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Econometrics:

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Bibliographische Detailangaben
Beteilige Person:	Baltagi, Badi H. 1954- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Heidelberg [u.a.] Springer 2011
Ausgabe:	5. ed.
Schriftenreihe:	Springer texts in business and economics
Schlagwörter:	Ökonometrie Lehrbuch
Links:	http://deposit.dnb.de/cgi-bin/dokserv?id=3677703&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022469889&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XV, 410 S. graph. Darst.
ISBN:	9783642200588 3642200583

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Datensatz im Suchindex

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adam_text	IMAGE 1 TABLE OF CONTENTS PREFACE VII PART I 1 1 WHAT IS ECONOMETRICS? 3 1.1 INTRODUCTION 3 1.2 A BRIEF HISTORY 5 1.3 CRITIQUES OF ECONOMETRICS 7 1.4 LOOKING AHEAD 8 NOTES 10 REFERENCES 10 2 BASIC STATISTICAL CONCEPTS 13 2.1 INTRODUCTION 13 2.2 METHODS OF ESTIMATION 13 2.3 PROPERTIES OF ESTIMATORS 16 2.4 HYPOTHESIS TESTING 21 2.5 CONFIDENCE INTERVALS 30 2.6 DESCRIPTIVE STATISTICS 31 NOTES 36 PROBLEMS 36 REFERENCES 42 APPENDIX 42 3 SIMPLE LINEAR REGRESSION 49 3.1 INTRODUCTION 49 3.2 LEAST SQUARES ESTIMATION AND THE CLASSICAL ASSUMPTIONS 50 3.3 STATISTICAL PROPERTIES OF LEAST SQUARES 55 3.4 ESTIMATION OF A 2 56 3.5 MAXIMUM LIKELIHOOD ESTIMATION 57 3.6 A MEASURE OF FIT 58 3.7 PREDICTION 60 3.8 RESIDUAL ANALYSIS 60 3.9 NUMERICAL EXAMPLE 63 3.10 EMPIRICAL EXAMPLE 64 PROBLEMS 67 REFERENCES 71 APPENDIX 72 4 MULTIPLE REGRESSION ANALYSIS 73 4.1 INTRODUCTION 73 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/101028746X DIGITALISIERT DURCH IMAGE 2 XII TABLE OF CONTENTS 4.2 LEAST SQUARES ESTIMATION 73 4.3 RESIDUAL INTERPRETATION OF MULTIPLE REGRESSION ESTIMATES 75 4.4 OVERSPECIFICATION AND UNDERSPECIFICATION OF THE REGRESSION EQUATION 76 4.5 R-SQUARED VERSUS R-BAR-SQUARED 78 4.6 TESTING LINEAR RESTRICTIONS 78 4.7 DUMMY VARIABLES 81 NOTE 85 PROBLEMS 85 REFERENCES 91 APPENDIX 92 5 VIOLATIONS OF THE CLASSICAL ASSUMPTIONS 95 5.1 INTRODUCTION 95 5.2 THE ZERO MEAN ASSUMPTION 95 5.3 STOCHASTIC EXPLANATORY VARIABLES 96 5.4 NORMALITY OF THE DISTURBANCES 98 5.5 HETEROSKEDASTICITY 98 5.6 AUTOCORRELATION 110 NOTES 120 PROBLEMS 120 REFERENCES 126 6 DISTRIBUTED LAGS AND DYNAMIC MODELS 131 6.1 INTRODUCTION 131 6.2 INFINITE DISTRIBUTED LAG 137 6.2.1 ADAPTIVE EXPECTATIONS MODEL (AEM) 138 6.2.2 PARTIAL ADJUSTMENT MODEL (PAM) 138 6.3 ESTIMATION AND TESTING OF DYNAMIC MODELS WITH SERIAL CORRELATION 139 6.3.1 A LAGGED DEPENDENT VARIABLE MODEL WITH AR(1) DISTURBANCES 140 6.3.2 A LAGGED DEPENDENT VARIABLE MODEL WITH MA(1) DISTURBANCES 142 6.4 AUTOREGRESSIVE DISTRIBUTED LAG 143 NOTE 144 PROBLEMS 144 REFERENCES 146 PART II 149 7 THE GENERAL LINEAR MODEL: THE BASICS 151 7.1 INTRODUCTION 151 7.2 LEAST SQUARES ESTIMATION 151 7.3 PARTITIONED REGRESSION AND THE FRISCH-WAUGH-LOVELL THEOREM 154 7.4 MAXIMUM LIKELIHOOD ESTIMATION 156 7.5 PREDICTION 159 7.6 CONFIDENCE INTERVALS AND TEST OF HYPOTHESES 160 7.7 JOINT CONFIDENCE INTERVALS AND TEST OF HYPOTHESES 160 IMAGE 3 TABLE OF CONTENTS XIII 7.8 RESTRICTED MLE AND RESTRICTED LEAST SQUARES 161 7.9 LIKELIHOOD RATIO, WALD AND LAGRANGE MULTIPLIER TESTS 162 NOTES 167 PROBLEMS 167 REFERENCES 172 APPENDIX 173 8 REGRESSION DIAGNOSTICS AND SPECIFICATION TESTS 179 8.1 INFLUENTIAL OBSERVATIONS 179 8.2 RECURSIVE RESIDUALS 187 8.3 SPECIFICATION TESTS 196 8.4 NONLINEAR LEAST SQUARES AND THE GAUSS-NEWTON REGRESSION 206 8.5 TESTING LINEAR VERSUS LOG-LINEAR FUNCTIONAL FORM 213 NOTES 215 PROBLEMS 215 REFERENCES 219 9 GENERALIZED LEAST SQUARES 223 9.1 INTRODUCTION 223 9.2 GENERALIZED LEAST SQUARES 223 9.3 SPECIAL FORMS OF FI 225 9.4 MAXIMUM LIKELIHOOD ESTIMATION 226 9.5 TEST OF HYPOTHESES 226 9.6 PREDICTION 227 9.7 UNKNOWN Q 227 9.8 THE W, LR AND LM STATISTICS REVISITED 228 9.9 SPATIAL ERROR CORRELATION 230 NOTE 231 PROBLEMS 232 REFERENCES 237 10 SEEMINGLY UNRELATED REGRESSIONS 241 10.1 INTRODUCTION 241 10.2 FEASIBLE GLS ESTIMATION 243 10.3 TESTING DIAGONALITY OF THE VARIANCE-COVARIANCE MATRIX 246 10.4 SEEMINGLY UNRELATED REGRESSIONS WITH UNEQUAL OBSERVATIONS 246 10.5 EMPIRICAL EXAMPLES 248 PROBLEMS 251 REFERENCES 254 11 SIMULTANEOUS EQUATIONS MODEL 257 11.1 INTRODUCTION 257 11.1.1 SIMULTANEOUS BIAS 257 11.1.2 THE IDENTIFICATION PROBLEM 260 11.2 SINGLE EQUATION ESTIMATION: TWO-STAGE LEAST SQUARES 263 11.2.1 SPATIAL LAG DEPENDENCE 271 IMAGE 4 XIV TABLE OF CONTENTS 11.3 SYSTEM ESTIMATION: THREE-STAGE LEAST SQUARES 272 11.4 TEST FOR OVER-IDENTIFICATION RESTRICTIONS 273 11.5 HAUSMAN S SPECIFICATION TEST 275 11.6 EMPIRICAL EXAMPLES 278 NOTES 285 PROBLEMS 286 REFERENCES 296 APPENDIX 298 12 POOLING TIME-SERIES OF CROSS-SECTION DATA 305 12.1 INTRODUCTION 305 12.2 THE ERROR COMPONENTS MODEL 305 12.2.1 THE FIXED EFFECTS MODEL 306 12.2.2 THE RANDOM EFFECTS MODEL 308 12.2.3 MAXIMUM LIKELIHOOD ESTIMATION 312 12.3 PREDICTION 313 12.4 EMPIRICAL EXAMPLE 313 12.5 TESTING IN A POOLED MODEL 317 12.6 DYNAMIC PANEL DATA MODELS 321 12.6.1 EMPIRICAL ILLUSTRATION 324 12.7 PROGRAM EVALUATION AND DIFFERENCE-IN-DIFFERENCES ESTIMATOR 326 12.7.1 THE DIFFERENCE-IN-DIFFERENCES ESTIMATOR 327 PROBLEMS 327 REFERENCES 330 13 LIMITED DEPENDENT VARIABLES 333 13.1 INTRODUCTION 333 13.2 THE LINEAR PROBABILITY MODEL 333 13.3 FUNCTIONAL FORM: LOGIT AND PROBIT 334 13.4 GROUPED DATA 336 13.5 INDIVIDUAL DATA: PROBIT AND LOGIT 341 13.6 THE BINARY RESPONSE MODEL REGRESSION 342 13.7 ASYMPTOTIC VARIANCES FOR PREDICTIONS AND MARGINAL EFFECTS 344 13.8 GOODNESS OF FIT MEASURES 344 13.9 EMPIRICAL EXAMPLES 345 13.10 MULTINOMIAL CHOICE MODELS 350 13.10.1 ORDERED RESPONSE MODELS 350 13.10.2 UNORDERED RESPONSE MODELS 354 13.11 THE CENSORED REGRESSION MODEL 356 13.12 THE TRUNCATED REGRESSION MODEL 359 13.13 SAMPLE SELECTIVITY 360 NOTES 362 PROBLEMS 362 REFERENCES 368 APPENDIX 370 IMAGE 5 TABLE OF CONTENTS XV 14 TIME-SERIES ANALYSIS 373 14.1 INTRODUCTION 373 14.2 STATIONARITY 373 14.3 THE BOX AND JENKINS METHOD 375 14.4 VECTOR AUTOREGRESSION 378 14.5 UNIT ROOTS 379 14.6 TREND STATIONARY VERSUS DIFFERENCE STATIONARY 383 14.7 COINTEGRATION 384 14.8 AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY 387 NOTE 390 PROBLEMS 390 REFERENCES 394 APPENDIX 397 LIST OF FIGURES 403 LIST OF TABLES 405 INDEX 407
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discipline	Mathematik Wirtschaftswissenschaften
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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
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