ADVANCED ECONOMETRIC MODELS with MATLAB

by Smith H.



This book focuses on in-depth treatment of multi-equation and single-equation econometric models. The most important content is as follows:

Stepwise Regression
Robust Regression
Ridge Regression
Lasso and ElasticNet
Partial Least Squares Regression (PLS)
Generalized Linear Models (GLM)
Nonlinear Regression
Mixed Effects Models
Conditional Variance Models
GARCH Model
EGARCH Model
GJR Model
Simulate GARCH Models
Forecast GJR Models
ARMAX Model
Specifying ARMAX Models Using garchset
Multivariate Time Series Models
Vector Autoregressive Models
Cointegration and Error Correction
Global Models
Radial Basis Function Models
Multiple Linear Models
Neural Network Models
Parallel Models
Selecting Models