Introductory Econometrics with Applications
Offers an ideal combination of econometric theory and hands-on practical training for undergraduate and graduate courses. The authors ambition is to provide realistic applications without sacrificing theoretical underpinnings. He uses a logical step-by-step approach to walk readers through numerous real-world examples of model specification, estimation, and hypothesis testing. The book also succeeds at being self-contained. By including background information on mathematics, probability, statistics, and software applications, readers have all the information they need in one place.
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O PART I Background
Review of Probability and Statistics
O PART II Basics
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assumption autocorrelation auxiliary regression average Chapter chi-square chi-square distribution CN CN CN CNCNCNCNCN const constant term consumption dependent variable derived distribution dummy variables Durbin-Watson econometric Economic Equation Err of Resid Error Sum error term example expect explanatory variables F-distribution F-statistic F-test first-order forecasts formulation function genr hence heteroscedasticity homoscedasticity income Lagrange multiplier least squares level of significance linear LM test logarithm mean MODEL SELECTION STATISTICS multicollinearity Note null hypothesis obtain OLS estimates omitted p-value parameters per-capita percent level period population Practice Computer Session PRACTICE PROBLEM procedure properties random variable regression coefficients regression model reject H0 reject the null residuals sample Section serial correlation sgmahat Sq ESS SQFT standard errors Std Err STDERROR T STAT STEP Sum of Sq sum of squares Table test statistic tion Unadjusted R-squared unbiased unrestricted model values variance Wald test weighted least squares WLFP zero