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
Introduction | 1 |
PART ONE SAMPLING THEORY AND BAYESIAN | 9 |
Kronecker Product | 28 |
Copyright | |
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alternative Amemiya American Statistical Association Analysis assumed assumption autocorrelation Autoregressive b₁ Bayesian Chapter components compute consider consistent estimator correlation covariance matrix criterion density design matrix discussed distributed lag disturbance E[ee Econometrica economic efficient EGLS endogenous variables estimator for ẞ estimator ẞ Exercise explanatory variables finite sample given H₁ heteroscedasticity inequality Journal of Econometrics K₁ 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 parameter space plim polynomial posterior pretest estimator prior information problem procedure random variable random vector reduced form Regression Models residuals restricted least squares risk function sample properties Section Seemingly Unrelated Regression simultaneous equations specification squared error loss stochastic structure test statistic tion transformation values variance X₁ Xẞ y₁ Zellner zero β₁ βι σ²