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Guide to Modern Econometrics

ISBN-10: 1119951674

ISBN-13: 9781119951674

Edition: 4th 2012

Authors: Marno Verbeek

List price: $49.99
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Description:

This highly successful text focuses on exploring alternative techniques, combined with a practical emphasis, A guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical reference, this new edition builds on the strengths of the third edition and brings the text completely up–to–date.
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Book details

List price: $49.99
Edition: 4th
Copyright year: 2012
Publisher: John Wiley & Sons, Limited
Publication date: 2/10/2012
Binding: Paperback
Pages: 514
Size: 6.75" wide x 9.50" long x 1.25" tall
Weight: 1.100
Language: English

PREFACE
Introduction
About Econometrics
The Structure of this Book
Illustrations and Exercises
An Introduction to Linear Regression
Ordinary Least Squares as an Algebraic Tool
The Linear Regression Model
Small Sample Properties of the OLS Estimator
Goodness-of-fit
Hypothesis Testing
Asymptotic Properties of the OLS Estimator
Illustration: The Capital Asset Pricing Model
Multicollinearity
Missing Data, Outliers and Influential Observations
Prediction
Interpreting and Comparing Regression Models
Interpreting the Linear Model
Selecting the Set of Regressors
Misspecifying the Functional Form
Illustration: Explaining House Prices
Illustration: Predicting Stock Index Returns
Illustration: Explaining Individual Wages
Heteroskedasticity and Autocorrelation
Consequences for the OLS Estimator
Deriving an Alternative Estimator
Heteroskedasticity
Testing for Heteroskedasticity
Illustration: Explaining Labour Demand
Autocorrelation
Testing for First-order Autocorrelation
Illustration: The Demand for Ice Cream
Alternative Autocorrelation Patterns
What to do When you Find Autocorrelation?
Illustration: Risk Premia in Foreign Exchange Markets
Endogenous Regressors, Instrumental Variables and GMM
A Review of the Properties of the OLS Estimator
Cases Where the OLS Estimator Cannot be Saved
The Instrumental Variables Estimator
Illustration: Estimating the Returns to Schooling
The Generalized Instrumental Variables Estimator
The Generalized Method of Moments
Illustration: Estimating Intertemporal Asset Pricing Models
Maximum Likelihood Estimation and Specification Tests
An Introduction to Maximum Likelihood
Specification Tests
Tests in the Normal Linear Regression Model
Quasi-maximum Likelihood and Moment Conditions Tests
Models with Limited Dependent Variables
Binary Choice Models
Models for Count Data
Tobit Models
Extensions of Tobit Models
Sample Selection Bias
Estimating Treatment Effects
Duration Models
Univariate Time Series Models
Introduction
General ARMA Processes
Stationarity and Unit Roots
Testing for Unit Roots
Illustration: Long-run Purchasing Power Parity (Part 1)
Estimation of ARMA Models
Choosing a Model
Illustration: The Persistence of Inflation
Predicting with ARMA Models
Illustration: The Expectations Theory of the Term Structure
Autoregressive Conditional Heteroskedasticity
What about Multivariate Models?
Multivariate Time Series Models
Dynamic Models with Stationary Variables
Models with Nonstationary Variables
Illustration: Long-run Purchasing Power Parity (Part 2)
Vector Autoregressive Models
Cointegration: the Multivariate Case
Illustration: Money Demand and Inflation
Models Based on Panel Data
Introduction to Panel Data Modelling
The Static Linear Model
Illustration: Explaining Individual Wages
Dynamic Linear Models
Illustration: Explaining Capital Structure
Panel Time Series
Models with Limited Dependent Variables
Incomplete Panels and Selection Bias
Pseudo Panels and Repeated Cross-Sections
Vectors and Matrices
Terminology
Matrix Manipulations
Properties of Matrices and Vectors
Inverse Matrices
Idempotent Matrices
Eigenvalues and Eigenvectors
Differentiation
Some Least Squares Manipulations
Statistical and Distribution Theory
Discrete Random Variables
Continuous Random Variables
Expectations and Moments
Multivariate Distributions
Conditional Distributions
The Normal Distribution
Related Distributions
Bibliography
Index