Econometric modeling: a likelihood approach
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques.David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied.Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
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Inference in the Bernoulli model
A first regression model
The logit model
19 other sections not shown
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analysis analyzed approximately assumptions autoregressive model Bernoulli distribution Central Limit Theorem Chapter coefficient cointegration Computing Task conditional distribution conditional expectation conditional model consider constant correlogram data set data-generating process demand function derived discussed distribution function econometric model economic empirical equilibrium Figure forecast Fulton Fish Market given Hendry heteroskedasticity hypothesis independent inference intercept interpretation lagged Large Numbers least-squares likelihood function likelihood ratio test linear log wages log-likelihood ratio test marginal matrix algebra maximum likelihood estimator mis-specification tests Monte Carlo normal distribution observations orthogonal outcomes panel partial correlation PcGive plot population Q-Q plot quantiles random variables ratio test statistic regressors rejected reparametrized reported in Table residuals restriction shows simulation standard error standard normal stationary statistical model strong exogeneity structural model supply function t-statistic t-test theory three-variable two-variable model unit-root unrestricted model vector autoregressive weak exogeneity zero