Selected readings in econometrics from Econometrica
The twenty-two articles collected in this book have had and continue to have a considerable impact on the development of econometrics. Since limits must be set in such a broad field, selections have been restricted to articles dealing primarily with statistical methods or applications of statistical methods to economic models. In the study of economics, preference functions vary enormously among individuals; therefore the editors have exercised two choices-balancing articles in econometric methodology with those in econometric application. The result is both discerning and representative, with chapters ranging over such subject matter as the stock market, hybrid corn, international comparison of household expenditure patterns, the demand for durable goods, and the durability of durable goods, as well as the use of econometric models in guiding economic policy and identification problems in model construction. There are also a number of chapters on simultaneous equations: three-state least squares, canonocal correlation theory, alternative estimators, cost of approximate specification, and the statistical implications of a system of simultaneous equations. Both students and professional practitioners of econometrics will find this a convenient reference book and a historical document of the growth and changing emphasis of the subject over the past three decades. Contributors: Alfred Cowles, 3rd, R. Frisch and F. V. Waugh, T. Haavelmo, C. F. Roos and V. S. Von Szeliski, H. B. Mann and A. Wald, L. R. Klein, T. C. Koopmans, H. B. Chenery, T. M. Brown, R. L. Basmann, Z. Griliches, H. S. Houthakker, J. Tobin, J. W. Hooper, I. Adelman and F. L. Adelman, R. Stone and D. A. Rowe, T.-C. Liu, F. M. Fisher, A. Zellner and H. Theil, T. J. Rothenberg and C. T. Leenders, M. Nerlove, and G. C. Chow.
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Can Stock Market Forecasters Forecast?
Partial Time Regressions as Compared with
The Statistical Implications of a System of
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acceleration principle analysis approximation assumed assumption autocovariance autocovariance function average business cycle canonical correlations capacity capital cent changes components computed consumer consumption corn correlation coefficient covariance matrix Cowles Commission demand denote dependent variables derived determined dollars econometric Econometrica economic time series effect elasticities elements endogenous variables equal error exogenous factors Figure follows forecast frequency function given Hence hybrids independent investment jointly dependent variables Klein-Goldberger likelihood likelihood function limit maximum-likelihood estimates measured in billions method multivariate normal distribution nonfarm normal distribution observations obtained output parameters period plim predetermined variables priori restrictions probability problem procedure production random variables ratio reduced form regression relation relationship residuals sample seasonally adjusted Section simultaneous equations specific spectral spectrum statistical stochastic structural equation Table taxes theorem theory three-stage least squares tion trend two-stage least squares United values variance variation vector zero