The Theory and Practice of EconometricsThis broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic. |
Contents
Estimation and Inference | 9 |
Assumption | 27 |
Combining Sample and Other Information | 54 |
Copyright | |
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algorithm alternative American Statistical Association Analysis assumed assumption asymptotic autocorrelation autoregressive B₁ B₂ Bayesian Chapter characteristic roots choice components Compute considered correlation covariance matrix criterion design matrix diagonal discussed distributed lag disturbance e₁ Econometrica economic efficient EGLS equation estimator for ẞ explanatory variables given GLS estimator heteroscedasticity homoscedastic inequality-restricted instrumental variable iterative K₁ lag length least squares estimator likelihood function linear model maximum likelihood estimator mean square error method minimax minimizing multicollinearity nonlinear normally distributed null hypothesis observations obtained optimal parameter space polynomial posterior pretest estimator prior information Problem procedure random coefficient random variable random vector Regression Models regressors residuals restricted least squares risk function sampling properties Section Seemingly Unrelated Regressions specification squared error loss statistical model suggested sum of squares test statistic Theil tion transformation unknown parameters v₁ values variance X₁ y₁ Zellner zero σ²