Introduction to Econometrics

ISBN-10: 0470032707

ISBN-13: 9780470032701

Edition: 2008

Authors: Gary Koop

List price: $74.95
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Book details

List price: $74.95
Copyright year: 2008
Publisher: John Wiley & Sons, Incorporated
Publication date: 3/10/2008
Binding: Paperback
Pages: 384
Size: 7.50" wide x 9.00" long x 1.00" tall
Weight: 0.924
Language: English

Preface
An Overview of Econometrics
The Importance of Econometrics
Types of Economic Data
Working with Data: Graphical Methods
Working with Data: Descriptive Statistics and Correlation
Chapter Summary
Exercises
A Non-technical Introduction to Regression
Introduction
The Simple Regression Model
The Multiple Regression Model
Chapter Summary
Exercises
The Econometrics of the Simple Regression Model
Introduction
A Review of Basic Concepts in Probability in the Context of the Regression Model
The Classical Assumptions for the Regression Model
Properties of the Ordinary Least Squares Estimator of �
Deriving a Confidence Interval for �
Hypothesis Tests about �
Modifications to Statistical Procedures when � 2 is Unknown
Chapter Summary.Exercises
Proof of the Gauss-Markov theorem
Using a Asymototic Theory in the Simple Regression Model
The Econometrics of the Multiple Regression Model
Introduction
Basic Results for the Multiple Regression Model
Issues Relating to the Choice of Explanatory Variables
Hypothesis Testing in the Multiple Regression Model
Choice of Functional Form in the Multiple Regression Model
Chapter Summary
Exercises
Appendix: Wald and Lagrange multiplier tests
The Multiple Regression Model: Freeing up Classical Assumptions
Introduction
Basic Theoretical Results
Heteroskedasticity
The Regression Model with Autocorrelated Errors
The Instrumental Variables Estimator
Chapter Summary
Exercises
Appendix: Asymptotic Results for the OLS and Instrumental variables Estimators
Univariate Time Series Analysis
Introduction
Time Series Notation
Trends in Time Series Variables
The Autocorrelation Function
The Autoregressive Model
Defining Stationarity
Modelling Volatility
Chapter Summary
Exercises
Appendix: MA and ARMA Models
Regression with Time Series Variables
Introduction
Time Series Regression when X and Y are Stationary
Time Series Regression When Y and X have Unit Roots
Time Series Regression when Y and X have Unit Roots but are NOT Cointegrated
Granger Causality
Vector Autoregressions
Chapter Summary
Exercises
Appendix: The Theory of Forecasting
Models for Panel Data
Introduction
The Pooled Model
Individual Effects Models
Chapter Summary
Exercises
Qualitative Choice and Limited Dependent Variable Models
Introduction
Qualitative Choice Models
Limited Dependent Variable Models
Chapter Summary
Exercises
Bayesian Econometrics
An Overview of Bayesian Econometrics
The Normal Linear Regression Model with Natural Conjugate Prior and a Single Explanatory Variable
Chapter Summary
Exercises
Appendix: Bayesian Analysis of the Simple Regression Model with Unknown Variance
Mathematical Basics
Probability Basics
Basic Concepts in Asymptotic Theory
Writing an Empirical Project
Tables
Bibliography
Index
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