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