A guide to econometrics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
MIT Press
1998
|
| Edition: | 4. ed. |
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008357406&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Item Description: | Literaturverz. S.411-446 |
| Physical Description: | IX, 468 S. graph. Darst. |
| ISBN: | 0262112353 0262611406 |
Staff View
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Record in the Search Index
| _version_ | 1819266050231894016 |
|---|---|
| adam_text | A GUIDE TO
PETER KENNEDY
Simon Fraser University
BLACKWELL
CONTENTS
Preface xi
1 Introduction I
1 1 What is Econometrics? I
1 2 The Disturbance Term 2
1 3 Estimates and Estimators 4
1 4 Good and Preferred Estimators 5
General Notes 6
Technical Notes 9
2 Cri ter ia for Estimators 10
I I
The Classical Linear Regression Model 42
3 1 Textbooks as Catalogs 42
3 2 The Five Assumptions 43
3 3 The OLS Estimator in the CLR Model 44
General Notes 47
Technical Notes 50
Introduction
Computational Cost
Least Squares
Highest R2
Unbiasedness
Efficiency
Mean Square Error (MSE)
Asymptotic Properties
Maximum Likelihood
Monte Carlo Studies
Adding Up
General Notes
Technical Notes
VI CONTENTS
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
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
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
Violating Assumption Two: Nonzero
Expected Disturbance
General Notes
Violating Assumption Three:
Nonspherical Disturbances
8 1 Introduction
8 2 Consequences of Violation
8 3 Heteroskedasticity
8 4 Autocorrelated Disturbances
General Notes
Technical Notes
CONTENTS VII
9 Violating Assumption Four: Measurement
Errors and Autoregression 137
9 1 Introduction 137
9 2 Instrumental Variable Estimation 139
9 3 Errors in Variables 140
9 4 Autoregression 143
General Notes 146
Technical Notes 150
10 Violating Assumption Four: Simultaneous
Equations 157
10 1 Introduction 157
10 2 Identification 159
10 3 Single-equation Methods 163
10 4 Systems Methods 166
10 5 VARs 167
General Notes 168
Technical Notes I 74
11 Violat ing Assumption Five:
Multicollinearity 183
III Introduction 183
11 2 Consequences 184
11 3 Detecting Multicollinearity 186
11 4 What to Do 187
General Notes 189
Technical Notes 193
12 Incorporat ing Extraneous Information 194
12 1 Introduction 194
12 2 Exact Restrictions 194
12 3 Stochastic Restrictions 195
12 4 Pre-test Estimators 195
12 5 Extraneous Information and MSE 197
General Notes 198
Technical Notes 203
13 The Bayesian Approach 205
13 1 Introduction 205
13 2 What is a Bayesian Analysis? 205
13 3 Advantages of the Bayesian Approach 209
Viii CONTENTS
13 4 Overcoming Practitioners Complaints 210
General Notes 21 2
Technical Notes 217
14 Dummy Variables 221
14 1 Introduction 221
14 2 Interpretation 222
14 3 Adding Another Qualitative Variable 223
14 4 Interacting with Quantitative Variables 225
14 5 Observation-specific Dummies 226
14 6 Fixed and Random Effects Models 226
General Notes 228
Technical Notes 232
15 Qual i tat ive Dependent Variables 233
15 1 Dichotomous Dependent Variables 233
15 2 Polychotomous Dependent Variables 235
15 3 Ordered Logit/Probit 236
15 4 Count Data 236
General Notes 237
Technical Notes 243
16 Limited Dependent Variables 249
16 1 Introduction 249
16 2 The Tobit Model 250
16 3 Sample Selection 251
16 4 Duration Models 252
General Notes 254
Technical Notes 257
17 Time Series Econometrics 263
17 1 Introduction 263
17 2 ARIMA Models 264
17 3 SEMTSA 265
17 4 Error-correction Models 266
17 5 Testing for Unit Roots 268
17 6 Cointegration 269
General Notes 271
Technical Notes 277
CONTENTS IX
18 Forecasting 288
18 1 Introduction 288
18 2 Causal Forecasting/Econometric Models 289
18 3 Time Series Analysis 290
18 4 Forecasting Accuracy 291
General Notes 292
Technical Notes 297
19 Robust Estimation 298
19 1 Introduction 298
19 2 Outliers and Influential Observations 299
19 3 Robust Estimators 300
19 4 Non-parametric Estimation 302
General Notes 304
Technical Notes 306
Appendix A: Sampling Distributions, the
Foundation of Statistics 313
Appendix B: All About Variance 317
Appendix C: A Primer on Asymptotics 322
Appendix D: Exercises 328
Appendix E: Answers to Even-numbered Questions 384
Glossary 406
Bibliography 41 I
Author Index 000
Subject Index 000
|
| any_adam_object | 1 |
| author | Kennedy, Peter 1943-2010 |
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| author_facet | Kennedy, Peter 1943-2010 |
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| callnumber-raw | HB139 |
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| dewey-ones | 330 - Economics |
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| dewey-search | 330/.01/5195 |
| dewey-sort | 3330 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 4. ed. |
| format | Book |
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| genre_facet | Einführung |
| id | DE-604.BV012326152 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:28:18Z |
| institution | BVB |
| isbn | 0262112353 0262611406 |
| language | English |
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| physical | IX, 468 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | MIT Press |
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| spellingShingle | Kennedy, Peter 1943-2010 A guide to econometrics Économétrie Économétrie - Manuels d'enseignement supérieur ram Econometrics Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Statistischer Test (DE-588)4077852-6 gnd Regressionsanalyse (DE-588)4129903-6 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4043212-9 (DE-588)4077852-6 (DE-588)4129903-6 (DE-588)4151278-9 |
| title | A guide to econometrics |
| title_auth | A guide to econometrics |
| title_exact_search | A guide to econometrics |
| title_full | A guide to econometrics Peter Kennedy |
| title_fullStr | A guide to econometrics Peter Kennedy |
| title_full_unstemmed | A guide to econometrics Peter Kennedy |
| title_short | A guide to econometrics |
| title_sort | a guide to econometrics |
| topic | Économétrie Économétrie - Manuels d'enseignement supérieur ram Econometrics Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Statistischer Test (DE-588)4077852-6 gnd Regressionsanalyse (DE-588)4129903-6 gnd |
| topic_facet | Économétrie Économétrie - Manuels d'enseignement supérieur Econometrics Ökonometrie Ökonometrisches Modell Statistischer Test Regressionsanalyse Einführung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008357406&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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