A Companion to Theoretical Econometrics
Badi H. Baltagi
John Wiley & Sons, Apr 15, 2008 - Business & Economics - 736 pages
A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts.
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2SLS alternative analysis Anselin applications approach artificial regression assume assumption autocorrelation autoregressive Bayesian bootstrap chapter choice coefficients cointegrating collinearity computed conditional mean consider consistent estimator convergence covariance matrix defined denote density discussed duration dynamic Econometrica economic efficiency equation error example explanatory variables forecast function future component Gibbs sampling heteroskedasticity hypothesis testing identified implies inference instrumental variables Journal of Econometrics least squares estimator likelihood function linear regression linear regression model loglikelihood methods Monte Carlo multivariate nonlinear nonnested nonparametric normally distributed null hypothesis observations obtained optimal panel data parameters Pesaran posterior probit problem procedure random variables regressors residuals restrictions Section seemingly unrelated regressions semiparametric sequence serial correlation simulation spatial specification tests stationary stochastic structural test statistic Theorem theory tion unit root values variance vector zero