A guide to econometrics:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Malden, Mass. [u.a.]
Blackwell
2003
|
| Ausgabe: | 5. ed. |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012994829&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XIII, 623 S. graph. Darst. |
| ISBN: | 1405115025 1405115017 |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: A guide to econometrics
Autor: Kennedy, Peter
Jahr: 2003
CONTENTS
Preface
Dedication
1 Introduction
I.I 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
XI
XV.
I
I
3
4
5
6
10
II
II
II
12
14
15
17
18
19
23
24
27
28
37
The Classical Linear Regression Model 47
3.1 Textbooks as Catalogs 47
3.2 The Five Assumptions 48
3.3 The OLS Estimator in the CLR Model 49
vi CONTENTS
General Notes 52
Technical Notes 56
4 Interval Estimation and Hypothesis Testing 60
4.1 Introduction 60
4.2 Testing a Single Hypothesis: the t Test 60
4.3 Testing a Joint Hypothesis: the F Test 61
4.4 Interval Estimation for a Parameter Vector 63
4.5 LR, W, and LM Statistics 66
4.6 Bootstrapping 68
General Notes 70
Technical Notes 77
5 Specification 81
5.1 Introduction 81
5.2 Three Methodologies 82
5.3 General Principles for Specification 85
5.4 Misspecification Tests/Diagnostics 86
5.5 R2 Again 90
General Notes 92
Technical Notes 103
6 Violating Assumption One: Wrong
Regressors, Nonlinearities, and
Parameter Inconstancy 107
6.1 Introduction 107
6.2 Incorrect Set of Independent Variables 107
6.3 Nonlinearity 109
6.4 Changing Parameter Values 112
General Notes 114
Technical Notes 123
7 Violating Assumption Two:
Nonzero Expected Disturbance 129
General Notes 131
8 Violating Assumption Three:
Nonspherical Disturbances 133
8.1 Introduction 133
8.2 Consequences of Violation 134
8.3 Heteroskedasticity 136
8.4 Autocorrelated Disturbances 139
General Notes 144
Technical Notes 151
CONTENTS VÝÝ
9 Violating Assumption Four:
Measurement Errors and Autoregression 157
9.1 Introduction 157
9.2 Instrumental Variable Estimation 159
9.3 Errors in Variables 160
9.4 Autoregression 163
General Notes 166
Technical Notes 172
10 Violating Assumption Four:
Simultaneous Equations 180
10.1 Introduction 180
10.2 Identification 182
10.3 Single-equation Methods 186
10.4 Systems Methods 190
General Notes 191
Technical Notes 197
I I Violating Assumption Five:
Multicollinearity 205
I I.I Introduction 205
11.2 Consequences 206
11.3 Detecting Multicollinearity 208
I 1.4 What to Do 210
General Notes 212
Technical Notes 217
12 Incorporating Extraneous Information 218
12.1 Introduction 218
12.2 Exact Restrictions 218
12.3 Stochastic Restrictions 219
12.4 Pre-test Estimators 219
12.5 Extraneous Information and MSE 221
General Notes 223
Technical Notes 228
13 The Bayesian Approach 230
13.1 Introduction 230
13.2 What Is a Bayesian Analysis? 230
13.3 Advantages of the Bayesian Approach 234
13.4 Overcoming Practitioners Complaints 235
General Notes 238
Technical Notes 243
vMÝ CONTENTS
14 Dummy Variables 248
14.1 Introduction 248
14.2 Interpretation 249
14.3 Adding Another Qualitative Variable 250
14.4 Interacting with Quantitative Variables 252
14.5 Observation-specific Dummies 253
General Notes 254
Technical Notes 257
15 Qualitative Dependent Variables 259
15.1 Dichotomous Dependent Variables 259
15.2 Polychotomous Dependent Variables 262
15.3 Ordered Logit/Probit 263
15.4 Count Data 263
General Notes 264
Technical Notes 272
16 Limited Dependent Variables 281
16.1 Introduction 281
16.2 The Tobit Model 283
16.3 Sample Selection 284
16.4 Duration Models 287
General Notes 289
Technical Notes 294
17 Panel Data 301
17.1 Introduction 301
17.2 Allowing for Different Intercepts 303
17.3 Fixed versus Random Effects 305
17.4 Short Run versus Long Run 307
17.5 Long, Narrow Panels 308
General Notes 309
Technical Notes 315
18 Time Series Econometrics 319
18.1 Introduction 319
18.2 ARIMA Models 320
18.3 VARs 321
18.4 Error-correction Models 323
18.5 Testing for Unit Roots 325
18.6 Cointegration 326
General Notes 328
Technical Notes 340
CONTENTS IX
19 Forecasting 358
19.1 Introduction 358
19.2 Causal Forecasting/Econometric Models 359
19.3 Time Series Analysis 360
19.4 Forecasting Accuracy 361
General Notes 363
Technical Notes 370
20 Robust Estimation 372
20.1 Introduction 372
20.2 Outliers and Influential Observations 373
20.3 Robust Estimators 374
20.4 Non-parametric Estimation 376
General Notes 378
Technical Notes 382
21 Applied Econometrics 389
21.1 Introduction 389
21.2 The Ten Commandments of Applied
Econometrics 390
21.3 Getting the Wrong Sign 397
21.4 Common Mistakes 402
21.5 What Do Practitioners Need to Know? 404
General Notes 405
Technical Notes 416
Appendix A: Sampling Distributions, the
Foundation of Statistics 418
Appendix B: All about Variance 423
Appendix C: A Primer on Asymptotics 429
Appendix D: Exercises 436
Appendix E: Answers to Even-numbered Questions 516
Glossary 544
Bibliography 550
Name Index 601
Subject Index 610
|
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| 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 | Econometrie gtt Econometrics Statistischer Test (DE-588)4077852-6 gnd Regressionsanalyse (DE-588)4129903-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Econometrie Econometrics Statistischer Test Regressionsanalyse Ökonometrisches Modell Ökonometrie Einführung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012994829&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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