give the reader an idea of the nature and
implications for macroeconomic inference when basic ideas clearly, making the book very readable.’ scope of unobserved components (UC) models and
data are non-stationary. The text provides a number Rosario dell’Aquilla, Journal of the American the methods used to deal with them. The book is
of insights into the links between statistical Statistical Association intended to give a self-contained presentation of the
econometric modelling and economic theory and methods and applicative issues. Harvey has made
‘In summary, Generalized Method of Moments is an
gives a thorough treatment of identification of the major contributions to this field and provides
excellent and readable graduate text and reference
long-run and short-run structure as well as of the substantial introductions throughout the book
book, especially suited for those researchers using
common stochastic trends and the impulse to form a unified view of the literature.
GMM in a time series context in finance and
response functions. 2005 | 472 pages
macroeconomics.’
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Stochastic Volatility
The Econometrics of estimators as well as to those who intend to use this Selected Readings
Macroeconomic Modelling technique for empirical research.’
Neil Shephard, Professor of Economics and Fellow of
Gunnar Bårdsen, Central Bank of Norway and Herbert Buscher
Nuffield College, University of Oxford
Norwegian University of Science and Technology, 2004 | 416 pages
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simply, this volume is a must-have for anyone dealing
Norwegian University of Science and Technology,
with volatility modelling’
Trondheim, and Ragnar Nymoen, University of Oslo Finite Sample Giuseppe Cavaliere, The Economic Journal
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Aman Ullah, Professor of that have influenced this exciting new field, and
be one of the tools in the toolbox.’
Economics, University of shows that the development of this subject has been
Jesper Linde, highly multidisciplinary, and has helped to produce
California, Riverside
Scandinavian Journal of Economics 2005 methods and models for the realistic pricing of
This book provides simple and intuitive
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Dynamic Econometrics
2005 | 360 pages
David F. Hendry, Professor of suitable as
978-0-19-924650-2, PAPERBACK £29.99/$55.00
Economics, University of Oxford, a student text
978-0-19-924649-6, HARDBACK £60.00/$115.00
and Fellow, Nuffield College
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for Policy, Program
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This is one of the first books to provide a textbook
C. R Nelson, Econometric Reviews
exposition of the literature on how to measure
accurately the ‘effects’ of a ‘treatment’, such as a drug, This book confronts the practical problems of
educational programme, or tax regime, on a response modelling aggregate time series data, in a systematic
variable like an illness, GPA, or income. The book and integrated framework. The book is self-
focuses on non-experimental, microeconometric contained, with the technical background covered in
estimation. appendices. It is thus suitable for first year graduate
students, and includes solved examples and exercises
2005 | 264 pages
to facilitate its use in teaching.
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1995 | 904 pages
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