Statistical Foundations of Econometric Modelling

This textbook provides an ideal introduction to econometrics through a grounding in probability theory and statistical inference.

Aris Spanos (Author), David Hendry (Foreword by)

9780521269124, Cambridge University Press

Paperback, published 30 October 1986

720 pages, 70 b/w illus. 12 tables 97 exercises
23.1 x 15.4 x 4.3 cm, 1.12 kg

This textbook provides an introduction to econometrics through a grounding in probability theory and statistical inference. The emphasis is on the concepts and ideas underlying probability theory and statistical inference, and on motivating the learning of them both at a formal and an intuitive level. It encourages the mastering of fundamental concepts and theoretical perspectives which guide the formulation and solution of problems in econometric modelling. This makes it an ideal introduction to empirical econometric modelling and the more advanced econometric literature. It is recommended for use on courses giving students a thorough grounding in econometrics at undergraduate or graduate level.

Foreword David Hendry
Preface
Acknowledgements
Part I. Introduction: 1. Econometric modelling, a preliminary view
2. Descriptive study of data
Part II. Probability Theory: 3. Probability
4. Random variables and probability distributions
5. Random vectors and their distributions
6. Functions of random variables
7. The general notion of expectation
8. Stochastic processes
9. Limit theorems
10. Introduction to asymptotic theory
Part III. Statistical Inferences: 11. The nature of statistical inference
12. Estimation I - properties of estimators
13. Estimation II - methods
14. Hypothesis testing and confidence regions
15. The multivariate normal distribution
16. Asymptotic test procedures
Part IV. The Linear Regression and Related Statistical Models: 17. Statistical models in econometrics
18. The Gauss linear model
19. The linear regression model I - specification, estimation and testing
20. the linear regression model II - departures from the assumptions underlying the statistical GM
21. The linear regression model III- departures from the assumptions underlying the probability model
22. The linear regression model IV - departures from the sampling model assumption
23. The dynamic linear regression model
24. The multivariate linear regression model
25. The simultaneous equations model
26. Epilogue: towards a methodology of econometric modelling
References
Index.

Subject Areas: Econometrics [KCH]