A guide to econometrics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Malden, Mass. [u.a.]
Blackwell
2008
|
| Edition: | 6. ed. |
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016459881&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | XII, 585 Seiten Diagramme |
| ISBN: | 9781405182584 9781405182577 |
Staff View
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Record in the Search Index
| _version_ | 1819378144628441088 |
|---|---|
| adam_text | Contents
Preface
Dedication
1
Introduction
1.1
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
2.8
Asymptotic Properties
2.9
Maximum Likelihood
2.10
Monte Carlo Studies
2.11
Adding Up
General Notes
Technical Notes
x
xii
1
1
2
4
5
6
10
11
11
11
12
13
14
16
17
18
21
22
25
26
32
The Classical Linear Regression Model
40
3.1
Textbooks as Catalogs
40
3.2
The Five Assumptions
41
vi
Contents
3.3
The OLS Estimator in the
CLR
Model
43
General Notes
44
Technical Notes
47
4
Interval Estimation and Hypothesis Testing
51
4.1
Introduction
51
4.2
Testing a Single Hypothesis: the
t
Test
51
4.3
Testing a Joint Hypothesis: the
F
Test
52
4.4
Interval Estimation for a Parameter Vector
54
4.5
LR, W, and LM Statistics
56
4.6
Bootstrapping
58
General Notes
59
Technical Notes
67
5
Specification
71
5.1
Introduction
71
5.2
Three Methodologies
72
5.3
General Principles for Specification
75
5.4
Misspecification Tests/Diagnostics
76
5.5
R2 Again
79
General Notes
81
Technical Notes
89
6
Violating Assumption One: Wrong Regressors, Nonlinearities, and
Parameter Inconstancy
93
6.1
Introduction
93
6.2
Incorrect Set of Independent Variables
93
6.3
Nonlinearity
95
6.4
Changing Parameter Values
97
General Notes
100
Technical Notes
106
7
Violating Assumption Two: Nonzero Expected Disturbance
109
General Notes
111
8
Violating Assumption Three: Nonspherical Disturbances
112
8.1
Introduction
112
8.2
Consequences of Violation
113
8.3
Heteroskedasticity
115
8.4
Autocorrelated Disturbances
118
8.5
Generalized Method of Moments
122
General Notes
123
Technical Notes
129
9
Violating Assumption Four: Instrumental Variable Estimation
137
9.1
Introduction
137
9.2
The IV Estimator
141
9.3
IV Issues
144
Contents
vii
General Notes 146
Technical Notes 151
10
Violating Assumption Four: Measurement Errors and
Autoregression 157
10.1
Errors in Variables
157
10.2 Autoregression 160
General Notes
163
Technical Notes
167
11
Violating Assumption Four: Simultaneous Equations
171
11.1
Introduction
171
11.2
Identification
173
11.3
Single-Equation Methods
176
11.4
Systems Methods
180
General Notes
181
TechnicalNotes
186
12
Violating Assumption Five: Multicollinearity
192
12.1
Introduction
192
12.2
Consequences
193
12.3
Detecting Multicollinearity
194
12.4
What To Do
196
General Notes
198
Technical Notes
202
13
Incorporating Extraneous Information
203
13.1
Introduction
203
13.2
Exact Restrictions
203
13.3
Stochastic Restrictions
204
13.4
Pre-Test Estimators
204
13.5
Extraneous Information and
MSE
206
General Notes
207
Technical Notes
211
14
The Bayesian Approach
213
14.1
Introduction
213
14.2
What is a Bayesian Analysis?
213
14.3
Advantages of the Bayesian Approach
216
14.4
Overcoming Practitioners Complaints
217
General Notes
220
Technical Notes
226
15
Dummy Variables
232
15.1
Introduction
232
15.2
Interpretation
233
15.3
Adding Another Qualitative Variable
234
15.4
Interacting with Quantitative Variables
235
viii Contents
15.5
Observation-Specific
Dummies
236
General Notes
237
Technical
Notes
240
16
Qualitative Dependent Variables
241
16.1
Dichotomous Dependent Variables
241
16.2
Polychotomous Dependent Variables
244
16.3
Ordered Logit/Probit
245
16.4
Count Data
246
General Notes
246
Technical Notes
254
17
Limited Dependent Variables
262
17.1
Introduction
262
17.2
The Tobit Model
263
17.3
Sample Selection
265
17.4
Duration Models
267
General Notes
269
Technical Notes
273
18
Panel Data
281
18.1
Introduction
281
18.2
Allowing for Different Intercepts
282
18.3
Fixed Versus Random Effects
284
18.4
Short Run Versus Long Run
286
18.5
Long, Narrow Panels
287
General Notes
288
Technical Notes
292
19
Time Series Econometrics
296
19.1
Introduction
296
19.2
ARIMA Models
297
19.3
VARs
298
19.4
Error Correction Models
299
19.5
Testing for Unit Roots
301
19.6
Cointegration
302
Genera] Notes
304
Technical Notes
314
20
Forecasting
331
20.1
Introduction
331
20.2
Causal Forecasting/Econometric Models
332
20.3
Time Series Analysis
333
20.4
Forecasting Accuracy
334
General Notes
335
Technical Notes
342
Contents
ix
21 Robust
Estimation
345
21.1
Introduction
345
21.2
Outliers and Influential Observations
346
21.3
Guarding Against Influential Observations
347
21.4
Artificial Neural Networks
349
21.5
Nonparametric Estimation
350
General Notes
352
Technical Notes
356
22
Applied Econometrics
361
22.1
Introduction
361
22.2
The Ten Commandments of Applied Econometrics
362
22.3
Getting the Wrong Sign
368
22.4
Common Mistakes
372
22.5
What do Practitioners Need to Know?
373
General Notes
374
Technical Notes
383
23
Computational Considerations
385
23.1
Introduction
385
23.2
Optimizing via a Computer Search
386
23.3
Estimating Integrals via Simulation
388
23.4
Drawing Observations from Awkward Distributions
390
General Notes
392
Technical Notes
397
Appendix A: Sampling Distributions, The Foundation of Statistics
403
Appendix B: All About Variance
407
Appendix C: A Primer on Asymptotics
412
Appendix D: Exercises
417
Appendix E: Answers to Even-Numbered Questions
479
Glossary
503
Bibliography
511
Name Index
563
Subject Index
573
|
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| dewey-ones | 330 - Economics |
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| dewey-search | 330.01/5195 |
| dewey-sort | 3330.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 6. ed. |
| format | Book |
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| genre_facet | Lehrbuch |
| id | DE-604.BV023274951 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T13:12:19Z |
| institution | BVB |
| isbn | 9781405182584 9781405182577 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016459881 |
| oclc_num | 173299317 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-703 DE-19 DE-BY-UBM DE-384 DE-N2 DE-M382 DE-83 DE-20 DE-11 DE-2070s DE-945 DE-188 DE-1050 |
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| physical | XII, 585 Seiten Diagramme |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Blackwell |
| record_format | marc |
| spellingShingle | Kennedy, Peter 1943-2010 A guide to econometrics Regressionsanalyse (DE-588)4129903-6 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Statistischer Test (DE-588)4077852-6 gnd |
| subject_GND | (DE-588)4129903-6 (DE-588)4132280-0 (DE-588)4043212-9 (DE-588)4077852-6 (DE-588)4123623-3 |
| title | A guide to econometrics |
| title_alt | 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 | Regressionsanalyse (DE-588)4129903-6 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Statistischer Test (DE-588)4077852-6 gnd |
| topic_facet | Regressionsanalyse Ökonometrie Ökonometrisches Modell Statistischer Test Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016459881&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kennedypeter aguidetoeconometrics AT kennedypeter econometrics |