By Peter Kennedy
This can be the best (and crucial) complement for all econometrics classes--from a rigorous first undergraduate direction, to a primary master's, to a PhD course.
* Explains what's going in textbooks jam-packed with proofs and formulation
* bargains instinct, skepticism, insights, humor, and sensible recommendation (dos and don’ts)
* includes new chapters that conceal instrumental variables and computational issues
* contains more information on GMM, nonparametrics, and an advent to wavelets
Read or Download A Guide to Econometrics (4th Edition) PDF
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Additional info for A Guide to Econometrics (4th Edition)
The general approach in (1) cannot manage categorical variables and therefore has to be modified. To this end, the (categorical) variable xn has to be recoded. An adequate recoding procedure for scoring is to add the category “neutral” to the existing number of C categories and replace xn by a set of dummy variables dxn(c), c = 1,…,C which are defined in the following way: d xn(c) 1 for x n c °° ® 1 for x n " neutral" ° °¯ 0 else. (2) 28 Daniel Porath The recoding given in (2) is called effect coding and differs from the standard dummy variable approach where the dummies only take the values 0 and 1.
11 See Standard and Poor’s (2005) and Moody’s (2005). 12 See agencies’ rating definitions: Standard and Poor’s (2002) and Moody’s (2004) respectively. 46 Ulrich Erlenmaier or home country. But if LGD differences across obligors are small compared to PD differences between rating grades, estimates based only on the rating grade might be tolerable for pragmatic reasons.
Therefore, analyzing the data requires special tools. Finally, there is a high amount of comparably homogenous data. As a consequence, statistical risk assessment tools were developed long before rating models for other banks’ portfolios have boosted and the standards have been settled independently from Basel II. The standard models for the rating of retail portfolios are scoring models. Generally, scoring models comply with the IRBA minimum requirements as long as they fulfill the industrial standards.
A Guide to Econometrics (4th Edition) by Peter Kennedy