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Empirical Economic and Financial Research

Theory, Methods and Practice

  • Book
  • © 2015

Overview

Editors:
  1. Jan Beran

    1. Dept. of Mathematics and Statistics, University of Konstanz, Konstanz, Germany

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    You can also search for this editor in PubMed   Google Scholar

  2. Yuanhua Feng

    1. Faculty of Business Administration and Economics, University of Paderborn, Paderborn, Germany

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    You can also search for this editor in PubMed   Google Scholar

  3. Hartmut Hebbel

    1. Helmut Schmidt University, Hamburg, Germany

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    You can also search for this editor in PubMed   Google Scholar

  • The only book covering broad topics from empirical economic and financial research
  • Collects state-of-art contributions that will be of great interest to a diverse readership
  • The contributions are written in an easy-to-understand style
  • Includes supplementary material: sn.pub/extras

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics (ASTA, volume 48)

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Table of contents (31 chapters)

  1. Front Matter

    Pages i-xviii
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  2. Introduction

    • Jan Beran, Yuanhua Feng, Hartmut Hebbel
    Pages 1-6

  3. Empirical Economic Research

    1. Front Matter

      Pages 7-7
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    2. Decomposition of Time Series Using the Generalised Berlin Method (VBV)

      • Hartmut Hebbel, Detlef Steuer
      Pages 9-43

    3. Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points

      • Ana Laura Badagián, Regina Kaiser, Daniel Peña
      Pages 45-59

    4. Regularization Methods in Economic Forecasting

      • Gunther Schauberger, Gerhard Tutz
      Pages 61-80

    5. Investigating Bavarian Beer Consumption

      • Michael Bruckner, Roland Jeske
      Pages 81-88

    6. The Algebraic Structure of Transformed Time Series

      • Tucker McElroy, Osbert Pang
      Pages 89-104

    7. Reliability of the Automatic Identification of ARIMA Models in Program TRAMO

      • Agustín Maravall, Roberto López-Pavón, Domingo Pérez-Cañete
      Pages 105-122

    8. Panel Model with Multiplicative Measurement Errors

      • Hans Schneeweiss, Gerd Ronning, Matthias Schmid
      Pages 123-143

    9. A Modified Gauss Test for Correlated Samples with Application to Combining Dependent Tests or P-Values

      • Joachim Hartung, Bärbel Elpelt-Hartung, Guido Knapp
      Pages 145-157

    10. Panel Research on the Demand of Organic Food in Germany: Challenges and Practical Solutions

      • Paul Michels
      Pages 159-172

    11. The Elasticity of Demand for Gasoline: A Semi-parametric Analysis

      • Pin T. Ng, James L. Smith
      Pages 173-193

    12. The Pitfalls of Ignoring Outliers in Instrumental Variables Estimations: An Application to the Deep Determinants of Development

      • Catherine Dehon, Rodolphe Desbordes, Vincenzo Verardi
      Pages 195-213

    13. Evaluation of Job Centre Schemes: Ideal Types Versus Statistical Twins

      • Rainer Schlittgen
      Pages 215-222

    14. The Precision of Binary Measurement Methods

      • Peter-Th. Wilrich
      Pages 223-235

  4. Empirical Financial Research

    1. Front Matter

      Pages 237-237
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    2. On EFARIMA and ESEMIFAR Models

      • Jan Beran, Yuanhua Feng, Sucharita Ghosh
      Pages 239-253

    3. Prediction Intervals in Linear and Nonlinear Time Series with Sieve Bootstrap Methodology

      • Héctor Allende, Gustavo Ulloa, Héctor Allende-Cid
      Pages 255-273

    4. Do Industrial Metals Prices Exhibit Bubble Behavior?

      • Walter Assenmacher, Robert Czudaj
      Pages 275-286
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Keywords

About this book

The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.

Editors and Affiliations

  • Dept. of Mathematics and Statistics, University of Konstanz, Konstanz, Germany

    Jan Beran

  • Faculty of Business Administration and Economics, University of Paderborn, Paderborn, Germany

    Yuanhua Feng

  • Helmut Schmidt University, Hamburg, Germany

    Hartmut Hebbel

About the editors

Jan Beran is a Professor of Statistics at the University of Konstanz (Department of Mathematics and Statistics). After completing his PhD in Mathematics at the ETH Zurich, he worked at several U.S. universities and the University of Zurich. He has a broad range of interests, from long-memory processes and asymptotic theory to applications in finance, biology and musicology.

Yuanhua Feng is a Professor of Econometrics at the University of Paderborn’s Department of Economics. He previously worked at the Heriot-Watt University, UK, after completing his PhD and postdoctoral studies at the University of Konstanz. His research interests include financial econometrics, time series and semiparametric modeling.

Hartmut Hebbel is a Professor (emeritus) of Empirical Economic Research at the University of the Federal Armed Forces in Hamburg, Germany. He studied Mathematics at the Technische Universität Berlin and previously worked at different German universities after receiving his PhD and German PD in Statistics from the University of Dortmund. His research interests include space and time series analysis and applications of statistical methods in the natural and environmental sciences.

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