Guide to Econometrics

ISBN-10: 1405182571
ISBN-13: 9781405182577
Edition: 6th 2008 (Revised)
Authors: Peter Kennedy
List price: $55.95 Buy it from $26.50
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Description: The classic aide to econometric students worldwide is now in a new edition. Guide to Econometrics, 6th edition is designed to illuminate the logic of econometrics without formulas, providing intuition, skepticism, insights, humor, and practical  More...

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Book details

List price: $55.95
Edition: 6th
Copyright year: 2008
Publisher: John Wiley & Sons, Incorporated
Publication date: 2/19/2008
Binding: Paperback
Pages: 600
Size: 7.50" wide x 9.00" long x 1.25" tall
Weight: 2.530
Language: English

The classic aide to econometric students worldwide is now in a new edition. Guide to Econometrics, 6th edition is designed to illuminate the logic of econometrics without formulas, providing intuition, skepticism, insights, humor, and practical advice. Designed for use in a range of courses, from undergraduate to graduate and PhD level New chapters cover instrumental variables, computation considerations Includes extensive information on GMM, nonparametrics, and an introduction to wavelets

Preface
Dedication
Introduction
What is Econometrics?
The Disturbance Term
Estimates and Estimators
Good and Preferred Estimators
General Notes
Technical Notes
Criteria for Estimators
Introduction
Computational Cost
Least Squares
Highest R[superscript 2]
Unbiasedness
Efficiency
Mean Square Error
Asymptotic Properties
Maximum Likelihood
Monte Carlo Studies
Adding Up
General Notes
Technical Notes
The Classical Linear Regression Model
Textbooks as Catalogs
The Five Assumptions
The OLS Estimator in the CLR Model
General Notes
Technical Notes
Interval Estimation and Hypothesis Testing
Introduction
Testing a Single Hypothesis: the t Test
Testing a Joint Hypothesis: the F Test
Interval Estimation for a Parameter Vector
LR, W, and LM Statistics
Bootstrapping
General Notes
Technical Notes
Specification
Introduction
Three Methodologies
General Principles for Specification
Misspecification Tests/Diagnostics
R[superscript 2] Again
General Notes
Technical Notes
Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy
Introduction
Incorrect Set of Independent Variables
Nonlinearity
Changing Parameter Values
General Notes
Technical Notes
Violating Assumption Two: Nonzero Expected Disturbance
General Notes
Violating Assumption Three: Nonspherical Disturbances
Introduction
Consequences of Violation
Heteroskedasticity
Autocorrelated Disturbances
Generalized Method of Moments
General Notes
Technical Notes
Violating Assumption Four: Instrumental Variable Estimation
Introduction
The IV Estimator
IV Issues
General Notes
Technical Notes
Violating Assumption Four: Measurement Errors and Autoregression
Errors in Variables
Autoregression
General Notes
Technical Notes
Violating Assumption Four: Simultaneous Equations
Introduction
Identification
Single-Equation Methods
Systems Methods
General Notes
Technical Notes
Violating Assumption Five: Multicollinearity
Introduction
Consequences
Detecting Multicollinearity
What To Do
General Notes
Technical Notes
Incorporating Extraneous Information
Introduction
Exact Restrictions
Stochastic Restrictions
Pre-Test Estimators
Extraneous Information and MSE
General Notes
Technical Notes
The Bayesian Approach
Introduction
What is a Bayesian Analysis?
Advantages of the Bayesian Approach
Overcoming Practitioners' Complaints
General Notes
Technical Notes
Dummy Variables
Introduction
Interpretation
Adding Another Qualitative Variable
Interacting with Quantitative Variables
Observation-Specific Dummies
General Notes
Technical Notes
Qualitative Dependent Variables
Dichotomous Dependent Variables
Polychotomous Dependent Variables
Ordered Logit/Probit
Count Data
General Notes
Technical Notes
Limited Dependent Variables
Introduction
The Tobit Model
Sample Selection
Duration Models
General Notes
Technical Notes
Panel Data
Introduction
Allowing for Different Intercepts
Fixed Versus Random Effects
Short Run Versus Long Run
Long, Narrow Panels
General Notes
Technical Notes
Time Series Econometrics
Introduction
ARIMA Models
VARs
Error Correction Models
Testing for Unit Roots
Cointegration
General Notes
Technical Notes
Forecasting
Introduction
Causal Forecasting/Econometric Models
Time Series Analysis
Forecasting Accuracy
General Notes
Technical Notes
Robust Estimation
Introduction
Outliers and Influential Observations
Guarding Against Influential Observations
Artificial Neural Networks
Nonparametric Estimation
General Notes
Technical Notes
Applied Econometrics
Introduction
The Ten Commandments of Applied Econometrics
Getting the Wrong Sign
Common Mistakes
What do Practitioners Need to Know?
General Notes
Technical Notes
Computational Considerations
Introduction
Optimizing via a Computer Search
Estimating Integrals via Simulation
Drawing Observations from Awkward Distributions
General Notes
Technical Notes
Sampling Distributions, The Foundation of Statistics
All About Variance
A Primer on Asymptotics
Exercises
Answers to Even-Numbered Questions
Glossary
Bibliography
Name Index
Subject Index

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