Dictionary of Econometrics

Front Cover
Edward Elgar Pub, 1994 - Business & Economics - 458 pages
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This book is a very useful reference for students of econometrics as well as for professionals in that field. Journal of the American Statistical Association An important addition to any library collecting in the subject of econometrics, upper-division undergraduate and above. J.A. Aufdenkamp, Choice . . . this is an important reference book and should be purchased by research collections and other libraries serving significant numbers of management, economics, or other students likely to need material on regression and related modelling and forecasting techniques. Nigel Tappin, American Reference Books Annual This important new dictionary the first of its kind, now available in paperback presents an accessible source of reference on the main concepts and techniques in econometrics. Featuring entries on all the major areas in theoretical econometrics, the dictionary will be used by students, both undergraduate and postgraduate, to aid their understanding of the subject. Sorted by alphabetical order, each entry is a short essay which is designed to present the essential points of a particular concept or technique and offer a concise guide to other relevant literature. Written in an accessible and discursive style, the book adopts non-technical language to make the topics accessible to those who need to know more about applied econometrics and the underlying econometric theory. It will be widely welcomed as an indispensable supplement to the standard textbook literature and will be particularly well suited to students following modular courses. An essential source of reference for both undergraduate and post graduate students, the dictionary will also be useful for professional economists seeking to keep abreast of the latest developments in econometrics.

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Contents

ARCH and GARCH
4
Autocorrelation
11
Autocorrelation estimation methods
17
Bayesian estimation
27
Box and Cox transformations
35
Causality and Granger causality
41
Chow test
49
Cointegration
58
Instrumental variables
197
Kalman filter models
211
Limited dependent variables
224
Linear and loglinear models
229
Maximum likelihood
245
Mixed estimation
258
Nonnested hypotheses
274
Ordinary least squares in large samples
290

Confidence intervals
65
Constant term
77
Data generating processes
83
Deductive fallacies
91
Distributed lag models
97
the relationships between
103
Encompassing tests
113
Exogeneity and endogeneity
127
Forecast accuracy
141
GaussMarkov theorem
155
Heteroscedasticity
169
Hypotheticodeductive method
184
Pooling data
303
Prior information
318
Random coeffcient model
331
RESET tests
346
Seasonality
359
Seemingly unrelated regression equations
363
Spurious regressions
378
t and Ftests
391
Twostage least squares
404
Varying parameter models
417
Verification and confirmation
432
Copyright

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