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. |
Contents
PART ONE SAMPLING THEORY AND BAYESIAN | 9 |
Kronecker Product | 28 |
Statistical Decision | 41 |
Copyright | |
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alternative Amemiya American Statistical Association Analysis approximate ARMA assume assumption autocorrelation Autoregressive B₁ B₂ Bayesian Chapter conjugate prior consider consistent estimator correlation covariance matrix density function discussed distributed lag disturbance E[ee Econometrica Economic efficient EGLS elements endogenous variables estimator for ẞ Exercise explanatory variables finite sample given H₁ heteroscedasticity inequality instrumental variable Journal of Econometrics lag model least squares estimator likelihood function linear model maximum likelihood estimator mean square error minimizes ML estimator Monte Carlo multivariate nonlinear normally distributed null hypothesis observations obtained plim polynomial posterior density pretest estimator prior information problem procedure random variable random vector reduced form Regression Models residuals restricted estimator restricted least squares risk function sample properties sampling theory Section simultaneous equations specification squared error loss statistical model stochastic structure test statistic tion transformation v₁ values variance y₁ Zellner zero σ²