Econometric analysis
著者
書誌事項
Econometric analysis
Prentice Hall, c2003
5th ed
- : hbk
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注記
Bibliography: p. 959-994
Includes indexes
内容説明・目次
内容説明
For a one-year graduate course in Econometrics.
This text has two objectives. The first is to introduce students to applied econometrics, including basic techniques in regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. The second is to present students with sufficient theoretical background that they will recognize new variants of the models learned about here as merely natural extensions that fit within a common body of principles. The Fifth Edition features a complete update of techniques and developments, a reorganization of material for improved presentation, and new material and applications.
目次
1. Introduction.
2. The Classical Multiple Linear Regression Model.
3. Least Squares.
4. Finite Sample Properties of the Least Squares Estimator.
5. Large Sample Properties of the Least Squares and Instrumental Variables Estimators.
6. Inference and Prediction.
7. Functional Form and Structural Change.
8. Specification Analysis and Model Selection.
9. Nonlinear Regression Models.
10. Nonspherical Disturbances-The Generalized Regression Model.
11. Heteroscedasticity.
12. Serial Correlation.
13. Models for Panel Data.
14. Systems of Regression Equations.
15. Simultaneous-Equations Models.
16. Estimation Frameworks in Econometrics.
17. Maximum Likelihood Estimation.
18. The Generalized Method of Moments.
19. Models with Lagged Variables.
20. Time-Series Models.
21. Models for Discrete Choice.
22. Limited Dependent Variable and Duration Models.
Appendix A: Matrix Algebra.
Appendix B: Probability and Distribution Theory.
Appendix C: Estimation and Inference.
Appendix D: Large Sample Distribution Theory.
Appendix E: Computation and Optimization.
Appendix F: Data Sets Used in Applications.
Appendix G. Statistical Tables.
References.
Author Index.
Subject Index.
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