Advanced Econometrics (COBEE) - Hardcover

Amemiya, T

Hardcover

ISBN 10: 0674005600 ISBN 13: 9780674005600

Publisher: Harvard University Press, 1985

Synopsis

Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.

Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.

About this title

Review

The book provides an excellent overview of modern developments in such major subjects as robust inference, model selection methods, feasible generalized least squares estimation, nonlinear simultaneous systems models, discrete response analysis, and limited dependent variable models.--Charles F. Manski, University of Wisconsin, Madison

Edition details

• Publisher: Harvard University Press
• Publication date: 1985
• ISBN 10: 0674005600
• ISBN 13: 9780674005600
• Binding: Hardcover
• Language: English
• Number of pages: 576