Econometric models and economic forecasts
First course in Econometrics in Economics Departments at better schools, also Economic/Business Forecasting. Statistics prerequisite but no calculus. Slightly higher level and more comprehensive than Gujarati (M-H, 1996) . P-R covers more time series and forecasting. P-R coverage is notch below Johnston-DiNardo (M-H, 97) and requires no matrix algebra. Includes data disk.
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The TwoVariable Regression Model
Using the Multiple Regression Model
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2SLS analysis ARIMA model associated assume assumption autocorrelation function autoregressive behavior calculate Chapter coefficients confidence intervals consider construction consumption covariance degrees of freedom dependent variable described determine deviations differenced discussion distributed lag dummy variables econometric econometric model economic endogenous variables equal error of forecast error term error variance estimated parameters estimation procedure estimation process example exogenous expected value explanatory variables forecast error heteroscedasticity independent individual instrumental variables intercept interest rate investment involves least-squares estimation linear regression matrix mean measure moving average nonlinear normally distributed null hypothesis obtain ordinary least squares parameter estimates period predetermined variables predict probit problem random variable reason reduced-form regression equation reject the null relationship residuals sample autocorrelation function serial correlation shown in Fig simulation model slope solution specification standard error stationary stochastic structural sum of squares techniques time-series model tion voting zero