A Guide to Modern Econometrics

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John Wiley & Sons, May 27, 2008 - Business & Economics - 472 pages
5 Reviews
This highly successful text focuses on exploring alternative techniques, combined with a practical emphasis, A guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical reference, this new edition builds on the strengths of the second edition and brings the text completely up-to-date.
 

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Textbook in Cass business school

Contents

An Introduction to Linear Regression
7
Interpreting and Comparing Regression Models
53
Heteroskedasticity and Autocorrelation
85
Standard Errors for OLS
118
Endogeneity Instrumental Variables and GMM
129
Maximum Likelihood Estimation and Specification Tests
171
Models with Limited Dependent Variables
199
Univariate Time Series Models
269
Multivariate Time Series Models
323
Models Based on Panel Data
355
A Vectors and Matrices
417
B Statistical and Distribution Theory
425
Bibliography
437
Index
451
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About the author (2008)

Marno Verbeek is Professor of Finance at the Rotterdam School of Management and the Econometric Institute of Erasmus University, Rotterdam. He held previous positions at KU Leuven and Tilburg University, and visiting appointments at Trinity College Dublin and Université Panthéon-Assas Paris II. He has published in a wide variety of international journals.

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