ISBN: 9780195123722
Econometric Theory and Methods
Davidson, Russell; MacKinnon, James G.
ISBN 10: 0195123727 / 0-19-512372-7ISBN 13: 9780195123722
Publication Date: 2003
Binding: Hardcover
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Preface Data, Solutions, and Corrections 1. Regression Models 1.1. Introduction 1.2. Distributions, Densities, and Moments 1.3. The Specification of Regression Models 1.4. Matrix Algebra 1.5. Method-of-Moments Estimation 1.6. Notes on Exercises 1.7. Exercises 2. The Geometry of Linear Regression 2.1. Introduction 2.2. The Geometry of Vector Spaces 2.3. The Geometry of OLS Estimation 2.4. The Frisch-Waugh-Lowell Theorem 2.5. Applications of the FWL Theorem 2.6. Influential Observations and Leverage 2.7. Final Remarks 2.8. Exercises 3. The Statistical Properties of Ordinary Least Squares 3.1. Introduction 3.2. Are OLS Parameter Estimators Unbiased? 3.3. Are OLS Parameter Estimators Consistent? 3.4. The Covariance Matrix of the OLS Parameter Estimates 3.5. Efficiency of the OLS Estimator 3.6. Residuals and Error Terms 3.7. Misspecification of Linear Regression Models 3.8. Measures of Goodness of Fit 3.9. Final Remarks 3.10. Exercises 4. Hypothesis Testing in Linear Regression Models 4.1. Introduction 4.2. Basic Ideas 4.3. Some Common Distractions 4.4. Exact Tests in the Classical Normal Linear Model 4.5. Large-Sample Tests in Linear Regression Models 4.6. Simulation-Based Tests 4.7. The Power of Hypothesis Tests 4.8. Final Remarks 4.9. Exercises 5. Confidence Intervals 5.1. Introduction 5.2. Exact and Asymptotic Confidence Intervals 5.3. Bootstrap Confidence Intervals 5.4. Confidence Regions 5.5. Heteroskedasticity-Consistent Covariance Matrices 5.6. The Delta Method 5.7. Final Remarks 5.8. Exercises 6. Nonlinear Regression 6.1. Introduction 6.2. Method-of-Moments Estimators for Nonlinear Models 6.3. Nonlinear Least Squares 6.4. Computing NLS Estimates 6.5. The Gauss-Newton Regression 6.6. One-Step Estimation 6.7. Hypothesis Testing 6.8. Heteroskedasticity-Robust Tests 6.9. Final Remarks 6.10. Exercises 7. Generalized Least Squares and Related Topics 7.1. Introduction 7.2. The GLS Eliminator 7.3. Computing GLS Estimates 7.4. Feasible Generalized Least Squares 7.5. Heteroskedasticity 7.6. Autoregressive and Moving-Average Processes 7.7. Testing for Serial Correlation 7.8. Estimating Models with Autoregressive Errors 7.9. Specification Testing and Serial Correlation 7.10. Models for Panel Data 7.11. Final Remarks 7.12. Exercises 8. Instrumental Variables Estimation 8.1. Introduction 8.2. Correlation Between Error Terms and Regressors 8.3. Instrumental Variables Estimation 8.4. Finite-Sample Properties of IV Estimators 8.5. Hypothesis Testing 8.6. Testing Overidentifying Restrictions 8.7. Durbin-Wu-Hausman Tests 8.8. Bootstrap Tests 8.9. IV Estimation of Nonlinear Models 8.10. Final Remarks 8.11. Exercises 9. The Generalized Methods of Moments 9.1. Introduction 9.2. GMM Estimators for Linear Regression Models 9.3. HAC Covariance Matrix Estimation 9.4. Tests Based on the GMM Criterion Function 9.5. GMM Estimators for Nonlinear Models 9.6. The Method of Simula
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Book Description: Oxford University Press, 2003. Gebunden. Book Condition: New. - This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics. 480 pp. Englisch. Bookseller Inventory # 9780195123722 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, 2003. Gebunden. Book Condition: New. - This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics. Englisch. Bookseller Inventory # 9780195123722 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, 2003. Gebunden. Book Condition: New. - This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics. 480 pp. Englisch. Bookseller Inventory # 9780195123722 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, USA, 2003. Hardcover. Book Condition: New. 161mm x 40mm x 247mm. Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulationmethods, including the bootstrap, are introduced early and used extensively.The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapterincorporates numerous exercises, some theoretical, some empirical, and many involving simulation.Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics. FEATURESUnified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.Geometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, ratherthan isolated in appendices or introductory chapters not linked to the main body of the text.Advanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernelregression.Chapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students tocover advanced material. 768 pages. Bookseller Inventory # S5799451 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, USA, 2003. Hardcover. Book Condition: New. 161mm x 40mm x 247mm. Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulationmethods, including the bootstrap, are introduced early and used extensively.The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapterincorporates numerous exercises, some theoretical, some empirical, and many involving simulation.Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics. FEATURESUnified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.Geometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, ratherthan isolated in appendices or introductory chapters not linked to the main body of the text.Advanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernelregression.Chapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students tocover advanced material. 768 pages. Bookseller Inventory # S5799451 | |||||



