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The Econometrics of Individual Risk
Princeton University Press 2011; US$ 110.00The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction,... more...
Time Series and Dynamic Models
Cambridge University Press 1996; US$ 69.00An up-to-date and comprehensive analysis of traditional and modern time series econometrics. more...
Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms
Cambridge University Press 1995; US$ 60.00This is the first volume in a major two-volume set of advanced texts in econometrics. more...
Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and Asymptotic Theory
Cambridge University Press 1995; US$ 60.00The second volume in a major two-volume set of advanced texts in econometrics. more...
Semiparametric Regression for the Applied Econometrician
Cambridge University Press 2003; US$ 30.00This book provides simple and flexible (nonparametric) techniques for analyzing regression data. It includes a series of empirical examples including estimation of Engel curves and equivalence scales, scale economies, household gasoline consumption, housing prices, option prices and state price density estimation. more...
Introduction to the Mathematical and Statistical Foundations of Econometrics
Cambridge University Press 2004; US$ 42.00Intended for use in a rigorous introductory PhD level course in econometrics, or a field course in econometric theory, this book covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, and more. more...
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