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