A guide to econometrics
著者
書誌事項
A guide to econometrics
Blackwell, 2008
6th ed
- : pbk
- : hardcover
大学図書館所蔵 件 / 全46件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. 511-561) and indexes
内容説明・目次
- 巻冊次
-
: pbk ISBN 9781405182577
内容説明
This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.
Explains what is going on in textbooks full of proofs and formulas
Offers intuition, skepticism, insights, humor, and practical advice (dos and don'ts)
Contains new chapters that cover instrumental variables and computational considerations
Includes additional information on GMM, nonparametrics, and an introduction to wavelets
目次
Preface x
Dedication xii
1. Introduction 1
2. Criteria for Estimators 11
3. The Classical Linear Regression Model 40
4. Interval Estimation and Hypothesis Testing 51
5. Specification 71
6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93
7. Violating Assumption Two: Nonzero Expected Disturbance 109
8. Violating Assumption Three: Nonspherical Disturbances 112
9. Violating Assumption Four: Instrumental Variable Estimation 137
10. Violating Assumption Four: Measurement Errors and Autoregression 157
11. Violating Assumption Four: Simultaneous Equations 171
12. Violating Assumption Five: Multicollinearity 192
13. Incorporating Extraneous Information 203
14. The Bayesian Approach 213
15. Dummy Variables 232
16. Qualitative Dependent Variables 241
17. Limited Dependent Variables 262
18. Panel Data 281
19. Time Series Econometrics 296
20. Forecasting 331
21. Robust Estimation 345
22. Applied Econometrics 361
23. Computational Considerations 385
Appendix A: Sampling Distributions, the Foundation of Statistics 403
Appendix B: All about Variance 407
Appendix C: A Primer on Asymptotics 412
Appendix D: Exercises 417
Appendix E: Answers to Even-numbered Questions 479
Glossary 503
Bibliography 511
Name Index 563
Subject Index 573
- 巻冊次
-
: hardcover ISBN 9781405182584
内容説明
This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course.
Explains what is going on in textbooks full of proofs and formulas
Offers intuition, skepticism, insights, humor, and practical advice (dos and don'ts)
Contains new chapters that cover instrumental variables and computational considerations
Includes additional information on GMM, nonparametrics, and an introduction to wavelets
目次
Preface. Dedication.
1. Introduction.
1.1 What is Econometrics?.
1.2 The Disturbance Term.
1.3 Estimates and Estimators.
1.4 Good and Preferred Estimators.
General Notes.
Technical Notes.
2. Criteria for Estimators.
2.1 Introduction.
2.2 Computational Cost.
2.3 Least Squares.
2.4 Highest R2.
2.5 Unbiasedness.
2.6 Efficiency.
2.7 Mean Square Error (MSE).
2.8 Asymptotic Properties.
2.9 Maximum Likelihood.
2.10 Monte Carlo Studies.
2.11 Adding Up.
General Notes.
Technical Notes.
3. The Classical Linear Regression Model.
3.1 Textbooks as Catalogs.
3.2 The Five Assumptions.
3.3 The OLS Estimator in the CLR Model.
General Notes.
Technical Notes.
4. Interval Estimation and Hypothesis Testing.
4.1 Introduction.
4.2 Testing a Single Hypothesis: the t Test.
4.3 Testing a Joint Hypothesis: the F Test.
4.4 Interval Estimation for a Parameter Vector.
4.5 LR, W, and LM Statistics.
4.6 Bootstrapping.
General Notes.
Technical Notes.
5. Specification.
5.1 Introduction.
5.2 Three Methodologies.
5.3 General Principles for Specification.
5.4 Misspecification Tests/Diagnostics.
5.5 R2 Again.
General Notes.
Technical Notes.
6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy.
6.1 Introduction.
6.2 Incorrect Set of Independent Variables.
6.3 Nonlinearity.
6.4 Changing Parameter Values.
General Notes.
Technical Notes.
7. Violating Assumption Two: Nonzero Expected Disturbance.
General Notes.
8. Violating Assumption Three: Nonspherical Disturbances.
8.1 Introduction.
8.2 Consequences of Violation.
8.3 Heteroskedasticity.
8.4 Autocorrelated Disturbances.
8.5 Generalized Method of Moments.
General Notes.
Technical Notes.
9. Violating Assumption Four: Instrumental Variable Estimation.
9.1 Introduction.
9.2 The IV Estimator.
9.3 IV Issues.
General Notes.
Technical Notes.
10. Violating Assumption Four: Measurement Errors and Autoregression.
10.1 Errors in Variables.
10.2 Autoregression.
General Notes.
Technical Notes.
11. Violating Assumption Four: Simultaneous Equations.
11.1 Introduction.
11.2 Identification.
11.3 Single-equation Methods.
11.4 Systems Methods.
General Notes.
Technical Notes.
12. Violating Assumption Five: Multicollinearity.
12.1 Introduction.
12.2 Consequences.
12.3 Detecting Multicollinearity.
12.4 What to Do.
General Notes.
Technical Notes.
13. Incorporating Extraneous Information.
13.1 Introduction.
13.2 Exact Restrictions.
13.3 Stochastic Restrictions.
13.4 Pre-test Estimators.
13.5 Extraneous Information and MSE.
General Notes.
Technical Notes.
14. The Bayesian Approach.
14.1 Introduction.
14.2 What Is a Bayesian Analysis?.
14.3 Advantages of the Bayesian Approach.
14.4 Overcoming Practitioners' Complaints.
General Notes.
Technical Notes.
15. Dummy Variables.
15.1 Introduction.
15.2 Interpretation.
15.3 Adding Another Qualitative Variable.
15.4 Interacting with Quantitative Variables.
15.5 Observation-specific Dummies.
General Notes.
Technical Notes.
16. Qualitative Dependent Variables.
16.1 Dichotomous Dependent Variables.
16.2 Polychotomous Dependent Variables.
16.3 Ordered Logit/Probit.
16.4 Count Data.
General Notes.
Technical Notes.
17. Limited Dependent Variables.
17.1 Introduction.
17.2 The Tobit Model.
17.3 Sample Selection.
17.4 Duration Models.
General Notes.
Technical Notes.
18. Panel Data.
18.1 Introduction.
18.2 Allowing for Different Intercepts.
18.3 Fixed versus Random Effects.
18.4 Short Run versus Long Run.
18.5 Long, Narrow Panels.
General Notes.
Technical Notes.
19. Time Series Econometrics.
19.1 Introduction.
19.2 ARIMA Models.
19.3 VARs.
19.4 Error-correction Models.
19.5 Testing for Unit Roots.
19.6 Cointegration.
General Notes.
Technical Notes.
20. Forecasting.
20.1 Introduction.
20.2 Causal Forecasting/Econometric Models.
20.3 Time Series Analysis.
20.4 Forecasting Accuracy.
General Notes.
Technical Notes.
21. Robust Estimation.
21.1 Introduction.
21.2 Outliers and Influential Observations.
21.3 Guarding Against Influential Observations.
21.4 Artificial Neural Networks.
21.5 Non-parametric Estimation.
General Notes.
Technical Notes.
22. Applied Econometrics.
22.1 Introduction.
22.2 The Ten Commandments of Applied.
Econometrics.
22.3 Getting the Wrong Sign.
22.4 Common Mistakes.
22.5 What Do Practitioners Need to Know?.
General Notes.
Technical Notes.
23. Computational Considerations.
23.1 Introduction.
23.2 Optimizing via a Computer Search.
23.3 Estimating Integrals via Simulation.
23.4 Drawing Observations from Awkward Distributions.
General Notes.
Technical Notes.
Appendix A: Sampling Distributions, the.
Foundation of Statistics.
Appendix B: All about Variance.
Appendix C: A Primer on Asymptotics.
Appendix D: Exercises.
Appendix E: Answers to Even-numbered Questions.
Glossary.
Bibliography.
Name Index.
Subject Index
「Nielsen BookData」 より