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A Guide to Econometrics
Peter Kennedy (Author)
9781405182577, Wiley
Paperback / softback, published 28 April 2008
608 pages
23.1 x 18.8 x 3.3 cm, 1.179 kg
“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)
Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.
Preface x Dedication xii 1. Introduction 1 2. Criteria for Estimators 11 3. The Classical Linear Regression Model 40 4. Interval Estimation and Hypothesis Testing 51 5. Specification 71 6. Violating Assumption One: Wrong Regressors, Nonlinearities, and Parameter Inconstancy 93 7. Violating Assumption Two: Nonzero Expected Disturbance 109 8. Violating Assumption Three: Nonspherical Disturbances 112 9. Violating Assumption Four: Instrumental Variable Estimation 137 10. Violating Assumption Four: Measurement Errors and Autoregression 157 11. Violating Assumption Four: Simultaneous Equations 171 12. Violating Assumption Five: Multicollinearity 192 13. Incorporating Extraneous Information 203 14. The Bayesian Approach 213 15. Dummy Variables 232 16. Qualitative Dependent Variables 241 17. Limited Dependent Variables 262 18. Panel Data 281 19. Time Series Econometrics 296 20. Forecasting 331 21. Robust Estimation 345 22. Applied Econometrics 361 23. Computational Considerations 385 Appendix A: Sampling Distributions, the Foundation of Statistics 403 Appendix B: All about Variance 407 Appendix C: A Primer on Asymptotics 412 Appendix D: Exercises 417 Appendix E: Answers to Even-numbered Questions 479 Glossary 503 Bibliography 511 Name Index 563 Subject Index 573
Subject Areas: Economics [KC]
