Statistical methods of econometrics
著者
書誌事項
Statistical methods of econometrics
（Studies in mathematical and managerial economics, v. 6）
North-Holland Publishing Company , Sole distributors for the U.S.A. and Canada: Elsevier North-Holland, 1980
3rd rev. ed
- タイトル別名
-
Méthodes statistiques de l'économétrie
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注記
Translation of: Méthodes statistiques de l'économétrie
Bibliography: p. [741]-761
Includes indexes
内容説明・目次
内容説明
This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation in the linear models with a partially unknown covariance matrix, which introduces a systematic treatment of heteroscedasticity, random coefficients and composite errors. A new chapter has been added on simultaneous equation models that are non-linear with respect to the endogenous variables. The reader will also find new sections on shrunken estimators, on the choice of a model, on specification and estimation for distributed lag equations.
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