Introduction to Econometrics

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Oxford University Press, 2007 - Business & Economics - 464 pages
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Introduction to Econometrics provides an introduction to econometrics using analytical and intuitive methods of the classical linear regression model. Mathematical notation is kept simple and step-by-step explanations of mathematical proofs are provided to facilitate learning. The text also provided to facilitate learning. The text also contains a large number of practical exercises, enabling students to practice what they have learned.

This new edition has been substantially updated and revised with the inclusion of new material on specification tests, binary choice models, tobit analysis, sample selection bias, nonstationary time series, and unit root tests and basic cointegration. The new edition is also accompanied by a website with Powerpoint slideshows giving a parallel graphical treatment of topics treated in the book, cross-section and time series data sets, manuals for practical exercises, and lecture note extending the text.
 

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Contents

Random Variables Sampling and Estimation
1
1 Simple Regression Analysis
43
2 Properties of the Regression Coefficients and Hypothesis Testing
67
3 Multiple Regression Analysis
119
4 Transformations of Variables
153
5 Dummy Variables
173
A Preliminary Skirmish
199
7 Heteroscedasticity
224
11 Models Using Time Series Data
323
12 Properties of Regression Models with Time Series Data
350
13 Introduction to Nonstationary Time Series
381
14 Introduction to Panel Data Models
408
Statistical Tables
424
Data Sets
442
Bibliography
451
Author Index
455

8 Stochastic Regressors and Measurement Errors
241
9 Simultaneous Equations Estimation
269
10 Binary Choice and Limited Dependent Variable Models and Maximum Likelihood Estimation
291

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About the author (2007)

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Christopher Dougherty is a Senior Lecturer in Economics at the London School of Economics

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