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A Guide to Econometrics

Edition: 
5
Publisher: 
The MIT Press
Number of Pages: 
500
Price: 
39.95
ISBN: 
978-0262611831
Date Received: 
Thursday, June 21, 2007
Reviewable: 
No
Include In BLL Rating: 
Yes
Reviewer Email Address: 
Peter Kennedy
Publication Date: 
2003
Format: 
Paperback
Category: 
Monograph

 

Preface xi
Dedication xv
1 Introduction 1
2 Criteria for Estimators 11
3 The Classical Linear Regression Model 47
4 Interval Estimation and Hypothesis Testing 60
5 Specification 81
6 Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 107
7 Violating Assumption Two: Nonzero Expected Disturbance 129
8 Violating Assumption Three: Nonspherical Disturbances 133
9 Violating Assumption Four: Measurement Errors and Autoregression 157
10 Violating Assumption Four: Simultaneous Equations 180
11 Violating Assumption Five: Multicollinearity 205
12 Incorporating Extraneous Information 218
13 The Bayesian Approach 230
14 Dummy Variables 248
15 Qualitative Dependent Variables 259
16 Limited Dependent Variables 281
17 Panel Data 301
18 Time Series Econometrics 319
19 Forecasting 358
20 Robust Estimation 372
21 Applied Econometrics 389
Appendix A: Sampling Distributions, the Foundation of Statistics 418
Appendix B: All about Variance 423
Appendix C: A Primer on Asymptotics 429
Appendix D: Exercises 436
Appendix E: Answers to Even-numbered Questions 516
Glossary 544
Bibliography 550
Name Index 601
Subject Index
Publish Book: 
Modify Date: 
Thursday, June 21, 2007

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