Introductory econometrics
Author(s)
Bibliographic Information
Introductory econometrics
（Longman economics series）
Longman, 1993
2nd ed
- Other Title
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Introductory econometrics : theory and applications
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Note
Includes bibliographical references (p. 422-431) and index
Description and Table of Contents
Description
There was a revolution in econometrics during the 1980s, with particularly interesting developments in Britain and Europe. "Introductory Econometrics", second edition, has been revised to incorporate all the latest developments and covers standard econometric theories, many of which are confusing to undergraduate students. This book aims to explain all the standard theories in a simple, concise manner. It contains the latest work in demand analysis, consumers' expenditure, production functions and demand for money and also provides a combination of theory and applications. Each chapter contains exercises for subject revision and new chapters include: maximum likelihood estimation; extensions of classical linear model; breakdowns in classical assumptions; lagged variables. The book is designed for third year undergraduates and is suitable for BSc / BA economics, MSc economics and non-specialist econometricians courses.
Table of Contents
- Part 1 Multiple regression analysis: revision of some important concepts in two-variable regression
- least squares estimation with more than one explantory variable
- small-sample and large-sample properties of estimators
- the classical linear multiple regression model
- further reading
- appendix - the properties of consistent estimators
- notes. Part 2 Maxiumum likelihood estimation: maximum likelihood estimation when variables are discrete
- maximum likelihood estimation when variables are continuous
- properties of maximum likelihood estimators
- maximum likelihood estimation and multiple regression
- the computation of maximum likelihood estimates
- further reading
- notes. Part 3 Some extensions of the classical linear model: non-linear regression equations
- dummy variables
- testing for parameter stability
- restrictions on the parameters of regression equations
- the likelihood ratio test
- the Wald test
- the Legrange multipler test
- further reading
- notes. Part 4 Breakdowns in classical assumptions: stochastic explanatory variables
- errors of measurement
- breakdowns in assumptions concerning the disturbances
- factors resulting in a lack of precision in the OLS estimators
- further reading
- notes. Part 5 Lagged variables: geometric lag distributions
- the formation
- lags of adjustment
- rational lags
- polynominal of almon lags
- further reading
- notes. Part 6 The specification and selection of models: specification errors
- model selection
- error-correction models
- stationarity
- co-integration
- an overall strategy for model selection
- further reading
- notes. Part 7 Simultaneous equation systems: the problems of identification and simultaneous equation bias
- the estimation of simultaneous relationships
- maximum likelihood estimation of overidentified equations
- the choice of estimation technique
- further reading
- notes. Part 8 Demand analysis: specification of the demand equation
- the aggregation problem
- estimation from time series data
- the estimation of Engel curves
- the demand for durable goods
- estimating complete systems of demand equations
- early complete system models
- some later developments
- outstanding issues
- appendix
- notes. Part 9 Consumption functions: general problems and early empirical work
- the life-cycle hypothesis
- prices, inflation and wealth effects
- error correction models of consumption
- rational expectations and consumption
- recent work on UK consumption
- conclusions
- appendix A
- appendix B
- notes. Part contents.
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