An Introduction to Classical Econometric Theory
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Product details:
- Publisher OUP USA
- Date of Publication 30 March 2000
- ISBN 9780195111644
- Binding Hardback
- No. of pages976 pages
- Size 193x239x43 mm
- Weight 1990 g
- Language English
- Illustrations numerous line figures 0
Categories
Short description:
This econometrics textbook fills a gap between introductory undergraduate texts and advanced texts for the research student. Presenting the methods and techniques for problem solving, the author also examines their mathematical foundations, and presents an intuitive, largely geometric understanding of the structure of classical econometrics. The text will help students to develop strategies, not just tools, for solving econometrics problems.
MoreLong description:
This book is designed to fill the gap between introductory undergraduate texts and advanced texts for graduate students. Its comprehensive coverage ensures that readers understand both the 'how' and the 'why' of econometrics, as it explains not only the mathematical techniques for econometric problem-solving but also the mathematical foundations of the discipline. Developed with careful pedagogical methodology throughout, the text makes full use of empirical examples and includes appendices providing 'ready reference' and refresher courses on basic mathematics, as well as further material for the more advanced student.
It is an excellent text with very few weaknesses and I strongly recommend it.
Table of Contents:
The Least-Squares Linear Fit
The Geometry of Least Squares
Partitioned Fit
Restricted Least Squares
Overview of Ordinary Least Squares
Linear Unbiased Estimation
Variances and Covariances
Variances and Covariances of Ordinary Least Squares
Efficient Estimation
Normal Distribution Theory
Hypothesis Testing
Overview of Linear Regression
Nonnormal Disbribution Theory
Maximum Likelihood Estimation
Maximum Likelihood Asymptotic Distribution Theory
Maximul Likelihood Computation
Maximum Likelihood Statistical Inference
Heteroskedasticity
Serial Correlation
Instrumental Variables Estimation
The Generalized Method of Moments
Generalized Method of Moments Hypothesis Tests
Overview
Panel Data Models
Autoregressive Moving-Average Time Series Models
Simultaneous Equations
Discrete Dependent Variables
Censored and Truncated Variables
Overview
Appendices
Bibliography
Index
