A book/CD-ROM package providing a survey of econometrics for a one-year graduate course in econometrics for social scientists. Includes chapter exercises. Assumes previous courses in calculus, basic mathematical statistics, and an introduction to the paradigm of econometrics. New to this edition ar
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analysis apply assume assumption asymptotic covariance matrix asymptotic distribution autocorrelation Chapter chi-squared distribution coefficients cointegration column computed conditional consider consistent estimator constant term converges correlation covariance matrix critical value data set degrees of freedom density dependent variable derivatives diagonal discussion disturbances dummy variable earlier econometrics efficient equal equation esti example FGLS estimator finite forecast given GMM estimator heteroscedasticity homoscedasticity income instrumental variables inverse iteration Lagrange multiplier least squares estimator least squares residuals likelihood function likelihood ratio linear model linear regression log-likelihood log-likelihood function logit model maximum likelihood estimator method nonlinear regression normal distribution observations obtain ordinary least squares parameters plim Poisson probability probit model problem produces random variable regressors restrictions Section slope solution specification standard errors standard normal suggested sum of squares Suppose Table test statistic Theorem time-series tion truncated unbiased unrestricted variance vector Wald statistic Wald test zero