The Theory and Practice of EconometricsThis broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic. |
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2SLS alternative Amemiya American Statistical Association Analysis approximate assumed assumption autocorrelation Autoregressive b₁ Bayesian Chapter components compute consider consistent estimator correlation covariance matrix criterion density dependent variable discussed distributed lag disturbance E[ee Econometrica Economic efficient EGLS endogenous variables Equation Models estimator for ẞ Exercise explanatory variables finite sample forecasting given H₁ heteroscedasticity instrumental variable Journal of Econometrics K₁ lag model least squares estimator likelihood function linear model maximum likelihood estimator mean square error methods minimizes ML estimator Monte Carlo multivariate nonlinear normally distributed null hypothesis observations obtained plim polynomial posterior pretest estimator problem procedure random variable random vector reduced form Regression Models regressors residuals risk function sample properties Section Seemingly Unrelated Regression simultaneous equations specification squared error loss statistical model stochastic structure test statistic tion transformation v₁ values variance X₁ Xẞ y₁ Zellner zero β₁ σ²