Intermediate Statistics and Econometrics: A Comparative Approach

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MIT Press, 1995 - Business & Economics - 715 pages
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The standard introductory texts to mathematical statistics leave the Bayesian approach to be taught later in advanced topics courses—giving students the impression that Bayesian statistics provide but a few techniques appropriate in only special circumstances. Nothing could be further from the truth, argues Dale Poirier, who has developed a course for teaching comparatively both the classical and the Bayesian approaches to econometrics. Poirier's text provides a thoroughly modern, self-contained, comprehensive, and accessible treatment of the probability and statistical foundations of econometrics with special emphasis on the linear regression model.

Written primarily for advanced undergraduate and graduate students who are pursuing research careers in economics, Intermediate Statistics and Econometrics offers a broad perspective, bringing together a great deal of diverse material. Its comparative approach, emphasis on regression and prediction, and numerous exercises and references provide a solid foundation for subsequent courses in econometrics and will prove a valuable resource to many nonspecialists who want to update their quantitative skills.

The introduction closes with an example of a real-world data set—the Challenger space shuttle disaster—that motivates much of the text's theoretical discussion. The ten chapters that follow cover basic concepts, special distributions, distributions of functions of random variables, sampling theory, estimation, hypothesis testing, prediction, and the linear regression model. Appendixes contain a review of matrix algebra, computation, and statistical tables.
  

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The book is intended for first year graduate students and focuses on Bayesian econometrics. Having learnt Bayesian econometrics from Dale himself, straight from this book, the book does make a lot of sense and brings out the problems with frequentist econometrics. Book has a lot of typos (blame the publisher), fortunately Dale has a list of all the typos, which one may get from his website. 

Contents

Special Distributions
81
Distributions of Functions of Random Variables
143
Sampling Theory
165
Estimation
168
Hypothesis Testing
351
Prediction
405
The Linear Regression Model
445
Other Windows on the World
585
Appendix A Matrix Algebra Review I
619
Appendix B Matrix Algebra Review II
645
Computation
653
Statistical Tables
661
References
667
Author Index
699
Subject Index
705

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Page 695 - Varian, HR (1975). A Bayesian approach to real estate assessment. In Studies in Bayesian Econometrics and Statistics in Honor of Leonard J. Savage (SE Feinberg and A.

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About the author (1995)

Dale J. Poirier is Professor of Economics at the University of California, Irvine. He is a Fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has been on the Editorial Boards of the Journal of Econometrics, Econometric Theory, and was the founding editor of Econometric Reviews. His professional activities have been numerous, and he has held elected positions in the American Statistical Association and the International Society for Bayesian Analysis. Previous books include Intermediate Statistics and Econometrics: A Comparative Approach and The Econometrics of Structural Change.

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