Verfügbarkeit: Econometrics | Technische Universität München

Econometrics:

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Bibliographische Detailangaben
Beteilige Person:	Baltagi, Badi H. 1954- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Berlin [u.a.] Springer 1998
Schlagwörter:	econometria - [manuale] Econometrics Ökonometrie Lehrbuch
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007848565&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Beschreibung:	Erg. u.d.T.: Baltagi, Badi H.: Solutions manual for econometrics
Umfang:	XIV, 396 S. graph. Darst.
ISBN:	354063617X

Internformat

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Datensatz im Suchindex

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adam_text	BADI H. BALTAGI ECONOMETRIC S WITH 33 FIGURES AND 19 TABLES SPRINGER TABLE OF CONTENTS PREFACE V PARTI CHAPTER 1 WHAT IS ECONOMETRICS? 1.1 INTRODUCTION 1 1.2 ABRIEFHISTORY 3 1.3 CRITIQUES OF ECONOMETRICS 4 REFERENCES 5 CHAPTER 2 A REVIEW OF SOME BASIC STATISTICAL CONCEPTS 2.1 INTRODUCTION 7 2.2 METHODS OF ESTIMATION 7 2.3 PROPERTIES OF ESTIMATORS 10 2.4 HYPOTHESIS TESTING 17 2.5 CONFIDENCE INTERVALS 27 PROBLEMS 29 REFERENCES 34 APPENDIX 35 CHAPTER 3 SIMPLE LINEAR REGRESSION 3.1 INTRODUCTION 41 3.2 LEAST SQUARES ESTIMATION AND THE CLASSICAL ASSUMPTIONS 42 3.3 STATISTICAL PROPERTIES OF THE LEAST SQUARES ESTIMATORS 46 3.4 ESTIMATION OF O 2 49 3.5 MAXIMUM LIKELIHOOD ESTIMATION 50 3.6 A MEASURE OF FIT 52 3.7 PREDICTION 53 X TABLE OF CONTENTS 3.8 RESIDUAL ANALYSIS 55 3.9 NUMERICAL EXAMPLE 57 3.10 EMPIRICAL EXAMPLE 60 PROBLEMS 63 REFERENCES 6 8 APPENDIX 68 CHAPTER 4 MULTIPLE REGRESSION ANALYSIS 4.1 INTRODUCTION 70 4.2 LEAST SQUARES ESTIMATION 70 4.3 RESIDUAL INTERPRETATION OF MULTIPLE REGRESSION ESTIMATES 72 4.4 OVERSPECIFICATION AND UNDERSPECIFICATION OF THE REGRESSION EQUATION 75 4.5 R-SQUARED VERSUS R-BAR-SQUARED 77 4.6 TESTING LINEAR RESTRICTIONS 78 4.7 DUMMY VARIABLES 82 PROBLEMS 87 REFERENCES 94 APPENDIX 95 CHAPTER 5 VIOLATIONS OF THE CLASSICAL ASSUMPTIONS 5.1 INTRODUCTION 97 5.2 THE ZERO MEAN ASSUMPTION 97 5.3 STOCHASTIC EXPLANATORY VARIABLES 98 5.4 NORMALITY OF THE DISTURBANCES 100 5.5 HETEROSKEDASTICITY 101 5.6 AUTOCORRELATION 113 PROBLEMS 123 REFERENCES 130 CHAPTER 6 DISTNBUTED LAGS AND DYNAMIC MODELS 6.1 INTRODUCTION 133 6.2 INFINITE DISTRIBUTED LAGS 140 6.2.1 ADAPTIVE EXPECTATIONS MODEL (AEM) 141 6.2.2 PARTIAL ADJUSTMENT MODEL (PAM) 142 TABLE OF CONTENTS XI 6.3 ESTIMATION AND TESTING OF DYNAMIC MODELS WITH SERIAL CORRELATION 142 6.3.1 A LAGGED DEPENDENT VARIABLE MODEL WITH AR(1) DISTURBANCES 144 6.3.2 A LAGGED DEPENDENT VARIABLE MODEL WITH MA(1) DISTURBANCES 146 6.4 AUTOREGRESSIVE DISTRIBUTED LAG 147 PROBLEMS 149 REFERENCES 151 PART I I CHAPTER 7 THE GENERAL LINEAR MODEL: THE BASICS 7.1 INTRODUCTION 154 7.2 LEAST SQUARES ESTIMATION 154 7.3 PARTITIONED REGRESSION AND THE FRISCH-WAUGH LOVELL THEOREM 158 7.4 MAXIMUM LIKELIHOOD ESTIMATION 160 7.5 PREDICTION 164 7.6 CONFIDENCE INTERVALS AND TEST OF HYPOTHESES 165 7.7 JOINT CONFIDENCE INTERVALS AND TEST OF HYPOTHESES 166 7.8 RESTRICTED MLE AND RESTRICTED LEAST SQUARES 167 7.9 LIKELIHOOD RATIO, WALD AND LAGRANGE MULTIPLIER TESTS 168 PROBLEMS 175 REFERENCES 181 APPENDIX 182 CHAPTER 8 REGRESSION DIAGNOSTICS AND SPECIFICATION TESTS 8.1 INFLUENTIAL OBSERVATIONS 189 8.2 RECURSIVE RESIDUAIS 201 8.3 SPECIFICATION TESTS 209 8.4 NON-LINEAR LEAST SQUARES AND THE GAUSS-NEWTON REGRESSION 223 8.5 TESTING LINEAR VERSUS LOG-LINEAR FUNCTIONAL FORM 227 PROBLEMS 229 REFERENCES 234 CHAPTER 9 GENERALIZED LEAST SQUARES 9.1 INTRODUCTION 237 XH TABLE OF CONTENTS 9.2 GENERALIZED LEAST SQUARES 237 9.3 SPECIAL FORMS OF Q 239 9.4 MAXIMUM LIKELIHOOD ESTIMATION 241 9.5 TEST OF HYPOTHESES 241 9.6 PREDICTION 242 9.7 UNKNOWN Q 243 9.8 THE W, LR, AND LMSTATISTICS REVISITED 243 PROBLEMS 246 REFERENCES 249 CHAPTER 10 SEEMINGLY UNRELATED REGRESSIONS 10.1 INTRODUCTION 252 10.2 FEASIBLE GLS ESTIMATION 254 10.3 TESTING DIAGONALITY OF THE VARIANCE-COVARIANCE MATRIX 257 10.4 SEEMINGLY UNRELATED REGRESSIONS WITH UNEQUAL OBSERVATIONS 258 10.5 EMPIRICAL EXAMPLE 260 PROBLEMS 262 REFERENCES 266 CHAPTER 11 SIMULTANEOUS EQUATIONS MODEL 11.1 INTRODUCTION 268 11.1.1 SIMULTANEOUS BIAS 268 11.1.2 THE IDENTIFICATION PROBLEM: THE ORDER CONDITION FOR IDENTIFICATION 271 11.2 SINGLE EQUATION ESTIMATION: TWO-STAGE LEAST SQUARES 275 11.3 SYSTEM ESTIMATION: THREE-STAGE LEAST SQUARES 280 11.4 THE IDENTIFICATION PROBLEM REVISITED: THE RANK CONDITION OF IDENTIFICATION 282 11.5 TEST FOR OVER-IDENTIFICATION RESTRICTIONS 288 11.6 HAUSMAN'S SPECIFICATION TEST 290 11.7 EMPIRICAL EXAMPLE 293 PROBLEMS .29 4 REFERENCES 305 CHAPTER 12 POOLING TIME-SERIES OF CROSS-SECTION DATA 12.1 INTRODUCTION 307 TABLE OF CONTENTS XIII 12.2 THE ERROR COMPONENTS PROCEDURE 308 12.2.1 THE FIXED EFFECTS MODEL 309 12.2.2 THE RANDOM EFFECTS MODEL 311 12.2.3 MAXIMUM LIKELIHOOD ESTIMATION , 316 12.2.4 PREDICTION V 317 12.2.5 EMPIRICAL EXAMPLE 317 12.2.6 TESTING IN A POOLED MODEL 318 12.3 TIME-WISE AUTOCORRELATED AND CROSS-SECTIONALLY HETEROSKEDASTIC PROCEDURES 324 12.4 A COMPARISON OF THE TWO PROCEDURES 325 PROBLEMS 327 REFERENCES 329 CHAPTER 13 LIMITED DEPENDENT VARIABLES 13.1 INTRODUCTION 331 13.2 THE LINEAR PROBABILITY MODEL 331 13.3 FUNCTIONAL FORM: LOGIT AND PROBIT 334 13.4 GROUPEDDATA 335 13.5 INDIVIDUAL DATA: PROBIT AND LOGIT 337 13.6 THE BINARY RESPONSE MODEL REGRESSION 339 13.7 ASYMPTOTIC VARIANCES FOR PREDICTIONS AND MARGINAL EFFECTS 341 13.8 GOODNESS OF FIT MEASURES 342 13.9 EMPIRICAL EXAMPLE 343 13.10 MULTINOMIAL CHOICE MODELS 345 13.10.1 ORDERED RESPONSE MODELS 345 13.10.2 UNORDERED RESPONSE MODELS 346 13.11 THE CENSORED REGRESSION MODEL 348 13.12 THE TRUNCATED REGRESSION MODEL 351 13.13 SAMPLE SELECTIVITY 353 PROBLEMS 355 REFERENCES 359 APPENDIX 360 CHAPTER 14 TIME-SERIES MODELS 14.1 INTRODUCTION 363 14.2 STATIONARITY 363 XIV TABLE OF CONTENTS 14.3 THE BOX AND JENKINS METHOD 365 14.4 VECTOR AUTOREGRESSION 368 14.5 UNITROOT 369 14.6 TREND STATIONARY VERSUS DIFFERENCE STATIONARY 372 14.7 COINTEGRATION 373 14.8 AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY 376 PROBLEMS 379 REFERENCES 384 INDEX 387 LIST OF FIGURES 397 LIST OF TABLES 398
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dewey-search	330/.01/5195 21
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dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
format	Book
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open_access_boolean
owner	DE-N2 DE-20 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-703 DE-12 DE-573 DE-1047 DE-739 DE-1049 DE-1102 DE-M49 DE-BY-TUM DE-706 DE-521 DE-634 DE-188
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spellingShingle	Baltagi, Badi H. 1954- Econometrics econometria - [manuale] tessin-TR Econometrics Ökonometrie (DE-588)4132280-0 gnd
subject_GND	(DE-588)4132280-0 (DE-588)4123623-3
title	Econometrics
title_auth	Econometrics
title_exact_search	Econometrics
title_full	Econometrics Badi H. Baltagi
title_fullStr	Econometrics Badi H. Baltagi
title_full_unstemmed	Econometrics Badi H. Baltagi
title_short	Econometrics
title_sort	econometrics
topic	econometria - [manuale] tessin-TR Econometrics Ökonometrie (DE-588)4132280-0 gnd
topic_facet	econometria - [manuale] Econometrics Ökonometrie Lehrbuch
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007848565&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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