This book contains a series of lectures recently given to researchers and students in quantitative economics by an international group of distinguished scholars. The topics covered are at the forefront of recent developments of research in economics and econometrics. The book is divided into three sections: Microeconomics, Macroeconomics and Econometrics. The section on Microeconomics contains chapters on the economics of destitution and an overview of general equilibrium theory with incomplete markets. The section on Macroeconomics contains chapters on the new endogenous growth theory and the microeconomic underpinning of dynamic international macroeconomic models. The section on Econometrics contains chapters on the rapidly expanding literature for GARCH models of volatility, empirical analysis of time series and asymptotic estimation theory for nonlinear econometric models. This will be essential reading for graduate students and researchers in economics, econometrics and finance.

Advanced Lectures in Quantitative Economics summarizes some of the efforts of a second-phase program for first-rate candidates with a Master's degree in economics who wish to continue with a doctoral degree in quantitative economics. This book is organized into three main topics—macroeconomics, microeconomics, and econometrics. This text specifically discusses the Neo-Keynesian macroeconomics in an open economy, international coordination of monetary policies under alternative exchange-rate regimes, and prospects for global trade imbalances. The post-war developments in labor economics, introduction to overlapping generation models, and measurement of expectations and direct tests of the REH are also elaborated. This monograph likewise covers the dynamic econometric modeling of decisions under uncertainty and fundamental bordered matrix of linear estimation. This publication is a good reference for students and specialists interested in quantitative economics.

The main features of this text are a thorough treatment of cross-section models—including qualitative response models, censored and truncated regression models, and Markov and duration models—and a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.

The second edition of a rigorous and example-driven introduction to topics in economic dynamics that emphasizes techniques for modeling dynamic systems. This text provides an introduction to the modern theory of economic dynamics, with emphasis on mathematical and computational techniques for modeling dynamic systems. Written to be both rigorous and engaging, the book shows how sound understanding of the underlying theory leads to effective algorithms for solving real-world problems. The material makes extensive use of programming examples to illustrate ideas, bringing to life the abstract concepts in the text. Key topics include algorithms and scientific computing, simulation, Markov models, and dynamic programming. Part I introduces fundamentals and part II covers more advanced material. This second edition has been thoroughly updated, drawing on recent research in the field. New for the second edition: “Programming-language agnostic” presentation using pseudocode. New chapter 1 covering conceptual issues concerning Markov chains such as ergodicity and stability. New focus in chapter 2 on algorithms and techniques for program design and high-performance computing. New focus on household problems rather than optimal growth in material on dynamic programming. Solutions to many exercises, code, and other resources available on a supplementary website.

For some seven decades, econometrics has been almost exclusiveley dealing with constructing and applying econometric equation systems, which constitute constraints in econometric optimization models. The second major component, the scalarvalued objective function, has only in recent years attracted more attention and some progress has been made. This book is devoted to theories, models and methods for constructing scalarvalued objective functions for econometric optimization models, to their applications, and to some related topics like historical issues about pioneering contributions by Ragnar Frisch and Jan Tinbergen.