Econometric modeling and inference
著者
書誌事項
Econometric modeling and inference
（Themes in modern econometrics）
Cambridge University Press, 2007
- : hbk
- : pbk
- タイトル別名
-
Économétrie
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注記
Translation of: Économétrie
Includes bibliographical references (p. 477-492) and index
内容説明・目次
内容説明
Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
目次
- Part I. Statistical Methods: 1. Statistical models
- 2. Sequential models and asymptotics
- 3. Estimation by maximization and by the method of moments
- 4. Asymptotic tests
- 5. Nonparametric methods
- 6. Simulation methods
- Part II. Regression Models: 7. Conditional expectation
- 8. Univariate regression
- 9. Generalized least squares method, heteroskedasticity, and multivariate regression
- 10. Nonparametric estimation of the regression
- 11. Discrete variables and partially observed models
- Part III. Dynamic Models: 12. Stationary dynamic models
- 13. Nonstationary processes and cointegration
- 14. Models for conditional variance
- 15. Nonlinear dynamic models
- Part IV. Structural Modeling: 16. Identification and over identification in structural modeling
- 17. Simultaneity
- 18. Models with unobservable variables.
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