A first course in econometric theory
著者
書誌事項
A first course in econometric theory
Oxford University Press, 1988
- : pbk
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注記
Includes index
内容説明・目次
内容説明
This textbook on econometric theory is aimed at undergraduates and those with relatively little background knowledge in mathematics. The book takes the reader through fundamentals of econometric theory to a position of familiarity with techniques which are becoming standard in some computer packages and applied work. It is written without the use of matrix algebra, though topics such as the Gauss-Markov theorem and Aitken's theorem are covered in more detail. The author's approach has been to stress the understanding of the technical details of the subject in the belief that if the simplest cases are well understood, then general cases can be dealt with without loss of comprehension. To this end, the author has included in each chapter numerical examples of the main techniques (to emphasize continuity the same data and models are used throughout) and problems with fully worked answers.
目次
- Part 1 Introduction: the meaning and uses of econometrics
- some useful textbooks. Part 2 The basic model and least squares estimation. Part 3 The properties of least squares estimation: including, the Gauss-Markov theorem, estimation of variances and covariances of least squares. Part 4 Multiple regression: including model and assumptions, goodness of fit. Part 5 Hypothesis testing: including, test statistics, tests for structural change and predicted values. Part 6 Maximum likelihood estimation and inference: including, stochastic explanatory variables, asymptotic properties of estimators. Part 7 Generalized least squares - serial correlation and heteroskedasticity. Part 8 Specification and measurement errors: including omitted and wrongly included variables Part 9 Simultaneous equations. Part 10 Dynamic models. Part 11 Applying econometric theory: including, multicollinearity lack of data variability. Index.
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