Econometrics,2nd Rev.EdThis textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in time-series, limited dependent variables and panel data models, as well as specification testing, Gauss-Newton regressions and regression diagnostics. Some of the strengths of this book lie in presenting difficult material in a simple, yet rigorous manner. The exercises contain theoretical problems that should supplement the understanding of the material in each chapter. In addition, the book has a set of empirical illustrations demonstrating some of the basic results learned in each chapter. The empirical exercises are solved using several econometric software packages. |
Other editions - View all
Common terms and phrases
2SLS alternative assumption asymptotically distributed autocorrelation autoregressive B₂ Baltagi Bols Chapter cointegrating compute conditional Consider constant consumption covariance Cramér-Rao lower bound Davidson and MacKinnon degrees of freedom denotes density dependent variable derived disturbances dummy variable Econometrica economic estimator of ẞ example exogenous variables fact function given Hence heteroskedasticity homoskedasticity i-th observation idempotent income independent lags least squares likelihood function linear combination linear regression logit and probit MacKinnon 1993 Maddala matrix mean Normal distribution Note null hypothesis obtained OLS estimator OLS residuals parameters plim predicted probit model problem procedure random variable recursive residuals regression model regressors reject residual sum restrictions sample serial correlation Show standard errors stationary sum of squares t-statistic test statistic Theorem time-series unbiased estimator unit root unrestricted variance variance-covariance matrix vector verify X₁ Y₁ y₂ yields Z₁ zero