Прикладная статистика и основы эконометрики by Айвазян (1998)

Учебник охватывает всю проблематику вероятностно-статистического моделирования и анализа данных в экономике — от элементарных курсов теории вероятностей и математической статистики до продвинутых методов многомерной статистики, анализа временных рядов и собственно эконометрики. Объединение и взаимосвязанное изложение всех этих базовых эконометрических дисциплин в одном учебнике делают его по-своему уникальным не только в отечественной, но и в мировой учебно-методической литературе данного профиля, позволяют строить учебный процесс таким образом, чтобы добиваться цельного системного восприятия всего блока этих дисциплин.

Содержание и стиль изложения соответствуют стандартным учебным программам преподавания этих дисциплин на уровне бакалавриата (2-й, 3-й и 4-й годы обучения) и магистратуры (5-й и 6-й годы обучения) высших учебных заведений экономического профиля.

cover

The presented textbook reflects an understanding of the mathematical-statistical toolkit in econometrics that slightly deviates from the commonly accepted approach. In our view, the advancements in mathematical-statistical science, particularly in multidimensional statistical analysis, coupled with the substantial expansion of economic problems requiring econometric solutions, necessitated a broader perspective on the mathematical-statistical toolkit in econometrics. This includes the incorporation of sections on multidimensional statistical analysis, such as Markov chains, classification of multidimensional observations, and dimensionality reduction of the analyzed factor space, in addition to traditional topics like regression models, time series analysis, and simultaneous equation systems.

When discussing the wide range of economic problems requiring solutions beyond the traditional framework of econometric methods, we specifically had in mind statistical studies of the dynamics of structural changes (in demography, societal stratification, etc.), the identification of hidden (latent) factors determining the course of specific socio-economic processes, the construction of integral indicators of the quality or efficiency of the functioning of socio-economic systems, typologizing socio-economic entities, and more.

Secondly, based on years of experience teaching various probability-statistics courses at economic universities and faculties, we have come to the conclusion that it is necessary to structure the educational process to achieve a holistic, systematic understanding of the entire block of these disciplines. This includes courses on elementary methods of statistical data processing (descriptive statistics), probability theory, mathematical statistics, multidimensional statistical analysis (or multidimensional statistical methods), time series analysis, and finally, econometrics. Clearly, a textbook that simultaneously covers all these courses should contribute to the realization of this goal.

In other words, we attempted to write a book that we would like to have on hand during our teaching activities. Unfortunately, among many excellent foreign books on econometrics, we did not find one possessing both of the aforementioned features.

It is worth noting that despite the presence of illustrative examples and exercises, the proposed textbook does not address the issue of an econometrics problem set. Therefore, for a complete educational process, it should be supplemented with a set of econometric problems and exercises (for example, in the style of the book [Berndt, E. R.]).

The content of the textbook and the distribution of responsibilities among the authors are as follows. V. S. Mkhitarian participated in writing Chapters 6, 7, 8, and 13, as well as provided the majority of problems accompanying the chapters. The rest of the material (including the mentioned chapters) was written by S. A. Ayvazyan. He also performed the overall scientific editing of the textbook.

Download

Ebook


See also