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Software Review: Theory and Practice of Econometric Modelling using PcGive10
Author(s) -
Urga Giovanni
Publication year - 2001
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/1467-6419.00149
Subject(s) - econometrics , economics , autoregressive conditional heteroskedasticity , econometric model , series (stratigraphy) , econometric analysis , autoregressive fractionally integrated moving average , financial econometrics , variable (mathematics) , long memory , macroeconomics , mathematics , volatility (finance) , paleontology , mathematical analysis , indirect finance , biology , financial intermediary
This review offers a guided tour to PcGive 10 modules for econometrics analysis of time series (PcGive), limited dependent variable (LogitJD) and static and dynamic panel data analyses (DPD), financial econometric (GARCH) and time series (ARFIMA) modelling. Several empirical applications are reported to illustrate the package.