Intermediate Statistics and Econometrics: A Comparative Approach
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.
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Distributions of Functions of Random Variables
The Linear Regression Model
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JSTOR: Intermediate Statistics and Econometrics: A Comparative ...
Reviews of books Comptes rendus 497 Poirier Intermediate Statistics and Econometrics: A Comparative Approach by DAVID GILES 499 Usher National Accounting ...
Intermediate Statistics and Econometrics - The MIT Press
A thoroughly modern, comprehensive treatment of the probability and statistical foundations of econometrics with special emphasis on the linear regression ...
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