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Econometrics, Statistics and Mathematical Economics A selection of recent titles from Cambridge University Press

We are pleased to present the following selection of recent titles in Econometrics, Statistics and Mathematical Economics. To view our full range of Economics publishing, or for further information on any of the titles featured here, please visit our new website: You can place your order by visiting Econometrics or alternatively, contact our Customer Services team on +44 (0)1223 326050 or Cambridge has a number of digital products available for either individual or institutional purchase via Cambridge Books Online and University Publishing Online, on which over 1,300 Economics titles are currently available. To find out more about these online platforms visit and

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Econometrics, Statistics and Mathematical Economics Regression Analysis of Count Data

The Econometric Society Monographs series is designed to promote the publication of original research contributions of high quality in economic theory and theoretical and applied econometrics.

A. Colin Cameron University of California, Davis

Visit for more information.

eBook forthcoming

Series Editors: George J. Mailath, Rosa L. Matzkin

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Heckman, Nobel Laureate, ro of a co H e ique o e ri lin la o m y to e de Henry Schultz Distinguished ble m Harv eavy thver yno dg C. ss of ce for od nt o od e but g re Ef C o E“.T a Service Professor, University of Reche stu of retu oth m ode ey’ els f n C I . . collec est s. T als lati uo tlien o bodenn 10 me e a HA Chicago, and President s M rche of the ts D e h R tr o ls n o S o treate ts s E o im rs is in r e d n yn T rn ve ic an ext R en Eco an oks 0 are Econometric IC h d bef illu line ati st to m nsh Society 2013 in am sI aC Sasp ensive a ore in nom(C d F , T art So a F y TR . . . ip n o C eren o st a iea et o are ver amoun a tex he icle cie ello is ME ra r ti n a tistic acro s. the ic C d th ectsI E T “Every five years a remarkable t y o re m en tbook. m co te As Mo ty collective actNof generosity takes econom s t of w Pro le e o e o a e nd d nog place in the y illustra o in m bri cast Ec economics profession. 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Co Revie ad n b ries diedCov the series the Tenth World Congress of the T re ws lin asi ss ral sis ited Ac Co etr s by al he Society held in Shanghai in August er peo CA of CaEconometric , 19 T c lle ic 2010, and whose task it was lifo de da pra to vo ad o ple fro rnia, themeron to decide sign frontier fields and select the pioneering an 89 ime f T lum em ge s a ta c Davis m is Pro authors. We are indebted to them . t im se tica ). y. :N fessor all . for their insights into what is happening th He Seri e es ts ew He He l at the cutting edge Pr e of . a and ss Av for ge e is showing S Eco is us where economics is heading.” in K. 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Students in both social and natural sciences often seek regression methods to explain the frequency of events, such as visits to a doctor, auto accidents, or new patents awarded. This second edition provides the most comprehensive and up-todate account of models and methods to interpret such data.


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July 2013 228 x 152 mm 587pp 17 b/w illus. 56 tables 978-1-107-01416-9 £ 80.00 HB 978-1-107-66727-3 £ 35.00 PB
















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Advances in Economics and Econometrics

Advances in Economics and Econometrics

Tenth World Congress Volume 2: Applied Economics

Tenth World Congress Volume 1: Economic Theory

eBook forthcoming

Edited by Daron Acemoglu Massachusetts Institute of Technology Manuel Arellano Centro de Estudios Monetarios y Financieros (CEMFI), Madrid

eBook forthcoming

and Eddie Dekel Northwestern University and Tel Aviv University

Advances in Economics and Econometrics

The first of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society 2010. The papers interpret key developments in economics and econometrics and discuss future directions for a variety of topics, covering both theory and application. • The most important summative statements of key topics in today’s economies • Written by world-class, internationally known scholars • The most rigorous, focused analyses of these subjects available anywhere July 2013 228 x 152 mm 507pp 14 b/w illus. 1 table 978-1-107-01604-0 £ 110.00 HB 978-1-107-63810-5 £ 38.00 PB


July 2013 228 x 152 mm 562pp 60 b/w illus. 33 tables 978-1-107-01605-7 £ 110.00 HB 978-1-107-67416-5 £ 38.00 PB

Tenth World Congress Volume 3: Econometrics

eBook forthcoming

July 2013 228 x 152 mm 630pp 44 b/w illus. 15 tables 978-1-107-01606-4 £ 110.00 HB 978-1-107-62731-4 £ 38.00 PB

eBook forthcoming

Advances in Economics and Econometrics

Dynamic Models for Volatility and Heavy Tails

Tenth World Congress 3 volume paperback set

With Applications to Financial and Economic Time Series

Edited by Daron Acemoglu Massachusetts Institute of Technology

Andrew C. Harvey University of Cambridge

Manuel Arellano Centro de Estudios Monetarios y Financieros (CEMFI), Madrid and Eddie Dekel Northwestern University and Tel Aviv University

‘This collection of papers gives an up-to-date review of the literature in major fields of economics by influential scholars. Anyone interested in knowing the frontier of knowledge in economic science will profit from reading these essays.’ James J. Heckman, Nobel Laureate, Henry Schultz Distinguished Service Professor, University of Chicago, and President of the Econometric Society 2013 ‘Every five years a remarkable collective act of generosity takes place in the economics profession. More than fifty of the world’s top researchers - all at their most productive and with great demands on their time - agree to write essays on the state of their respective fields. We are indebted to [the Editors of these volumes] for their insights into what is happening at the cutting edge and for showing us where economics is heading.’ John Moore, Edinburgh University and London School of Economics and Political Science

eBook available

The book presents a statistical theory for a class of nonlinear time-series models. It has particular relevance for the modeling of volatility in financial time series but the overall approach will be of interest to econometricians and statisticians in a variety of disciplines. • A new self-contained statistical theory for time series models of volatility • Applies more generally to many aspects of nonlinear time series modeling • Relevant to applied work in finance, macroeconomics and other disciplines that deal with the analysis and modeling of time series June 2013 228 x 152 mm 278pp 43 b/w illus. 14 tables 978-1-107-03472-3 £ 65.00 HB 978-1-107-63002-4 £ 23.99 PB

July 2013 228 x 152 mm 1712pp 118 b/w illus. 49 tables 978-1-107-01721-4 £ 330.00 HB 978-1-107-62886-1 £ 110.00 PB


Generalized Vectorization, Cross-Products, and Matrix Calculus

Econometric Modelling with Time Series

Darrell A. Turkington University of Western Australia, Perth

Vance Martin University of Melbourne

Matrix calculus is an efficient procedure for eBook obtaining many derivatives at once, used in available statistics and econometrics. This book studies different concepts of matrix derivatives and a particular brand of mathematics behind matrix calculus, including special matrices whose elements are all zero or one. • The author is a leading expert in matrix calculus • Includes end-of-chapter review questions • Includes new matrix calculus results ‘A very neat treatment of matrix calculus. There is no doubt that the new operators and matrices presented in the book will see their applications in many areas of econometrics.’ Yong Bao, Purdue University

Specification, Estimation and Testing

eBook and inspection copy available

Stan Hurn Queensland University of Technology and David Harris Monash University, Victoria

Provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation and estimation by simulation. ‘... an excellent text for advanced undergraduate and postgraduate courses in econometric time series. The statistical theory is clearly presented and many examples make the techniques readily accessible and illustrate their practical importance.’ Andrew Harvey, University of Cambridge

‘This book is very clearly written in a text style that conveys what needs to be said with no superfluous discussion. It represents a substantial contribution to our understanding of a difficult area. It is a beautiful book, and destined to become a classic.’ Ross Maller, Australian National University

‘This book is exceptionally well done. The blending of theory, application and computation is sublimely done throughout. [It] will be a must-have for advanced graduate students working with economic and financial time series data, and will also form a definitive and up-to-date reference source for both academic and academic-related researchers in the field.’ Robert Taylor, University of Nottingham

April 2013 228 x 152 mm 275pp 4 tables 978-1-107-03200-2 £ 65.00 HB

Series: Themes in Modern Econometrics March 2013 228 x 152 mm 937pp 104 b/w illus. 97 tables 978-0-521-19660-4 £ 90.00 HB 978-0-521-13981-6 £ 49.99 PB


Introduction to Bayesian Econometrics

Currencies, Commodities and Consumption

Second edition

Kenneth W. Clements University of Western Australia, Perth

Edward Greenberg Washington University, St Louis eBook and inspection copy available

This textbook is an introduction to econometrics from the Bayesian viewpoint. New material includes a chapter on semiparametric regression and new sections on the ordinal probit, item response, factor analysis, ARCH-GARCH and stochastic volatility models. The R programming language is also emphasized. ‘Edward Greenberg’s Introduction to Bayesian Econometrics provides clear and concise coverage of Bayesian theory, computational methods, and important applications. Three years of teaching from its first edition convince me that it is a splendid textbook. The second edition is further enhanced by more applications and new guidance on use of free R software.’ John P. Burkett, University of Rhode Island ‘… Along with considerable new material, this second edition contains a thoughtful discussion of important models in time series and financial econometrics (including ARCH/GARCH and stochastic volatility models), as well as an introduction to flexible Bayesian techniques for distribution and regression function modeling. Throughout the text Greenberg engages the reader with an accessible writing style, real data applications, and references to the R programming language... Students and researchers in statistics, biostatistics, economics, and the social sciences will find this to be a tremendously valuable resource.’ Justin Tobias, Purdue University Jan 2013 253 x 177 mm 264pp 29 b/w illus. 19 tables 978-1-107-01531-9 £ 35.00 HB

eBook available

Makes sense of the ongoing instability of exchange rates and commodity prices and contributes to the measurement of the relative economic size of countries. The book analyses the strengths and weaknesses of two alternatives to the widely used PPP exchange rates, the Big Mac Index and the food budget share.

‘This book is not only a very useful source to understand our changing economic world but it also provides a plethora of useful data from a variety of sources - and the output from Clements’ own research - to satisfy both the needs of academics and those analysing financial markets across asset classes. There is sufficient information in an accessible form for readers to extend their own research using Clements’ methodology.’ Ron Bewley, Woodhall Investment Research Pty Ltd and former Chief Investment Officer, Commonwealth Bank of Australia ‘This book has a broad sweep, analyzing diverse issues such as purchasing power parities, commodity and marihuana prices, income and consumption comparisons across countries. What makes reading this book so exciting is the constant moving from theory to practice and back to theory; and the discovery that understanding one subject helps to understand other, at first sight, unrelated subjects.’ Paul De Grauwe, London School of Economics and Political Science Jan 2013 228 x 152 mm 397pp 52 b/w illus. 69 tables 978-1-107-01476-3 £ 70.00 HB


eBook available

An Information Theoretic Approach to Econometrics

An Introduction to Mathematics for Economics

George G. Judge University of California, Berkeley

Akihito Asano Sophia University, Tokyo

and Ron C. Mittelhammer Washington State University

Most econometric books do not recognize the ill-posed inverse nature of their econometric models and the indirect noisy characteristics of their sample data. This book focuses on these problems and provides a basis for dealing with estimation and inference issues that typically arise in a range of traditional and nontraditional econometric models. ‘By showing how very general information-theoretic methods can be used in a natural way to solve such problems, Judge and Mittelhammer break new ground and set a new standard for the econometric community.’ David Giles, University of Victoria, Canada ‘This beautifully written book pushes the frontiers of econometrics in three ways. First, it provides a clear connection between the more traditional econometric and information-theoretic estimation methods. Second, it provides a detailed state of the art presentation of information-theoretic methods within econometrics. Third, it illustrates the wide applicability of information-theoretic methods for learning from data.’ Amos Golan, InfoMetrics Institute, American University Feb 2012 228 x 152 mm 248pp 13 b/w illus. 7 tables 978-0-521-86959-1 £ 65.00 HB 978-0-521-68973-1 £ 24.99 PB


eBook and inspection copy available

A concise, accessible introduction to quantitative methods for economics and finance for students who are new to the subject. This textbook contains lots of practical applications to show why maths is necessary and relevant to economics, as well as worked examples and exercises to help students learn and revise. ‘This outstanding textbook is the by-product of lecture notes written by a dedicated teacher. Mathematics is carefully exposited for first-year students using familiar applications drawn from economics and finance. By working through the problems provided, students can overcome any fear they might have of mathematics to make it an enjoyable companion.’ Chris Jones, Australian National University ‘In this well-written text, mathematical techniques are introduced together with basic economic ideas, underlining the fact that mathematics should not be treated separately, but is an integral and essential part of economics. The style is friendly and conversational, and the mathematical techniques are treated rigorously, with many clearly presented examples. Dr Asano is adept in pinpointing those areas which students find difficult, making this a very useful and comprehensive text for anyone undertaking the study of economics.’ Valerie Haggan-Ozaki, Sophia University Nov 2012 246 x 189 mm 281pp 110 b/w illus. 20 tables 978-1-107-00760-4 £ 60.00 HB 978-0-521-18946-0 £ 19.99 PB

Collecting, Managing, and Assessing Data Using Sample Surveys

Statistical Theory and Methods Large-Scale Inference

Peter Stopher University of Sydney eBook available

Requiring no prior knowledge of statistics or surveys, this book provides a thorough, step-bystep guide to the design and implementation of surveys. It is an excellent introduction to the use of surveys for graduate students as well as a useful reference work for scholars and professionals.

Empirical Bayes Methods for Estimation, Testing, and Prediction Bradley Efron Stanford University, California

‘Drawing on the author’s wealth of knowledge and experience, this excellent book provides a comprehensive treatment of every aspect involved in preparing for, carrying out, cleaning and archiving data from a population survey. It is very clearly written, fully illustrated and enables the reader to jump the learning curve.’ Peter Jones, University College London

Modern scientific technology (e.g. microarrays, fMRI machines) produces data in vast quantities. Bradley Efron explains the empirical Bayes methods that help make sense of a new statistical world. This is essential reading for professional statisticians and graduate students wishing to use and understand important new techniques like false discovery rates.

‘Peter Stopher’s new book is an extensive, accessible and highly informative reference work for those engaged in data acquisition from human subjects. Covering all aspects of survey design and distribution, data management and archiving, this unique treatise is more comprehensive than one can find elsewhere. Offering something new for the most accomplished of data gatherers, this book serves as a remarkable reference, as well as a textbook.’ Kara Kockelman, University of Texas, Austin

‘In the last decade, Efron has played a leading role in laying down the foundations of large-scale inference ... We are indebted to him for this timely, readable and highly informative monograph, a book he is uniquely qualified to write. It is a synthesis of many of Efron’s own contributions over the last decade with that of closely related material, together with some connecting theory, valuable comments, and challenges for the future.’ Terry Speed, International Statistical Review

Jan 2012 247 x 174 mm 560pp 82 b/w illus. 70 tables 978-0-521-86311-7 £ 60.00 HB 978-0-521-68187-2 £ 30.00 PB

eBook available

Series: Institute of Mathematical Statistics Monographs, 1 Nov 2012 228 x 152 mm 280pp 65 b/w illus. 10 colour illus. 105 exercises 978-1-107-61967-8 £ 24.99 PB


Statistical Analysis of Stochastic Processes in Time J.K. Lindsey Université de Liège, Belgium This book introduces practical methods of applying stochastic processes to an audience knowledgeable only in basic statistics. It covers almost all aspects of the subject and presents the theory in an easily accessible form that is highlighted by application to many examples. Complementing these are exercise sets making the book suited for introductory courses in stochastic processes. Software (available from is provided for the freely available R system for the reader to apply to all the models presented. eBook available

‘This book is an extraordinary piece of literature … It is simply a masterpiece and even the most experienced statistician will learn a thing or two … The book is well written and would be good reading for applied statisticians as well as all post-graduate and faculty members who interact with data. Libraries should purchase a copy.’ Journal of the Royal Statistical Society, Series A ‘… fills a gap between the more fundamental, topical volumes around, and more popular texts on these matters. it is very well readable, and it provides both an excellent introduction and a good overview over much of stochastic methods applicable in longitudinal data.’ Environmental and Ecological Statistics Series: Cambridge Series in Statistical and Probabilistic Mathematics July 2012 228 x 152 mm 354pp 978-1-107-40532-5 £ 30.00 PB


Regression for Categorical Data Gerhard Tutz Ludwig-Maximilians-Universität Munchen This book introduces basic and advanced concepts of categorical regression with a focus on the structuring constituents of regression eBook and recent developments in flexible and highavailable dimensional regression. Among the topics treated are nonparametric regression; the hurdle model and zero-inflated regression models for count data; and non-standard treebased ensemble methods. • Covers modern topics such as high-dimensional regression and nonparametric models • Can be used as a text for courses on categorical data for students from different fields • Written from the perspective of an applied statistician for a focus on basic concepts and applications, rather than formal mathematical theory Series: Cambridge Series in Statistical and Probabilistic Mathematics Feb 2012 253 x 215 mm 572pp 98 b/w illus. 102 tables 77 exercises 978-1-107-00965-3 £ 55.00 HB

Mathematical Finance and Risk Analysis Handbook of Financial Data and Risk Information I

Introduction to Mathematical Portfolio Theory

Principles and Context Volume 1

Mark S. Joshi University of Melbourne

Edited by Margarita S. Brose Mark D. Flood Dilip Krishna and Bill Nichols This comprehensive resource explores the different issues involved in collecting, measuring and managing data in the financial services industry. Written by experts and leading figures in risk management and analysis, it sets out a clear vision for a structural and operational framework for a financial risk data repository. • Meets the need for financial industry-wide data • Brings together contributions from a diverse group of experts from the various fields required for effective risk information management • Takes a holistic view of the subject across the spectrum of financial institutions

and Jane M. Paterson A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions, limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text. • Tailored to the CT8 actuarial syllabus in the UK • Extensive collection of problems with detailed solutions • Authors’ exposition is clear and succinct Series: International Series on Actuarial Science July 2013 247 x 174 mm 325pp 30 b/w illus. 170 exercises 978-1-107-04231-5 £ 40.00 HB

November 2013 247 x 174 mm 615pp 6 b/w illus. 50 colour illus. 40 tables 978-1-107-01201-1 £ 95.00 HB


Handbook on Systemic Risk

Financial Enterprise Risk Management

Edited by Jean-Pierre Fouque University of California, Santa Barbara

Paul Sweeting University of Kent, Canterbury

and Joseph A. Langsam University of Maryland, College Park eBook available

Written by experts in the field, this book provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. It is the editors’ aim to stimulate greater interdisciplinary academic research on this critically important topic with immense societal implications. • Readily accessible to researchers, regulators and financial market risk managers • Authors comprise experts in finance, economics, mathematics, statistics, financial market regulation, accounting, data management and computer science • Encourages greater interaction between multiple academic disciplines May 2013 247 x 174 mm 992pp 25 b/w illus. 140 colour illus. 75 tables 978-1-107-02343-7 £ 100.00 HB

An excellent resource for actuarial students studying for examinations in enterprise risk eBook management; for risk management practitioners available involved with banks, insurance companies and pension schemes; and for academics looking for an up-to-date reference. This book covers the full range of qualitative and quantitative techniques needed and includes various case studies. • Part of the core reading for the UK Actuarial Profession’s specialist technical examination in enterprise risk management, ST9 • Worked examples illustrate how to implement the techniques described • Case studies highlight previous failures to help the reader avoid the same errors ‘Provides all the tools required to build and maintain a comprehensive ERM framework, covering a range of qualitative and quantitative techniques and their uses in identifying, assessing, modelling and measuring risk.’ Actuary Magazine Series: International Series on Actuarial Science Sept 2011 228 x 152 mm 562pp 120 b/w illus. 25 tables 978-0-521-11164-5 £ 70.00 HB


Themes in Modern Econometrics Series Editors: Peter C. B. Phillips, Richard J. Smith, Eric Ghysels

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Network Science is a new journal for a new discipline – one using the network paradigm, focusing on actors and relational linkages, to inform research, methodology, and applications from many fields across the natural, social, engineering and information sciences. Network methods are an increasingly recognized way to research aspects of modern society along with the individuals, organizations, and other actors within it. The journal welcomes contributions from researchers in all areas working on network theory, methods, and data. Editors Lada Adamic, University of Michigan, USA | Editor for Information Science Ulrik Brandes, University of Konstanz, Germany | Editor for Computer Science and Mathematics Noshir Contractor, Northwestern University, USA | Editor for Communication, Engineering, and Management Sanjeev Goyal, University of Cambridge, UK | Editor for Economics Garry Robins, University of Melbourne, Australia | Editor for Psychology and Political Science Thomas Valente, University of Southern California, USA | Editor for Public Health and Medicine Alessandro Vespignani, Northeastern University, USA | Editor for Physics Stanley Wasserman, Indiana University, USA |Editor for Statistics and Sociology and Coordinating Editor 14

Network Science is seeking manuscript submissions in economics. From the journal’s Editor for Economics: In the field of economics, we are seeking articles which explore the economic origins and consequences of networks. We are also keen to publish articles which explore network themes that lie at the intersection of economics and other disciplines such as computer science, physics, statistics, psychology, and sociology Submit your manuscript today:

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