Financial, Macro and Micro Econometrics Using R Handbook of Statistics Series

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.

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-Balevicius 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

The scope of the handbook covers many topics of practical interest to 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.

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 sta

• 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